ohlc() functions
Toolkit
TimescaleDB Toolkit functions are available under Timescale Community Edition. They are automatically included with Timescale Cloud. Click to learn more.

Perform analysis of financial asset data. These specialized hyperfunctions make it easier to write financial analysis queries that involve open, high, low, and closing prices.

They help you answer questions such as:

What are the opening and closing prices of these stocks?
When did the highest price occur for this stock?

deprecation

The candlestick_agg functions provide a better API for financial analysis that allows you to include trading volume data. ohlc is deprecated in favor of these functions.

This group of functions uses the two-step aggregation pattern.

Rather than calculating the final result in one step, you first create an intermediate aggregate by using the aggregate function.

Then, use any of the accessors on the intermediate aggregate to calculate a final result. You can also roll up multiple intermediate aggregates with the rollup functions.

The two-step aggregation pattern has several advantages:

More efficient because multiple accessors can reuse the same aggregate
Easier to reason about performance, because aggregation is separate from final computation
Easier to understand when calculations can be rolled up into larger intervals, especially in window functions and continuous aggregates
Can perform retrospective analysis even when underlying data is dropped, because the intermediate aggregate stores extra information not available in the final result

To learn more, see the blog post on two-step aggregates.

Functions in this group

warning

This function group includes some experimental functions. Experimental functions might change or be removed in future releases. We do not recommend using them in production. Experimental functions are marked with an Experimental tag.

ohlc: Experimental
Aggregate financial asset data into an intermediate form for further calculation

close: Experimental
Get the closing price from an OHLC aggregate
close_time: Experimental
Get the timestamp corresponding to the closing time from an OHLC aggregate
high: Experimental
Get the high price from an OHLC aggregate
high_time: Experimental
Get the timestamp corresponding to the high time from an OHLC aggregate
low: Experimental
Get the low price from an OHLC aggregate
low_time: Experimental
Get the timestamp corresponding to the low time from an OHLC aggregate
open: Experimental
Get the opening price from an OHLC aggregate
open_time: Experimental
Get the timestamp corresponding to the opening time from an OHLC aggregate

rollup: Experimental
Roll up multiple OHLC aggregates

Function details

ohlc(
  ts TIMESTAMPTZ,
  price DOUBLE PRECISION
) RETURNS OpenHighLowClose

This is the first step for performing financial calculations on asset prices. Use ohlc to create an intermediate aggregate from your price data. This intermediate form can then be used by one or more accessors in this group to compute final results.

Optionally, multiple such intermediate aggregate objects can be combined using rollup() before an accessor is applied.

Required arguments

Name	Type	Description
`ts`	`TIMESTAMPTZ`	Timestamp associated with stock price
`price`	`DOUBLE PRECISION`	Stock quote price at the given time

Returns

Column	Type	Description
`agg`	`OpenHighLowClose`	An object storing `(timestamp, value)` pairs for each of the opening, high, low, and closing prices.

Examples

Create a continuous aggregate on some stock data. Store the asset prices for each bucket:


CREATE MATERIALIZED VIEW ohlc
WITH (timescaledb.continuous) AS
SELECT time_bucket('1 minute'::interval, "time") AS ts,
  symbol,
  toolkit_experimental.ohlc("time", price)
FROM stocks_real_time
GROUP BY ts, symbol

close(
  ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the closing price from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`close`	`DOUBLE PRECISION`	The closing price

close_time(
  ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

Get the timestamp corresponding to the closing time from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`close_time`	`TIMESTAMPTZ`	The time at which the closing price occurred

high(
  ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the high price from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`high`	`DOUBLE PRECISION`	The high price

high_time(
  ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

Get the timestamp corresponding to the high time from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`high_time`	`TIMESTAMPTZ`	The time at which the high price occurred

low(
  ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the low price from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`low`	`DOUBLE PRECISION`	The low price

low_time(
    ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

Get the timestamp corresponding to the low time from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`low_time`	`TIMESTAMPTZ`	The time at which the low price occurred

open(
  ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the opening price from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`open`	`DOUBLE PRECISION`	The opening price

open_time(
  ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

Get the timestamp corresponding to the opening time from an OHLC aggregate.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	An OpenHighLowClose aggregate.

