[Python] Taking first and last value in a rolling window

Initial problem statement


Using pandas, I would like to apply function available for resample() but not for rolling().

This works:

df1 = df.resample(to_freq,
closed='left',
kind='period',
).agg(OrderedDict([('Open', 'first'),
('Close', 'last'),
]))


This doesn't:

df2 = df.rolling(my_indexer).agg(
OrderedDict([('Open', 'first'),
('Close', 'last') ]))
>>> AttributeError: 'first' is not a valid function for 'Rolling' object

df3 = df.rolling(my_indexer).agg(
OrderedDict([
('Close', 'last') ]))
>>> AttributeError: 'last' is not a valid function for 'Rolling' object


What would be your advice to keep first and last value of a rolling windows to be put into two different columns?

EDIT 1 - with usable input data


import pandas as pd
from random import seed
from random import randint
from collections import OrderedDict

# DataFrame
ts_1h = pd.date_range(start='2020-01-01 00:00+00:00', end='2020-01-02 00:00+00:00', freq='1h')
seed(1)
values = [randint(0,10) for ts in ts_1h]
df = pd.DataFrame({'Values' : values}, index=ts_1h)

# First & last work with resample
resampled_first = df.resample('3H',
closed='left',
kind='period',
).agg(OrderedDict([('Values', 'first')]))
resampled_last = df.resample('3H',
closed='left',
kind='period',
).agg(OrderedDict([('Values', 'last')]))

# They don't with rolling
rolling_first = df.rolling(3).agg(OrderedDict([('Values', 'first')]))
rolling_first = df.rolling(3).agg(OrderedDict([('Values', 'last')]))


Thanks for your help! Bests,

Continue reading...