BUG: Iteration over DatetimeIndex stops at chunksize (GH21012)
- [x] closes #21012
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

avoided using `yield` and changing DatetimeIndex itself into a iterator. @cbertinato 's advice was helpful.