resample_temporal.jl

using Temporal
import Base: mean

#using TimeFrames
#import TimeFrames: apply

struct TimeSeriesResampler
    ts
    tf
end

function names(ts::TS, dim)
    if dim == 1
        ts.index
    elseif dim == 2
        ts.fields
    else
        throw(Exception("Dim must be 1 or 2"))
    end
end

function resample(ts, tf)
    TimeSeriesResampler(ts, tf)
end

function mean(resampler::TimeSeriesResampler)
    ts = resampler.ts
    tf = resampler.tf
    z = Dates.Millisecond(0)  # doesn't work simply with z=0
    idx1 = names(ts, 1)
    idx2 = apply.(tf, idx1)
    at = [true;diff(idx2).!=z]
    ts2 = collapse(ts, at, fun=mean)
    ts2.index = apply.(tf, ts2.index)
    ts2
end

function apply(f::Function, dt)
    f(dt)
end

srand(1234)
idx=DateTime(2010,1,1):Dates.Hour(1):DateTime(2017,1,1)-Dates.Hour(1)
idx = collect(idx) + Dates.Second(1)
n=length(idx)
price=100+cumsum(2*(rand(n)-0.5))
volume=rand(n)*1000
ts = TS([price volume], idx, [:price, :volume])
ts_price = ts[:price]
println(ts_price)

tf = dt -> floor(dt, Dates.Hour(4))
println(mean(resample(ts_price, tf)))

#tf = TimeFrame("4H")
#println(mean(resample(ts_price, tf)))