diff --git a/docs/src/split.md b/docs/src/split.md
index f7858910..bb919264 100644
--- a/docs/src/split.md
+++ b/docs/src/split.md
@@ -124,3 +124,14 @@ using MarketData
 tail(cl)
 tail(cl, 3)
 ```
+
+## Splitting by period
+
+Splitting data by a given function, e.g. `Dates.day` into periods.
+
+```@repl
+using TimeSeries
+using MarketData
+
+split(cl, Dates.day)
+```
\ No newline at end of file
diff --git a/src/TimeSeries.jl b/src/TimeSeries.jl
index 727e3be2..8addb07b 100644
--- a/src/TimeSeries.jl
+++ b/src/TimeSeries.jl
@@ -12,12 +12,12 @@ using Tables
 using PrettyTables: pretty_table
 
 export TimeArray, AbstractTimeSeries,
-       when, from, to, findwhen, timestamp, values, colnames, meta, head, tail,
-       lag, lead, diff, percentchange, moving, upto,
-       uniformspaced, uniformspace, dropnan,
-       basecall,
-       merge, collapse,
-       readtimearray, writetimearray
+    when, from, to, findwhen, timestamp, values, colnames, meta, head, tail, split,
+    lag, lead, diff, percentchange, moving, upto,
+    uniformspaced, uniformspace, dropnan,
+    basecall,
+    merge, collapse,
+    readtimearray, writetimearray
 
 # modify.jl
 export rename, rename!
diff --git a/src/split.jl b/src/split.jl
index 13688d1e..ca150b56 100644
--- a/src/split.jl
+++ b/src/split.jl
@@ -7,17 +7,17 @@ when(ta::TimeArray, period::Function, t::String) =
 
 # from, to ######################
 
-from(ta::TimeArray{T, N, D}, d::D) where {T, N, D} =
+from(ta::TimeArray{T,N,D}, d::D) where {T,N,D} =
     length(ta) == 0 ? ta :
-        d < timestamp(ta)[1] ? ta :
-        d > timestamp(ta)[end] ? ta[1:0] :
-        ta[searchsortedfirst(timestamp(ta), d):end]
+    d < timestamp(ta)[1] ? ta :
+    d > timestamp(ta)[end] ? ta[1:0] :
+    ta[searchsortedfirst(timestamp(ta), d):end]
 
-to(ta::TimeArray{T, N, D}, d::D) where {T, N, D} =
+to(ta::TimeArray{T,N,D}, d::D) where {T,N,D} =
     length(ta) == 0 ? ta :
-        d < timestamp(ta)[1] ? ta[1:0] :
-        d > timestamp(ta)[end] ? ta :
-        ta[1:searchsortedlast(timestamp(ta), d)]
+    d < timestamp(ta)[1] ? ta[1:0] :
+    d > timestamp(ta)[end] ? ta :
+    ta[1:searchsortedlast(timestamp(ta), d)]
 
 ###### findall ##################
 
@@ -43,7 +43,7 @@ findwhen(ta::TimeArray{Bool,1}) = timestamp(ta)[findall(values(ta))]
     end
 end
 
- @generated function tail(ta::TimeArray{T,N}, n::Int=6) where {T,N}
+@generated function tail(ta::TimeArray{T,N}, n::Int=6) where {T,N}
     new_values = (N == 1) ? :(values(ta)[start:end]) : :(values(ta)[start:end, :])
 
     quote
@@ -58,3 +58,37 @@ end
 Base.first(ta::TimeArray) = head(ta, 1)
 
 Base.last(ta::TimeArray) = tail(ta, 1)
+
+
+"""
+    split(data::TimeSeries.TimeArray, period::Function)
+
+Split `data` by `period` function, returns a vector of `TimeSeries.TimeArray`.
+
+## Arguments
+
+- `data::TimeSeries.TimeArray`: Data to split
+- `period::Function`: Function, e.g. `Dates.day` that is used to split the `data`.
+"""
+split(data::TimeSeries.TimeArray, period::Function) = map(i -> data[i], _split(data, period))
+function _split(data::TimeSeries.TimeArray, period::Function)
+    isempty(data) && return data
+
+    m = length(data)
+    ts = TimeSeries.timestamp(data)
+    idx = UnitRange{Int}[]
+    sizehint!(idx, m)
+
+    t0 = period(ts[1])
+    j = 1
+    for i in 1:(m-1)
+        t1 = period(ts[i+1])
+        t0 == t1 && continue
+        push!(idx, j:i)
+        j = i + 1
+        t0 = t1
+    end
+    push!(idx, j:m)
+
+    return idx
+end
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