Returns

Column	Type	Description
`open_time`	`TIMESTAMPTZ`	The time at which the opening price occurred

rollup(
  ohlc OpenHighLowClose
) RETURNS OpenHighLowClose

Combine multiple intermediate OHLC aggregates, produced by ohlc, into a single intermediate OHLC aggregate. For example, you can use rollup to combine OHLC aggregates from 15-minute buckets into daily buckets.

Required arguments

Name	Type	Description
`ohlc`	`OpenHighLowClose`	The aggregate produced by an `ohlc` call

Returns

Column	Type	Description
`ohlc`	`OpenHighLowClose`	A new OHLC aggregate produced by combining the input OHLC aggregates

Extended examples

Calculate by-minute stock-tick prices

Combine stock tick data into one-minute buckets. Return the asset prices and timestamps for each minute:


WITH ohlc AS (
    SELECT time_bucket('1 minute'::interval, ts) AS minute_bucket,
      symbol,
      toolkit_experimental.ohlc(ts, price)
    FROM stocks_real_time
    GROUP BY minute_bucket, symbol
)
SELECT minute_bucket,
  symbol,
  toolkit_experimental.open_time(ohlc),
  toolkit_experimental.open(ohlc),
  toolkit_experimental.high_time(ohlc),
  toolkit_experimental.high(ohlc),
  toolkit_experimental.low_time(ohlc),
  toolkit_experimental.low(ohlc),
  toolkit_experimental.close_time(ohlc)
  toolkit_experimental.close(ohlc)
FROM ohlc;

Roll up multiple continuous aggregates

Roll up a by-minute continuous aggregate into hourly buckets and return the OHLC prices:


SELECT time_bucket('1 hour'::interval, ts) AS hourly_bucket,
    symbol,
    toolkit_experimental.open(toolkit_experimental.rollup(ohlc)),
    toolkit_experimental.high(toolkit_experimental.rollup(ohlc)),
    toolkit_experimental.low(toolkit_experimental.rollup(ohlc)),
    toolkit_experimental.close(toolkit_experimental.rollup(ohlc)),
FROM ohlc
GROUP BY hourly_bucket, symbol;

Roll up a by-minute aggregate into a daily aggregate and return the OHLC prices:


WITH ohlc AS (
    SELECT time_bucket('1 minute'::interval, ts) AS minute_bucket,
      symbol,
      toolkit_experimental.ohlc(ts, price)
    FROM stocks_real_time
    GROUP BY minute_bucket, symbol
)
SELECT time_bucket('1 day'::interval , bucket) AS daily_bucket
  symbol,
  toolkit_experimental.open(toolkit_experimental.rollup(ohlc)),
  toolkit_experimental.high(toolkit_experimental.rollup(ohlc)),
  toolkit_experimental.low(toolkit_experimental.rollup(ohlc)),
  toolkit_experimental.close(toolkit_experimental.rollup(ohlc))
FROM ohlc
GROUP BY daily_bucket, symbol;

ohlc() functions
Toolkit
TimescaleDB Toolkit functions are available under Timescale Community Edition. They are automatically included with Timescale Cloud. Click to learn more.

Two-step aggregation

Functions in this group

Aggregate

Accessor

Rollup

Function details

ohlc()

close()

close_time()

high()

high_time()

low()

low_time()

open()

open_time()

rollup()

Extended examples

Calculate by-minute stock-tick prices

Roll up multiple continuous aggregates

Related Content

ohlc() functionsToolkitTimescaleDB Toolkit functions are available under Timescale Community Edition. They are automatically included with Timescale Cloud. Click to learn more.

Introduction

Related hyperfunction groups

Two-step aggregation

Functions in this group

Aggregate

Accessor

Rollup

Function details

ohlc()

close()

close_time()

high()

high_time()

low()

low_time()

open()

open_time()

rollup()

Extended examples

Calculate by-minute stock-tick prices

Roll up multiple continuous aggregates

Related Content

ohlc() functions
Toolkit
TimescaleDB Toolkit functions are available under Timescale Community Edition. They are automatically included with Timescale Cloud. Click to learn more.