Python OHLC convert weekly to biweekly

Question

I have weekly data from Yahoo Finance

                  Open        High         Low       Close   Adj Close        Volume
Date                                                                                
1999-12-27    0.901228    0.918527    0.888393    0.917969    0.782493  1.638112e+08
2000-01-03    0.936384    1.004464    0.848214    0.888393    0.757282  3.055203e+09
2000-01-10    0.910714    0.912946    0.772321    0.896763    0.764417  3.345742e+09
2000-01-17    0.901786    1.084821    0.896763    0.993862    0.847186  3.383878e+09
2000-01-24    0.968192    1.019531    0.898438    0.907366    0.773455  2.068674e+09
2000-01-31    0.901786    0.982143    0.843750    0.964286    0.821975  2.384424e+09
2000-02-07    0.964286    1.045759    0.945871    0.970982    0.827682  1.664309e+09
2000-02-14    0.976004    1.070871    0.969866    0.993304    0.846710  1.754469e+09
2000-02-21    0.983259    1.063616    0.952567    0.985491    0.840050  1.520971e+09
2000-02-28    0.983259    1.179129    0.967634    1.142857    0.974192  2.408918e+09
2000-03-06    1.125000    1.152902    1.055804    1.122768    0.957068  1.280126e+09
2000-03-13    1.090402    1.129464    1.017857    1.116071    0.951359  1.859290e+09
2000-03-20    1.102679    1.342634    1.085938    1.238281    1.055533  2.306293e+09
2000-03-27    1.228795    1.292411    1.119978    1.212612    1.033652  1.541019e+09
2000-04-03    1.209821    1.245536    1.042411    1.176339    1.002732  1.948621e+09
2000-04-10    1.175781    1.185268    0.936384    0.998884    0.851467  2.892669e+09
2000-04-17    0.977679    1.162946    0.973772    1.061384    0.904743  2.042757e+09
2000-04-24    1.026786    1.149554    1.024554    1.107701    0.944224  1.778358e+09
2000-05-01    1.114955    1.127232    0.987165    1.010045    0.860980  1.636018e+09

We need to resample it to biweekly, i.e. once in 2 weeks.

yahoo finance only provided the data for these intervals :

[1m, 2m, 5m, 15m, 30m, 60m, 90m, 1h, 1d, 5d, 1wk, 1mo, 3mo]

need something between 1 week and 1 Month i.e. 2 weeks.

Please let me know how to resample

score 1 · Accepted Answer · answered Dec 18 '22 at 08:29

I would just resample to 2-week increments and calculate each value. The opening price is the first, the high is the maximum, the low is the minimum, the close is the last, the adjusted close is also the last, and the volume is the total. See https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.resample.html

df['Date'] = pd.to_datetime(df['Date']) 
df.set_index('Date', inplace=True)

d_ohlcv = {'Open': 'first',
           'High': 'max',
           'Low': 'min',
           'Close': 'last',
           'Adj Close': 'last',
           'Volume': 'sum'}

df.resample('2W').agg(d_ohlcv).head(8)
    Open    High    Low     Close   Adj Close   Volume
Date                        
2000-01-02  0.901228    0.918527    0.888393    0.917969    0.782493    1.638112e+08
2000-01-16  0.936384    1.004464    0.772321    0.896763    0.764417    6.400945e+09
2000-01-30  0.901786    1.084821    0.896763    0.907366    0.773455    5.452552e+09
2000-02-13  0.901786    1.045759    0.843750    0.970982    0.827682    4.048733e+09
2000-02-27  0.976004    1.070871    0.952567    0.985491    0.840050    3.275440e+09
2000-03-12  0.983259    1.179129    0.967634    1.122768    0.957068    3.689044e+09
2000-03-26  1.090402    1.342634    1.017857    1.238281    1.055533    4.165583e+09
2000-04-09  1.228795    1.292411    1.042411    1.176339    1.002732    3.489640e+09

If the date is already an index, set_index() should disable the setting. — r-beginners, Dec 18 '22 at 08:55

Python OHLC convert weekly to biweekly

1 Answers1