Rollup candlesticks via @CandlestickColumn

[danstarns]

Related:

• Allow Candlestick builder to also rollup from previous continuous aggregates #18

This PR adds the @CandlestickColumn and @TimeColum to better support rolled-up candlesticks.

Setting Up a Stock Price Entity

Create a stock price entity that will serve as our base for candlestick and rollup operations:

import { Entity, Column } from 'typeorm';
import { Hypertable, TimeColumn } from '@timescaledb/typeorm';

@Entity('stock_prices')
@Hypertable({
  compression: {
    compress: true,
    compress_orderby: 'timestamp',
    compress_segmentby: 'symbol',
    policy: {
      schedule_interval: '7 days',
    },
  },
})
export class StockPrice {
  @PrimaryColumn({ type: 'varchar' })
  symbol!: string;

  @TimeColumn()
  timestamp!: Date;

  @Column({ type: 'decimal', precision: 10, scale: 2 })
  price!: number;

  @Column({ type: 'decimal', precision: 10, scale: 2 })
  volume!: number;
}

Generating 1-Minute Candlesticks

Create a continuous aggregate for 1-minute candlesticks:

import { ContinuousAggregate, BucketColumn, CandlestickColumn } from '@timescaledb/typeorm';
import { StockPrice } from './StockPrice';
import { Candlestick } from '@timescaledb/schemas';

@ContinuousAggregate(StockPrice, {
  name: 'stock_candlesticks_1m',
  bucket_interval: '1 minute',
  refresh_policy: {
    start_offset: '1 day',
    end_offset: '1 minute',
    schedule_interval: '1 minute',
  },
})
export class StockPrice1M {
  @BucketColumn({
    source_column: 'timestamp',
  })
  bucket!: Date;

  @PrimaryColumn()
  symbol!: string;

  @CandlestickColumn({
    time_column: 'timestamp',
    price_column: 'price',
    volume_column: 'volume',
  })
  candlestick!: Candlestick;
}

Creating 1-Hour Rollups

Create a rollup that aggregates the 1-minute candlesticks into 1-hour candlesticks:

import { Rollup, BucketColumn, CandlestickColumn } from '@timescaledb/typeorm';
import { StockPrice1M } from './StockPrice1M';
import { Candlestick } from '@timescaledb/schemas';

@Rollup(StockPrice1M, {
  name: 'stock_candlesticks_1h',
  bucket_interval: '1 hour',
  refresh_policy: {
    start_offset: '7 days',
    end_offset: '1 hour',
    schedule_interval: '1 hour',
  },
})
export class StockPrice1H {
  @BucketColumn({
    source_column: 'bucket',
  })
  bucket!: Date;

  @PrimaryColumn()
  symbol!: string;

  @CandlestickColumn({
    source_column: 'candlestick',
  })
  candlestick!: Candlestick;
}

Querying Candlesticks

1-Minute Candlesticks

import { AppDataSource } from './data-source';
import { StockPrice1M } from './models/StockPrice1M';

async function get1MinuteCandlesticks() {
  const repository = AppDataSource.getRepository(StockPrice1M);

  const candlesticks = await repository
    .createQueryBuilder()
    .where('bucket >= :start', { start: new Date('2025-01-01') })
    .andWhere('bucket < :end', { end: new Date('2025-01-02') })
    .andWhere('symbol = :symbol', { symbol: 'AAPL' })
    .orderBy('bucket', 'ASC')
    .getMany();

  console.log(JSON.stringify(candlesticks, null, 2));
  // Example output:
  // [
  //   {
  //     "bucket": "2025-01-01T00:00:00.000Z",
  //     "symbol": "AAPL",
  //     "candlestick": {
  //       "open": 150.25,
  //       "high": 152.30,
  //       "low": 149.80,
  //       "close": 151.45,
  //       "volume": 1250000,
  //       "open_time": "2025-01-01T00:00:15.000Z",
  //       "close_time": "2025-01-01T00:59:45.000Z"
  //     }
  //   },
  //   ...
  // ]
}

1-Hour Rollup Candlesticks

import { AppDataSource } from './data-source';
import { StockPrice1H } from './models/StockPrice1H';

async function get1HourCandlesticks() {
  const repository = AppDataSource.getRepository(StockPrice1H);

  const candlesticks = await repository
    .createQueryBuilder()
    .where('bucket >= :start', { start: new Date('2025-01-01') })
    .andWhere('bucket < :end', { end: new Date('2025-02-01') })
    .andWhere('symbol = :symbol', { symbol: 'AAPL' })
    .orderBy('bucket', 'ASC')
    .getMany();

  console.log(JSON.stringify(candlesticks, null, 2));
  // Example output:
  // [
  //   {
  //     "bucket": "2025-01-01T00:00:00.000Z",
  //     "symbol": "AAPL",
  //     "candlestick": {
  //       "open": 150.25,
  //       "high": 155.60,
  //       "low": 149.50,
  //       "close": 153.20,
  //       "volume": 8750000,
  //       "open_time": "2025-01-01T00:00:15.000Z",
  //       "close_time": "2025-01-01T00:59:45.000Z"
  //     }
  //   },
  //   ...
  // ]
}