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`get_time_bars` returning incorrect unix timestamp #516

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mdalvi opened this issue Mar 14, 2022 · 0 comments

mdalvi commented Mar 14, 2022

Upon running ml.data_structures.get_time_bars on following tick data, returns unix timestamp with incorrect values

# mlfinlab version 1.5.0

df_tmp = pd.read_excel('temp_tick.xlsx')
ml.data_structures.get_time_bars(df_tmp[['date_time', 'price', 'volume']], resolution='D', num_units=1, batch_size=1000000, verbose=False)

Tick data sample available on dropbox

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