Currently I'm generating a DateTimeIndex using a certain function,
zipline.utils.tradingcalendar.get_trading_days. The time series is roughly daily but with some gaps.
My goal is to get the last date in the
DateTimeIndex for each month.
.to_timestamp('M') don't work since they give the last day of the month rather than the last value of the variable in each month.
As an example, if this is my time series I would want to select '2015-05-29' while the last day of the month is '2015-05-31'.
['2015-05-18', '2015-05-19', '2015-05-20', '2015-05-21',
'2015-05-22', '2015-05-26', '2015-05-27', '2015-05-28',