API documentation for tradingstrategy.utils.groupeduniverse.resample_price_series Python function.

resample_price_series(series, resample_freq, shift=None, price_series_type='close')[source]#

Resample a price series to a lower frequency.

See test_price_series_resample_and_shift_binance for some example output how shift works. Shift -1 means that any strategy decision is 1h delayed (close price is chosen 1h later).

See also resample_candles().

TODO: Add forward-fill.

  • series (Series) –

    Price series, e.g. close series.

    If the series.index is multi-index, assume it is (pair id, timestamp) for a single pair.

  • resample_freq (Timedelta) –

    Resample frequency.

    E.g.`pd.Timedelta(days=1)` create daily candles from hourly candles.

  • shift (Optional[int]) –

    Before resampling, shift candles to left or right.

    The shift is measured in number of candles, not time. Make sure the DataFrame is forward filled first, see forward_fill().

    Set to 1 to shift candles one step right, -1 to shift candles one step left.

    There might not be enough rows to shift. E.g. shift=-1 or shift=1 and len(df) == 1. In this case, an empty data frame is returned.

  • price_series_type – One of “open”, “close”, “high”, “low”

Return type: