Pandas dataframe History objects should map the integer weekdays 0 to 6 from Monday to Sunday

[rosswendt]

Expected Behavior

Pandas dataframe History objects should map the integer weekdays 0 to 6 from Monday to Sunday.

See reference:

https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DatetimeIndex.dayofweek.html for

Actual Behavior

Instead, they appear to only return values on the range 1 to 5.

Potential Solution

I am not sure!

Reproducing the Problem

history = history.open.unstack(0) dayofweek = history.index.dayofweek check_day= history.iloc[dayofweek==0]

If you then check the length of check_day, it is empty

But,

history = history.open.unstack(0) dayofweek = history.index.dayofweek check_day= history.iloc[dayofweek==1]

Returns a number of days that seems reasonable in my lookback period of 60. (about 10)

I also checked 6, which returns nothing, and 7, which returns again nothing. But 5 returns again a reasonable number of days.

I have not checked the actual dates to check that for example, to see what dayofweek==1 maps to in terms of real calendar day of weeks. That might be worth investigating.

System Information

Running on the Online IDE on www.quantconnect.com with Python

Checklist

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