3760a18a创建于 2021年10月1日历史提交
#  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