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Data Collection Help

I'm looking to collect data on Apple by the minute going back to 2017 to now. However I only want to keep the first hour and last 30 minutes of everyday in my sample. Any suggestions?

Thank you!


2 responses

Pandas has a great method called between_time. See the docs here

# get our minute prices  
prices = get_pricing(['AAPL'], start_date="2017-1-1", end_date="2019-5-1", fields='close_price', frequency='minute')

# change times to be the market time and not UTC time (this even accounts for daylight saving time)  
prices_et = prices.tz_convert('US/Eastern')

# Use the pandas 'between_time' method to select the time range  
# Nice feature is that it 'wraps'!  
# The last half hour and first hour can be fetched like this  
prices_et.between_time('15:30', '10:30')

Check out this post for some more info and a notebook showing this in action.

Good luck.


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Thank you Dan! that is exactly what i was looking for.

Do you know how i could compare the prices of the opening minutes (first 60 minutes) to the last minute? Basically how to calculate the spreads of each minute in the first hour to the last minute of the trading day.