import datetime
import pandas as pd
from qlib.data.inst_processor import InstProcessor
class Resample1minProcessor(InstProcessor):
"""This processor tries to resample the data. It will reasmple the data from 1min freq to day freq by selecting a specific miniute"""
def __init__(self, hour: int, minute: int, **kwargs):
self.hour = hour
self.minute = minute
def __call__(self, df: pd.DataFrame, *args, **kwargs):
df.index = pd.to_datetime(df.index)
df = df.loc[df.index.time == datetime.time(self.hour, self.minute)]
df.index = df.index.normalize()
return df