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POPandas - grouping intra day timeseries by date
 

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    <p>I have an intra day series of log returns over multiple days that I would like to downsample to daily ohlc. I can do something like</p> <pre><code>hi = series.resample('B', how=lambda x: np.max(np.cumsum())) low = series.resample('B', how=lambda x: np.min(np.cumsum())) </code></pre> <p>But it seems inefficient to compute cumsum on each call. Is there a way to first compute the cumsums and then apply 'ohcl' to the data?</p> <pre><code>1999-08-09 12:30:00-04:00 -0.000486 1999-08-09 12:31:00-04:00 -0.000606 1999-08-09 12:32:00-04:00 -0.000120 1999-08-09 12:33:00-04:00 -0.000037 1999-08-09 12:34:00-04:00 -0.000337 1999-08-09 12:35:00-04:00 0.000100 1999-08-09 12:36:00-04:00 0.000219 1999-08-09 12:37:00-04:00 0.000285 1999-08-09 12:38:00-04:00 -0.000981 1999-08-09 12:39:00-04:00 -0.000487 1999-08-09 12:40:00-04:00 0.000476 1999-08-09 12:41:00-04:00 0.000362 1999-08-09 12:42:00-04:00 -0.000038 1999-08-09 12:43:00-04:00 -0.000310 1999-08-09 12:44:00-04:00 -0.000337 ... 1999-09-28 06:45:00-04:00 0.000000 1999-09-28 06:46:00-04:00 0.000000 1999-09-28 06:47:00-04:00 0.000000 1999-09-28 06:48:00-04:00 0.000102 1999-09-28 06:49:00-04:00 -0.000068 1999-09-28 06:50:00-04:00 0.000136 1999-09-28 06:51:00-04:00 0.000566 1999-09-28 06:52:00-04:00 0.000469 1999-09-28 06:53:00-04:00 0.000000 1999-09-28 06:54:00-04:00 0.000000 1999-09-28 06:55:00-04:00 0.000000 1999-09-28 06:56:00-04:00 0.000000 1999-09-28 06:57:00-04:00 0.000000 1999-09-28 06:58:00-04:00 0.000000 1999-09-28 06:59:00-04:00 0.000000 </code></pre>
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