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Stabilizing candlestick and adding tests
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thatzopoulos committed Feb 8, 2023
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4 changes: 4 additions & 0 deletions Changelog.md
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Expand Up @@ -12,6 +12,10 @@ This changelog should be updated as part of a PR if the work is worth noting (mo
- [#660](https://github.com/timescale/timescaledb-toolkit/issues/660): Heartbeat aggregate rollup should interpolate aggregates
- [#679](https://github.com/timescale/timescaledb-toolkit/issues/679): Heartbeat agg rollup producing invalid aggregates.

#### Stabilized features

- [#650](https://github.com/timescale/timescaledb-toolkit/pull/701): Stabilize candlestick.

#### Other notable changes
- [#685](https://github.com/timescale/timescaledb-toolkit/issues/685): rollup for freq_agg and topn_agg
- [#692](https://github.com/timescale/timescaledb-toolkit/pull/692): Support specifying a range to `duration_in` to specify a time range to get states in for state aggregates
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90 changes: 90 additions & 0 deletions docs/test_candlestick_agg.md
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# Candlestick Continuous Aggregation Tests

## Setup table
```SQL,non-transactional,ignore-output
SET TIME ZONE 'UTC';
CREATE TABLE stocks_real_time (
time TIMESTAMPTZ NOT NULL,
symbol TEXT NOT NULL,
price DOUBLE PRECISION NULL,
day_volume INT NULL
);
SELECT create_hypertable('stocks_real_time','time');
CREATE INDEX ix_symbol_time ON stocks_real_time (symbol, time DESC);
CREATE TABLE company (
symbol TEXT NOT NULL,
name TEXT NOT NULL
);
```

## Setup Continuous Aggs
```SQL,non-transactional,ignore-output
CREATE MATERIALIZED VIEW cs
WITH (timescaledb.continuous) AS
SELECT time_bucket('1 minute'::interval, "time") AS ts,
symbol,
candlestick_agg("time", price, day_volume) AS candlestick
FROM stocks_real_time
GROUP BY ts, symbol;
```

## Insert data into table
```SQL,non-transactional,ignore-output
INSERT INTO stocks_real_time("time","symbol","price","day_volume")
VALUES
('2023-01-11 17:59:57-06','AAPL',133.445,NULL),
('2023-01-11 17:59:55-06','PFE',47.38,NULL),
('2023-01-11 17:59:54-06','AMZN',95.225,NULL),
('2023-01-11 17:59:52-06','AAPL',29.82,NULL);
```

```SQL,non-transactional,ignore-output
INSERT INTO company("symbol","name")
VALUES
('AAPL','Apple'),
('PFE','Pfizer'),
('AMZN','Amazon');
```
## Query by-minute continuous aggregate over stock trade data for ohlc prices along with timestamps

```SQL,non-transactional,ignore-output
SELECT ts,
symbol,
open_time(candlestick),
open(candlestick),
high_time(candlestick),
high(candlestick),
low_time(candlestick),
low(candlestick),
close_time(candlestick),
close(candlestick)
FROM cs;
```

```output
ts | symbol | open_time | open | high_time | high | low_time | low | close_time | close
------------------------+--------+------------------------+--------+------------------------+---------+------------------------+--------+------------------------+---------
2023-01-11 23:59:00+00 | PFE | 2023-01-11 23:59:55+00 | 47.38 | 2023-01-11 23:59:55+00 | 47.38 | 2023-01-11 23:59:55+00 | 47.38 | 2023-01-11 23:59:55+00 | 47.38
2023-01-11 23:59:00+00 | AAPL | 2023-01-11 23:59:52+00 | 29.82 | 2023-01-11 23:59:57+00 | 133.445 | 2023-01-11 23:59:52+00 | 29.82 | 2023-01-11 23:59:57+00 | 133.445
2023-01-11 23:59:00+00 | AMZN | 2023-01-11 23:59:54+00 | 95.225 | 2023-01-11 23:59:54+00 | 95.225 | 2023-01-11 23:59:54+00 | 95.225 | 2023-01-11 23:59:54+00 | 95.225
```

## Roll up your by minute continuous agg into daily buckets and return the volume weighted average price for AAPL and its high price

```SQL,non-transactional,ignore-output
SELECT
time_bucket('1 day'::interval, ts) AS daily_bucket,
symbol,
vwap(rollup(candlestick)),
high(rollup(candlestick))
FROM cs
WHERE symbol = 'AAPL'
GROUP BY daily_bucket,symbol;
```

```output
daily_bucket | symbol | vwap | high
------------------------+--------+------+---------
2023-01-11 00:00:00+00 | AAPL | NULL | 133.445
```
9 changes: 8 additions & 1 deletion extension/src/accessors.rs
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Expand Up @@ -89,7 +89,14 @@ accessor! { first_val() }
accessor! { last_val() }
accessor! { first_time() }
accessor! { last_time() }

accessor! { open()}
accessor! { close()}
accessor! { high()}
accessor! { low()}
accessor! { open_time()}
accessor! { high_time()}
accessor! { low_time()}
accessor! { close_time()}
// The rest are more complex, with String or other challenges. Leaving alone for now.

pg_type! {
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