# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
import pandas as pd
from qlib.data.inst_processor import InstProcessor
from qlib.utils.resam import resam_calendar
class ResampleNProcessor(InstProcessor):
def __init__(self, target_frq: str, **kwargs):
self.target_frq = target_frq
def __call__(self, df: pd.DataFrame, *args, **kwargs):
df.index = pd.to_datetime(df.index)
res_index = resam_calendar(df.index, "1min", self.target_frq)
df = df.resample(self.target_frq).last().reindex(res_index)
return df