pandas OHLC aggregation resample with time of OHLC

Question

I am converting 1 minute candle to 5 minute candle as below:

df = df.resample("5min").agg({
'stock_name': 'first', 
'tr_open': 'first', 
'tr_high': 'max', 
'tr_low': 'min', 
'tr_close': 'last'
})

For some reason, I need the time when OHLC values were taken for this aggregation.

Meaning, tr_time_high should contain the time when the tr_high was HIGH in this 5min candle etc.

How can I achieve this in Pandas?

Thanks in advance.

If you could show the head of the original dataframe and one example of what you hope to get it would be much easier getting an answer — Marco, Nov 28 '21 at 13:04

score 1 · Answer 1 · answered Nov 28 '21 at 13:55

I prefer used groupby_agg instead resample_agg in your case to allow naming aggregation. Try:

df.groupby(pd.Grouper(freq='5T')).agg(
   stock=('stock_name', 'first'),
   open=('tr_open', 'first'),
   high=('tr_high', 'max'),
   low=('tr_low', 'min'),
   close=('tr_close', 'last'),
   time_high=('tr_high', 'idxmax'),
)

pandas OHLC aggregation resample with time of OHLC

1 Answers1