如何将刻度数据重新采样到熊猫重新采样OHLC

Question

I am trying to convert fx tick data into ohlc data:

import pandas as pd
data_frame = pd.read_csv('gbpusd jan17.csv', names=['Symbol', 'Date_Time', 'Bid', 'Ask'],
                         index_col=1, parse_dates=True, nrows=100)

print(data_frame.head())

data_ask = data_frame['Ask'].resample('15Min').ohlc()

data_bid = data_frame['Bid'].resample('15Min').ohlc()

data_ask.head()

data_bid.head()
print(data_ask.head())
print(data_ask[1:5])

My outputs are:

                          Symbol      Bid      Ask
Date_Time
2017-01-02 00:00:01.105  GBP/USD  1.23399  1.23551
2017-01-02 00:00:01.561  GBP/USD  1.23399  1.23551
2017-01-02 00:00:05.122  GBP/USD  1.23399  1.23551
2017-01-02 00:00:05.525  GBP/USD  1.23365  1.23577
2017-01-02 00:00:06.139  GBP/USD  1.23365  1.23577

                open     high      low    close
Date_Time
2017-01-02  1.23551  1.23633  1.23551  1.23576
Empty DataFrame
Columns: [open, high, low, close]
Index: []

Can anyone please tell me why I can see head of an empty dataframe? What went wrong here and how can I turn all tick data to ohlc data?

Answer 1

It appears that data_ask is a single row dataset (based on the previous head() statement). But when you use [1:5] to call the data, you're asking for the set of data starting at the second row, thus the empty df. See what happens if you use print(df_ask[0:5]) instead.