I have some tick data in this form:
date price amount
2011-09-13 13:53:36 5.80 1.0000
2011-09-13 13:53:44 5.83 3.0000
2011-09-13 14:32:53 5.90 2.0000
And I've resampled the price with:
resampledData.price.resample('55min', how="ohlc")
Now I need to fill out the missing data and the only way I came up with was:
closes = resampledData.close
closes = closes.fillna(method='pad')
resampledData = resampledData.open.fillna(closes)
resampledData = resampledData.high.fillna(closes)
resampledData = resampledData.lowe.fillna(closes)
resampledData = resampledData.close.fillna(closes)
But this looks really bad, is there a more efficient way to do it?
Also, is there a way to ressample two columns at the same time? Like the price with "ohlc" and the amount with a method "sum"?