calendar compression for all calendars.

lib/calendar/src/ta/calendar/compress.clj

@@ -4,7 +4,8 @@
    [tech.v3.datatype :as dtype]
    [tech.v3.datatype.functional :as dfn]
    [tablecloth.api :as tc]
-   [ta.helper.date-ds :as h]))
+   [ta.helper.date-ds :as h]
+   [ta.calendar.core :refer [current-close2]]))
 
 (def midnight (t/time "00:00:00"))
 
@@ -59,6 +60,11 @@
   (let [date-group-col (dtype/emap year-end-date :zoned-date-time (:date ds))]
     (tc/add-column ds :date-group date-group-col)))
 
+(defn add-date-group-calendar [ds calendar]
+  (let [group-fn (partial current-close2 calendar)
+        date-group-col (dtype/emap group-fn :zoned-date-time (:date ds))]
+    (tc/add-column ds :date-group date-group-col)))
+
 ;; COMPRESS
 
 (defn compress-ds [grouped-ds]
@@ -87,11 +93,21 @@
                                 (count)))})
    (tc/rename-columns {:date-group :date})))
 
+(defn compress-to-calendar [ds calendar]
+  (->  ds
+       (add-date-group-calendar calendar)
+       compress-ds))
+
 (comment
 
   (year-month->date 2021 04)
+  ;; => #time/zoned-date-time "2021-04-30T00:00Z[UTC]"
+
   (month-end-date (t/instant))
+  ;; => #time/zoned-date-time "2024-07-31T00:00Z[UTC]"
+
   (month-end-date (t/instant "2023-01-01T15:30:00Z"))
+  ;; => #time/zoned-date-time "2023-01-31T00:00Z[UTC]"
 
   (def ds (tc/dataset [{:date (t/instant "2021-01-01T15:30:00Z")
                         :open 100
@@ -121,6 +137,63 @@
       (add-date-group-month)
       (compress-ds))
 
+  (def ds-intraday (tc/dataset [{:date (t/instant "2024-07-04T14:25:00Z")
+                                 :open 100
+                                 :high 110
+                                 :low 90
+                                 :close 105
+                                 :volume 100}
+                                {:date (t/instant "2024-07-04T14:46:00Z")
+                                 :open 106
+                                 :high 115
+                                 :low 101
+                                 :close 109
+                                 :volume 100}
+                                {:date (t/instant "2024-07-04T14:59:00Z")
+                                 :open 110
+                                 :high 121
+                                 :low 105
+                                 :close 116
+                                 :volume 100}]))
+
+  (-> ds-intraday
+      (compress-to-calendar [:crypto :m15]))
+ ;;    |                  :date | :open | :high | :low | :close | :volume | :count |
+ ;;    |------------------------|------:|------:|-----:|-------:|--------:|-------:|
+ ;;    | 2024-07-04T14:15Z[UTC] |   100 |   110 |   90 |    105 |     100 |      1 |
+ ;;    | 2024-07-04T14:45Z[UTC] |   106 |   121 |  101 |    116 |     200 |      2 |
+
+  (-> ds-intraday
+      (compress-to-calendar [:crypto :m30]))
+  ;;    |                  :date | :open | :high | :low | :close | :volume | :count |
+  ;;    |------------------------|------:|------:|-----:|-------:|--------:|-------:|
+  ;;    | 2024-07-04T14:00Z[UTC] |   100 |   110 |   90 |    105 |     100 |      1 |
+  ;;    | 2024-07-04T14:30Z[UTC] |   106 |   121 |  101 |    116 |     200 |      2 |
+
+  (-> ds-intraday
+      (compress-to-calendar [:crypto :h]))
+  ;; => _unnamed [1 7]:
+  ;;    
+  ;;    |                  :date | :open | :high | :low | :close | :volume | :count |
+  ;;    |------------------------|------:|------:|-----:|-------:|--------:|-------:|
+  ;;    | 2024-07-04T14:00Z[UTC] |   100 |   121 |   90 |    116 |     300 |      3 |
+
+  (-> ds-intraday
+      (compress-to-calendar [:crypto :d]))
+   ;; => _unnamed [1 7]:
+   ;;    
+   ;;    |                     :date | :open | :high | :low | :close | :volume | :count |
+   ;;    |---------------------------|------:|------:|-----:|-------:|--------:|-------:|
+   ;;    | 2024-07-03T23:59:59Z[UTC] |   100 |   121 |   90 |    116 |     300 |      3 |
+
+  (-> ds-intraday
+      (compress-to-calendar [:crypto :W]))
+   ;; => _unnamed [1 7]:
+   ;;    
+   ;;    |                     :date | :open | :high | :low | :close | :volume | :count |
+   ;;    |---------------------------|------:|------:|-----:|-------:|--------:|-------:|
+   ;;    | 2024-06-30T23:59:59Z[UTC] |   100 |   121 |   90 |    116 |     300 |      3 |
+
 ; 
   )
 

lib/calendar/src/ta/calendar/core.clj

@@ -41,6 +41,19 @@
       (current-close-dt calendar dt)
       (current-close-dt calendar (t/now)))))
 
+(defn current-close2 [[calendar-kw interval-kw] dt]
+  ; 2 reasons for this variation:
+  ; 1. calendar argument vector (not two args) this is our new syntax
+  ; 2. no optional arg, so in compression nothign goes wrong.
+  ; current-close should be replaced by this version.
+  (let [calendar (calendar-kw calendars)
+        interval (interval-kw intervals)
+        _ (assert calendar)
+        _ (assert interval)
+        current-close-dt (:current-close interval)
+        _ (assert dt "current close dt is nil.")]
+    (current-close-dt calendar dt)))
+
 (defn calendar-seq ; todo: [cal interval] instead of 2 parameter
   ([calendar-kw interval-kw]
    (let [cur-dt (current-close calendar-kw interval-kw)]

lib/calendar/src/ta/calendar/interval/month.clj

@@ -66,7 +66,11 @@
 
   (current-close (:us cal/calendars) (t/in (t/date-time "2024-03-04T12:00:00") "America/New_York"))
   (current-close (:us cal/calendars) (t/in (t/date-time "2024-02-04T12:00:00") "America/New_York"))
+
+  (current-close (:us cal/calendars) (t/in (t/date-time "2024-01-31T16:59:59") "America/New_York"))
   (current-close (:us cal/calendars) (t/in (t/date-time "2024-01-31T17:00:00") "America/New_York"))
+  (current-close (:us cal/calendars) (t/in (t/date-time "2024-01-31T17:00:01") "America/New_York"))
+
   (month-close (:us cal/calendars) (t/date "2024-03-04"))
 
   (t/first-day-of-month (t/date "2024-03-04"))