Stabilize Candlestick/OHLC

Changelog.md

@@ -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
+
+- [#701](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

docs/test_candlestick_agg.md

@@ -0,0 +1,87 @@
+# 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');
+```
+
+## 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 18:59:59+00','AAPL',140,20),
+('2023-01-11 18:23:58+00','AAPL',100,10),
+('2023-01-11 17:59:57+00','AAPL',133.445,NULL),
+('2023-01-11 17:59:55+00','PFE',47.38,2000),
+('2023-01-11 12:15:55+00','PFE',1,23),
+('2023-01-11 12:00:52+00','AAPL',29.82,NULL),
+('2023-01-11 11:12:12+00','PFE',47.38,14),
+('2023-01-11 11:01:50+00','AMZN',95.25,1000),
+('2023-01-11 11:01:32+00','AMZN',92,NULL),
+('2023-01-11 11:01:30+00','AMZN',75.225,NULL);
+```
+## Query by-minute continuous aggregate over stock trade data for ohlc prices along with timestamps 
+
+```SQL,non-transactional
+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 12:15:00+00 | PFE    | 2023-01-11 12:15:55+00 |       1 | 2023-01-11 12:15:55+00 |       1 | 2023-01-11 12:15:55+00 |       1 | 2023-01-11 12:15:55+00 |       1
+ 2023-01-11 17:59:00+00 | PFE    | 2023-01-11 17:59:55+00 |   47.38 | 2023-01-11 17:59:55+00 |   47.38 | 2023-01-11 17:59:55+00 |   47.38 | 2023-01-11 17:59:55+00 |   47.38
+ 2023-01-11 11:01:00+00 | AMZN   | 2023-01-11 11:01:30+00 |  75.225 | 2023-01-11 11:01:50+00 |   95.25 | 2023-01-11 11:01:30+00 |  75.225 | 2023-01-11 11:01:50+00 |   95.25
+ 2023-01-11 18:59:00+00 | AAPL   | 2023-01-11 18:59:59+00 |     140 | 2023-01-11 18:59:59+00 |     140 | 2023-01-11 18:59:59+00 |     140 | 2023-01-11 18:59:59+00 |     140
+ 2023-01-11 11:12:00+00 | PFE    | 2023-01-11 11:12:12+00 |   47.38 | 2023-01-11 11:12:12+00 |   47.38 | 2023-01-11 11:12:12+00 |   47.38 | 2023-01-11 11:12:12+00 |   47.38
+ 2023-01-11 17:59:00+00 | AAPL   | 2023-01-11 17:59:57+00 | 133.445 | 2023-01-11 17:59:57+00 | 133.445 | 2023-01-11 17:59:57+00 | 133.445 | 2023-01-11 17:59:57+00 | 133.445
+ 2023-01-11 18:23:00+00 | AAPL   | 2023-01-11 18:23:58+00 |     100 | 2023-01-11 18:23:58+00 |     100 | 2023-01-11 18:23:58+00 |     100 | 2023-01-11 18:23:58+00 |     100
+ 2023-01-11 12:00:00+00 | AAPL   | 2023-01-11 12:00:52+00 |   29.82 | 2023-01-11 12:00:52+00 |   29.82 | 2023-01-11 12:00:52+00 |   29.82 | 2023-01-11 12:00:52+00 |   29.82
+```
+
+## 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
+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   |  |  140
+```

extension/src/accessors.rs

@@ -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! {