This is my main dataset
stock_final!
| Date | Open | High | Low | Close | Adj Close | Volume | Name | Loss percent | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 2018-01-02 | 0.145 | 0.155 | 0.145 | 0.151 | 0.151 | 498275.0 | AAIT | NaN |
| 1 | 2018-01-03 | 0.153 | 0.153 | 0.152 | 0.153 | 0.153 | 211100.0 | AAIT | 1.324506 |
| 2 | 2018-01-04 | 0.153 | 0.153 | 0.152 | 0.152 | 0.152 | 423186.0 | AAIT | -0.653596 |
| 3 | 2018-01-08 | 0.151 | 0.151 | 0.150 | 0.150 | 0.150 | 140881.0 | AAIT | -1.315782 |
| 4 | 2018-01-09 | 0.152 | 0.158 | 0.152 | 0.153 | 0.153 | 2649386.0 | AAIT | 1.999994 |
this is my filtered dataset which has details of crash events.
stocks_filtered
| index | Date | Event_index | Open | High | Low | Close | Adj Close | Volume | Name | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 0 | 2018-02-06 | 1 | 1489.0 | 1547.0 | 711.000000 | 746.000000 | 746.000000 | 987706.0 | TVIX |
| 1 | 1 | 2018-02-26 | 2 | 13.5 | 13.5 | 8.100000 | 8.100000 | 8.100000 | 580117.0 | ABIO |
| 2 | 2 | 2018-03-09 | 3 | 62.5 | 66.5 | 41.099998 | 42.400002 | 42.400002 | 291200.0 | SNSS |
| 3 | 3 | 2018-03-29 | 4 | 80.0 | 80.0 | 50.000000 | 60.000000 | 60.000000 | 237971.0 | NVCN |
| 4 | 4 | 2018-04-10 | 5 | 608.0 | 608.0 | 600.000000 | 608.000000 | 608.000000 | 100.0 | VRTB |
From these two datasets , i created a new dataset where for each crash event I fetched data from main dataset for T-1 to T+30 days data. (T is the day when crash event occured )
code
from datetime import datetime, timedelta
dfList = []
for index, row in stocks_filtered.iterrows():
tempDF = stock_final[(stock_final['Name'] == row['Name']) & (stock_final['Date'].between(row['Date']-timedelta(days=1), row['Date']+timedelta(days=31)))].reset_index(drop=True)
dfList.append(tempDF)
for i in range(len(dfList)):
dfList[i].insert(0,'Event_index',i+1)
dfFinal = pd.concat(dfList, ignore_index=True, axis=0)
My output dataset is like this
I need to fetch exact 31 working days of data for every crash event but for my code it is fetching for 30 days including the weekends. Can anyone help me getting T-1 to T+30 working days data from my first two datasets i.e every crash event will have 31 days of data.
