Quantization of Quote history

Adding quantization would be a nice feature:

When you have data with 1min candles, it would be nice to have built-in functionality to quantize them to another timeframe.

This is the code I’m using in F#:

let quantize chunkSize candles =
    candles
    |> List.chunkBySize chunkSize
    |> List.map (
        fun (chunk: Quote list) ->
            Quote(
                Date   = chunk.[0].Date,
                Open   = chunk.[0].Open,
                High   = (chunk |> List.maxBy (fun c -> c.High)).High,
                Low    = (chunk |> List.minBy (fun c -> c.Low)).Low,
                Close  = chunk.[^0].Close,
                Volume = (chunk |> List.sumBy (fun c -> c.Volume))
            )
        )

[thomasd3]

this would fall under quantization or resampling

[codebeaulieu]

I had done something like this for a previous library I was working with, I haven’t tested this with this library yet, but I think this is in the ballpark.

public static IEnumerable<Skender.Stock.Indicators.Quote> Agg(this IEnumerable<Skender.Stock.Indicators.Quote> candles, TimeInterval interval = TimeInterval.FiveMin)
 {
        var period = interval.ToTimeSpan();

        return candles
            .GroupBy(x => x.Date.RoundDown(period))
            .Select(
                x => new Skender.Stock.Indicators.Quote {
                    Open = x.First().Open,
                    High = x.Max(t => t.High),
                    Low = x.Min(t => t.Low),
                    Close = x.Last().Close,
                    Volume = x.Sum(t => t.Volume)
            });
    }

   public static DateTime RoundDown(this DateTime dateTime, TimeSpan interval)
   {
        if (interval == TimeSpan.Zero)
        {
            // divide by zero exception
            return dateTime;
        }

        return dateTime.AddTicks(-(dateTime.Ticks % interval.Ticks));
    }
    
    public static TimeSpan ToTimeSpan(this TimeInterval resolution)
        {
            switch (resolution)
            {
                case TimeInterval.OneMin:
                    return TimeSpan.FromMinutes(1);
                case TimeInterval.TwoMin:
                    return TimeSpan.FromMinutes(2);
                case TimeInterval.ThreeMin:
                    return TimeSpan.FromMinutes(3);
                case TimeInterval.FiveMin:
                    return TimeSpan.FromMinutes(5);
                case TimeInterval.FifteenMin:
                    return TimeSpan.FromMinutes(15);
                case TimeInterval.ThirtyMin:
                    return TimeSpan.FromMinutes(30);
                case TimeInterval.OneHour:
                    return TimeSpan.FromMinutes(60);
                case TimeInterval.TwoHour:
                    return TimeSpan.FromMinutes(120);
                case TimeInterval.FourHour:
                    return TimeSpan.FromMinutes(240);
                case TimeInterval.Day:
                    return TimeSpan.FromMinutes(1440);
                case TimeInterval.Week:
                    return TimeSpan.FromMinutes(10080);
                default:
                    throw new ArgumentOutOfRangeException(nameof(resolution));
            }
        }