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stefan-jansen / machine-learning-for-trading

Code for Machine Learning for Algorithmic Trading, 2nd edition.
https://ml4trading.io
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about the order book itch nasdaq total view #267

Closed Bandita88 closed 1 year ago

Bandita88 commented 1 year ago

Hi,the order book is in the dataframe file named pd.HDFStore(order_book_store) right?! if i want to import historical data with a defined datetime how can i do that? thanks for the help.

stefan-jansen commented 1 year ago

Sounds like the correct storage location. To select a specific time during day you would use standard pandas slicing methods frequently used in the examples, such as df.loc[idx["10:00":"11:'00", :], :] if the datetime variable is your first index level. Keep in mind that the sample data includes only a single day.

Closing for now, please feel free to reopen if the issue persists.