date_range 1min ranges from 9:31am to 4pm instead of 9:30am to 3:59pm

[ab-qf]

I am using version 4.3.1 with pandas 2.0.3.

The following code results in a range from 9:31am til 4:00pm instead of 9:30am til 3:59pm.

Can I somehow change this behaviour? Is it intended?

Of course, I can subtract 1 minute from every entry. I am just looking for a better way.

[rsheftel]

That is the intended behavior. The timestamp on the bar represents the time at the end of the bar. So the first 1min bar of the trading day goes from 9:30am to 9:31am, so the timestamp is 9:31am.

[ab-qf]

I would disagree and say the first bar usually goes from 9:30:00 until 9:30:59 and the second one starts at 9:31:00am. But OK, if this is intended, I will just subtract a timedelta of 1 minute. Thanks

…

On Tue, Nov 14, 2023 at 13:10:19, rsheftel ***@***.***> wrote: That is the intended behavior. The timestamp on the bar represents the time at the end of the bar. So the first 1min bar of the trading day goes from 9:30am to 9:31am, so the timestamp is 9:31am. — Reply to this email directly, view it on GitHub <#304 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ARWB2FJLFOIWS2KYTJUX4LDYENNSXAVCNFSM6AAAAAA7KQMFZOVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMYTQMJQGA4DOMZUHA> . You are receiving this because you authored the thread.Message ID: ***@***.***>

[maread99]

FWIW, you can get the index you're after from the exchange_calendars calendar which is (I believe) the source of the data for the 'XNYS' schedule...

import exchange_calendars as xcals
cal = xcals.get_calendar("XNYS")
index = cal.trading_index(
    "2010-01-04",
    "2023-10-31",
    "1T",
    intervals=False,
    closed="left"
).tz_convert("US/Eastern")

Here the 'close' parameter effectively lets you choose which side of the bar you want to represent. Takes from:

• 'left' (default) gives you what you're after
• 'right' would give you what you were getting
• 'both' will include both the 09:00 and 16:00 minutes
• 'neither' will exclude both the 09:00 and 16:00 minutes