diff --git a/catalyst/exchange/utils/datetime_utils.py b/catalyst/exchange/utils/datetime_utils.py index 03dee4f7..5b8d1b10 100644 --- a/catalyst/exchange/utils/datetime_utils.py +++ b/catalyst/exchange/utils/datetime_utils.py @@ -251,7 +251,10 @@ def get_year_start_end(dt, first_day=None, last_day=None): def get_frequency(freq, data_frequency=None, supported_freqs=['D', 'H', 'T']): """ - Get the frequency parameters. + Takes an arbitrary candle size (e.g. 15T) and converts to the lowest + common denominator supported by the data bundles (e.g. 1T). The data + bundles only support 1T and 1D frequencies. If another frequency + is requested, Catalyst must request the underlying data and resample. Notes -----