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import datetime |
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import pandas as pd |
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def normalize_data_query_time(dt, time, tz): |
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"""Apply the correct time and timezone to a date. |
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Parameters |
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---------- |
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dt : pd.Timestamp |
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The original datetime that represents the date. |
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time : datetime.time |
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The time to query before. |
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tz : tzinfo |
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The timezone the time applies to. |
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Returns |
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------- |
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query_dt : pd.Timestamp |
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The timestamp with the correct time and date in utc. |
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""" |
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# get the date after converting the timezone |
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# merge the correct date with the time in the given timezone then convert |
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# back to utc |
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return pd.Timestamp( |
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datetime.datetime.combine(dt.date(), time), |
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tz=tz, |
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).tz_convert('utc') |
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def normalize_timestamp_to_query_time(df, |
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time, |
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tz, |
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inplace=False, |
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ts_field='timestamp'): |
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"""Update the timestamp field of a dataframe to normalize dates around |
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some data query time/timezone. |
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Parameters |
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---------- |
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df : pd.DataFrame |
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The dataframe to update. This needs a column named ``ts_field``. |
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time : datetime.time |
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The time to query before. |
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tz : tzinfo |
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The timezone the time applies to. |
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inplace : bool, optional |
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Update the dataframe in place. |
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ts_field : str, optional |
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The name of the timestamp field in ``df``. |
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Returns |
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------- |
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df : pd.DataFrame |
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The dataframe with the timestamp field normalized. If ``inplace`` is |
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true, then this will be the same object as ``df`` otherwise this will |
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be a copy. |
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""" |
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if not inplace: |
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# don't mutate the dataframe in place |
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df = df.copy() |
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dtidx = pd.DatetimeIndex(df.loc[:, ts_field], tz='utc') |
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dtidx_local_time = dtidx.tz_convert(tz) |
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to_roll_forward = dtidx_local_time.time > time |
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# for all of the times that are greater than our query time add 1 |
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# day and truncate to the date |
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df.loc[to_roll_forward, ts_field] = ( |
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dtidx_local_time[to_roll_forward] + datetime.timedelta(days=1) |
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).normalize().tz_localize(None).tz_localize('utc') # cast back to utc |
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df.loc[~to_roll_forward, ts_field] = dtidx[~to_roll_forward].normalize() |
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return df |
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quantopian /
zipline
