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ohlc() functions

Introduction

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.

Two-step aggregation

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:

  1. More efficient because multiple accessors can reuse the same aggregate
  2. Easier to reason about performance, because aggregation is separate from final computation
  3. Easier to understand when calculations can be rolled up into larger intervals, especially in window functions and continuous aggregates
  4. 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.

Aggregate

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

Accessor

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

Rollup

rollup
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
NameTypeDescription
tsTIMESTAMPTZTimestamp associated with stock price
priceDOUBLE PRECISIONStock quote price at the given time
Returns
ColumnTypeDescription
aggOpenHighLowCloseAn 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
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
closeDOUBLE PRECISIONThe closing price
close_time(
ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

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

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
close_timeTIMESTAMPTZThe time at which the closing price occurred
high(
ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the high price from an OHLC aggregate.

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
highDOUBLE PRECISIONThe high price
high_time(
ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

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

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
high_timeTIMESTAMPTZThe time at which the high price occurred
low(
ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the low price from an OHLC aggregate.

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
lowDOUBLE PRECISIONThe low price
low_time(
ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

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

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
low_timeTIMESTAMPTZThe time at which the low price occurred
open(
ohlc OpenHighLowClose
) RETURNS DOUBLE PRECISION

Get the opening price from an OHLC aggregate.

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
openDOUBLE PRECISIONThe opening price
open_time(
ohlc OpenHighLowClose
) RETURNS TIMESTAMPTZ

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

Required arguments
NameTypeDescription
ohlcOpenHighLowCloseAn OpenHighLowClose aggregate.
Returns
ColumnTypeDescription
open_timeTIMESTAMPTZThe 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
NameTypeDescription
ohlcOpenHighLowCloseThe aggregate produced by an ohlc call
Returns
ColumnTypeDescription
ohlcOpenHighLowCloseA 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;

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