quantlab.analysis.factor_report.most_common_spacing

quantlab.analysis.factor_report.most_common_spacing(timestamps)

Return the most common spacing between consecutive timestamps.

This is the rule RawDataset.time_interval uses: the mode rather than the minimum, so weekend and holiday gaps do not change the answer.

Parameters:

timestampsxarray.DataArray, pandas.Index or numpy.ndarray

Sorted datetime64 timestamps; at least two.

Returns:

numpy.timedelta64

The most common spacing.

Raises:

ValueError

If fewer than two timestamps are given.

Examples

>>> most_common_spacing(pd.date_range("2024-01-01", periods=10, freq="B"))
np.timedelta64(86400000000,'us')