Create OHLC aggregate and accompanying accessors #496
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WireBaron
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Aug 16, 2022
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Added tests for extreme values in both the timestamp and price columns. Also required |
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596: Introduce Candlestick Aggregate r=rtwalker a=rtwalker Use new Candlestick struct to handle volume data. Introduces aggregate: * `toolkit_experimental.candlestick_agg(ts, price, volume)` and function: * `toolkit_experimental.candlestick(ts, open, high, low, close, volume)` Both new aggregates support the following accessors (in addition to being re-aggregated via `rollup`): * `open` * `high` * `low` * `close` * `open_time` * `high_time` * `low_time` * `close_time` * `volume` * `vwap` (Volume Weighted Average Price) VWAP calculated from the candlestick function uses typical price = (high + low + close) / 3 The original `toolkit_experimental.ohlc(ts, price)` aggregate should still work the same, but will be superseded by this new functionality. Closes #496 Co-authored-by: Ryan Walker <rwalker@timescale.com> Co-authored-by: Eric Gillespie <epg@timescale.com>
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Begins to address #445.
Introduces OHLC aggregate called as
toolkit_experimental.ohlc(timestamp, price).The following accessors are provided for use with the
OpenHighLowCloseaggregate:open,high,low,closealong with the timestamp-returning versions:
open_at,high_at,low_at,close_atAdditionally, there is a new
toolkit_experimental.rollup()aggregate that takesOpenHighLowCloseaggregates as input.In the event that multiple rows contain the highest or lowest value, only the earliest occurrence is retained. Similarly, should multiple rows contain the opening or closing timestamp, this implementation only updates the open/close points with a new value when the new timestamp is strictly earlier/later than current timestamp.
Additional work on #445 remains to address handling volume (and possibly creating technical indicators).