quantlab.utils.resample.clock_labels

quantlab.utils.resample.clock_labels(timestamps, freq)

Return each timestamp’s bar, floored on the UTC clock.

This is the default bucketing: a bar starts at a multiple of freq counted from midnight UTC and is labelled at its start, which matches bars labelled at their open time and daily stores stamped at midnight.

Examples

>>> ts = pd.to_datetime(["2024-01-01 09:31", "2024-01-01 09:34", "2024-01-01 09:35"])
>>> clock_labels(ts, "5m").astype("datetime64[m]").tolist()
[2024-01-01T09:30, 2024-01-01T09:30, 2024-01-01T09:35]