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Diffstat (limited to 'src/resample.rs')
| -rw-r--r-- | src/resample.rs | 159 |
1 files changed, 159 insertions, 0 deletions
diff --git a/src/resample.rs b/src/resample.rs new file mode 100644 index 0000000..74894bb --- /dev/null +++ b/src/resample.rs @@ -0,0 +1,159 @@ +use crate::data::Candle; + +#[derive(Clone, Copy, PartialEq, Debug)] +pub enum Interval { + Day, + Week, + Month, +} + +impl Interval { + pub const ALL: [Interval; 3] = [Interval::Day, Interval::Week, Interval::Month]; + + pub fn name(self) -> &'static str { + match self { + Interval::Day => "day", + Interval::Week => "week", + Interval::Month => "month", + } + } + + pub fn parse(s: &str) -> Option<Interval> { + Interval::ALL.into_iter().find(|i| i.name() == s) + } +} + +/// Days since 1970-01-01 for a `YYYY-MM-DD` date (Howard Hinnant's civil-days algorithm). +fn days_from_date(date: &str) -> i64 { + let (y, m, d): (i64, i64, i64) = ( + date[0..4].parse().unwrap_or(1970), + date[5..7].parse().unwrap_or(1), + date[8..10].parse().unwrap_or(1), + ); + let y = if m <= 2 { y - 1 } else { y }; + let era = y.div_euclid(400); + let yoe = y - era * 400; + let doy = (153 * (if m > 2 { m - 3 } else { m + 9 }) + 2) / 5 + d - 1; + let doe = yoe * 365 + yoe / 4 - yoe / 100 + doy; + era * 146097 + doe - 719468 +} + +/// Monday = 0 ... Sunday = 6. +fn weekday(date: &str) -> i64 { + (days_from_date(date) + 3).rem_euclid(7) +} + +/// Bars are grouped by Monday-based week (1970-01-01 was a Thursday) or by calendar month. +fn group_key(date: &str, interval: Interval) -> i64 { + match interval { + Interval::Day => days_from_date(date), + Interval::Week => (days_from_date(date) + 3).div_euclid(7), + Interval::Month => date[0..4].parse::<i64>().unwrap_or(0) * 12 + date[5..7].parse::<i64>().unwrap_or(1), + } +} + +/// Aggregate daily candles: first open, highest high, lowest low, last close, summed volume; +/// `date` is the last trading day of the group. +pub fn resample(candles: &[Candle], interval: Interval) -> Vec<Candle> { + if interval == Interval::Day { + return candles.to_vec(); + } + let mut out: Vec<Candle> = Vec::new(); + let mut last_key = None; + for c in candles { + let key = group_key(&c.date, interval); + match (last_key == Some(key), out.last_mut()) { + (true, Some(bar)) => { + bar.high = bar.high.max(c.high); + bar.low = bar.low.min(c.low); + bar.close = c.close; + bar.volume += c.volume; + bar.date = c.date.clone(); + } + _ => out.push(c.clone()), + } + last_key = Some(key); + } + out +} + +/// Whether the last bar may still be incomplete: a week whose last trading day is before +/// Friday, or a month whose last trading day is not on or after the 28th-ish last weekday. +/// (Exchange holidays are not known, so this is a hint, not a guarantee.) +pub fn last_bar_partial(candles: &[Candle], interval: Interval) -> bool { + let Some(last) = candles.last() else { return false }; + match interval { + Interval::Day => false, + Interval::Week => weekday(&last.date) < 4, + Interval::Month => { + // last weekday of the month: step back from the month's last day + let (y, m): (i64, i64) = (last.date[0..4].parse().unwrap_or(0), last.date[5..7].parse().unwrap_or(1)); + let (ny, nm) = if m == 12 { (y + 1, 1) } else { (y, m + 1) }; + let first_next = days_from_date(&format!("{ny:04}-{nm:02}-01")); + let mut d = first_next - 1; + while (d + 3).rem_euclid(7) >= 5 { + d -= 1; + } + days_from_date(&last.date) < d - 3 // allow a few holiday days before the last weekday + } + } +} + +#[cfg(test)] +mod tests { + use super::*; + + fn c(date: &str, o: f64, h: f64, l: f64, cl: f64, v: f64) -> Candle { + Candle { date: date.into(), open: o, high: h, low: l, close: cl, volume: v } + } + + #[test] + fn weekday_known_dates() { + assert_eq!(weekday("1970-01-01"), 3); // Thursday + assert_eq!(weekday("2024-01-01"), 0); // Monday + assert_eq!(weekday("2026-10-12"), 0); // Monday + assert_eq!(weekday("2024-02-29"), 3); // leap day, Thursday + } + + #[test] + fn weekly_spans_year_boundary_and_holiday() { + // 2023-12-28 Thu, 12-29 Fri | 2024-01-01 Mon (holiday, absent), 01-02 Tue, 01-05 Fri | 01-08 Mon + let days = [ + c("2023-12-28", 10.0, 12.0, 9.0, 11.0, 100.0), + c("2023-12-29", 11.0, 13.0, 10.0, 12.0, 200.0), + c("2024-01-02", 12.0, 14.0, 11.0, 13.0, 300.0), + c("2024-01-05", 13.0, 15.0, 8.0, 9.0, 400.0), + c("2024-01-08", 9.0, 10.0, 8.5, 9.5, 500.0), + ]; + let w = resample(&days, Interval::Week); + assert_eq!(w.len(), 3); + assert_eq!((w[0].open, w[0].high, w[0].low, w[0].close, w[0].volume), (10.0, 13.0, 9.0, 12.0, 300.0)); + assert_eq!(w[0].date, "2023-12-29"); + assert_eq!((w[1].open, w[1].high, w[1].low, w[1].close, w[1].volume), (12.0, 15.0, 8.0, 9.0, 700.0)); + assert_eq!(w[1].date, "2024-01-05"); + assert_eq!(w[2].date, "2024-01-08"); + } + + #[test] + fn monthly_groups_by_calendar_month() { + let days = [ + c("2024-01-30", 1.0, 2.0, 0.5, 1.5, 10.0), + c("2024-01-31", 1.5, 3.0, 1.0, 2.0, 10.0), + c("2024-02-01", 2.0, 2.5, 1.5, 2.2, 10.0), + ]; + let m = resample(&days, Interval::Month); + assert_eq!(m.len(), 2); + assert_eq!((m[0].high, m[0].low, m[0].close, m[0].volume), (3.0, 0.5, 2.0, 20.0)); + assert_eq!(m[0].date, "2024-01-31"); + } + + #[test] + fn partial_flags() { + let thu = [c("2026-10-08", 1.0, 1.0, 1.0, 1.0, 1.0)]; + let fri = [c("2026-10-09", 1.0, 1.0, 1.0, 1.0, 1.0)]; + assert!(last_bar_partial(&thu, Interval::Week)); + assert!(!last_bar_partial(&fri, Interval::Week)); + assert!(last_bar_partial(&thu, Interval::Month)); // 2026-10-30 is the last weekday + assert!(!last_bar_partial(&[c("2026-10-30", 1.0, 1.0, 1.0, 1.0, 1.0)], Interval::Month)); + } +} |