Converting OHLC stock data into a different timeframe with python and pandas

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With a more recent version of Pandas, there is a resample method. It is very fast and is useful to accomplish the same task:

ohlc_dict = {                                                                                                             
    'Open': 'first',                                                                                                    
    'High': 'max',                                                                                                       
    'Low': 'min',                                                                                                        
    'Close': 'last',                                                                                                    
    'Volume': 'sum',
}

df.resample('5T', closed='left', label="left").apply(ohlc_dict)

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