implement resample by calendar offset

finta/utils.py

@@ -19,6 +19,19 @@ def resample(df: pd.DataFrame, interval: str) -> pd.DataFrame:
     return df.resample(interval).agg(d)
 
 
+def resample_calendar(df: pd.DataFrame, offset: str) -> pd.DataFrame:
+    """Resample the DataFrame by calendar offset.
+    See http://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#anchored-offsets for compatible offsets.
+    :param df: data
+    :param offset: calendar offset
+    :return: result DataFrame
+    """
+
+    d = {"open": "first", "high": "max", "low": "min", "close": "last", "volume": "sum"}
+
+    return df.resample(offset).agg(d)
+
+
 def trending_up(df: pd.Series, period: int) -> pd.Series:
     """returns boolean Series if the inputs Series is trending up over last n periods.
     :param df: data

tests/test_utils_unit.py

@@ -33,6 +33,16 @@ def test_resample():
     ]
 
 
+def test_resample_calendar():
+
+    df = to_dataframe(data)
+    assert isinstance(resample(df, "W-Mon"), DataFrame)
+    assert list(resample(df, "W-Mon").index.values[-2:]) == [
+        numpy.datetime64("2019-05-06T00:00:00.000000000"),
+        numpy.datetime64("2019-05-13T00:00:00.000000000"),
+    ]
+
+
 def test_trending_up():
 
     df = to_dataframe(data)