Examples

import numpy as np
import pandas as pd

i = pd.date_range('2019-04-09', periods=4, freq='1D20min')
ts = pd.DataFrame({'P': [2, 3, 4, 5]}, index=i)
ts

	P
2019-04-09 00:00:00	2
2019-04-10 00:20:00	3
2019-04-11 00:40:00	4
2019-04-12 01:00:00	5

ts.between_time('0:15', '0:40')

	P
2019-04-10 00:20:00	3
2019-04-11 00:40:00	4

You get the times that are not between two times by setting start_time later
and end_time:

ts.between_time('0:40', '0:15')

	P
2019-04-09 00:00:00	2
2019-04-11 00:40:00	4
2019-04-12 01:00:00	5