Description
in order to use pandas with Bloomberg time series data, I would like ability to set a time series with
i) hourly frequency for business days
ii) a given start and end time to that day
For the first part, using
bdate_range(startdate,enddate,freq='h')
doesn't do the right thing. Using 'freq=h' overrides the business days such that the resulting time series includes weekends too. The frequency alias 'bh' doesn't exist in the same way 'bm' does for example. Would it be possible to add this functionality? I could write something manually to go back and remove weekends, but this messes up the Frequency label on the time series such that later functions don't work (such as EWMVAR etc)
For the second part, this is useful functionality when calculating volatility/variance to be able to specify time ranges for each day. So a Business Hourly frequency starting at say 7am and ending 7pm on a day.