Cycles/IncrementalTrader/docs/utils/timeframe-aggregation.md

Timeframe Aggregation Usage Guide

Overview

This guide covers how to use the new timeframe aggregation utilities in the IncrementalTrader framework. The new system provides mathematically correct aggregation with proper timestamp handling to prevent future data leakage.

Key Features

✅ Fixed Critical Issues

• No Future Data Leakage: Bar timestamps represent END of period
• Mathematical Correctness: Results match pandas resampling exactly
• Trading Industry Standard: Uses standard bar grouping conventions
• Proper OHLCV Aggregation: Correct first/max/min/last/sum rules

🚀 New Capabilities

• MinuteDataBuffer: Efficient real-time data management
• Flexible Timestamp Modes: Support for both bar start and end timestamps
• Memory Bounded: Automatic buffer size management
• Performance Optimized: Fast aggregation for real-time use

Quick Start

Basic Usage

from IncrementalTrader.utils.timeframe_utils import aggregate_minute_data_to_timeframe

# Sample minute data
minute_data = [
    {
        'timestamp': pd.Timestamp('2024-01-01 09:00:00'),
        'open': 50000.0, 'high': 50050.0, 'low': 49950.0, 'close': 50025.0, 'volume': 1000
    },
    {
        'timestamp': pd.Timestamp('2024-01-01 09:01:00'),
        'open': 50025.0, 'high': 50075.0, 'low': 50000.0, 'close': 50050.0, 'volume': 1200
    },
    # ... more minute data
]

# Aggregate to 15-minute bars
bars_15m = aggregate_minute_data_to_timeframe(minute_data, "15min")

# Result: bars with END timestamps (no future data leakage)
for bar in bars_15m:
    print(f"Bar ending at {bar['timestamp']}: OHLCV = {bar['open']}, {bar['high']}, {bar['low']}, {bar['close']}, {bar['volume']}")

Using MinuteDataBuffer for Real-Time Strategies

from IncrementalTrader.utils.timeframe_utils import MinuteDataBuffer

class MyStrategy(IncStrategyBase):
    def __init__(self, name: str = "my_strategy", weight: float = 1.0, params: Optional[Dict] = None):
        super().__init__(name, weight, params)
        self.timeframe = self.params.get("timeframe", "15min")
        self.minute_buffer = MinuteDataBuffer(max_size=1440)  # 24 hours
        self.last_processed_bar_timestamp = None
        
    def calculate_on_data(self, new_data_point: Dict[str, float], timestamp: pd.Timestamp) -> None:
        # Add to buffer
        self.minute_buffer.add(timestamp, new_data_point)
        
        # Get latest complete bar
        latest_bar = self.minute_buffer.get_latest_complete_bar(self.timeframe)
        
        if latest_bar and latest_bar['timestamp'] != self.last_processed_bar_timestamp:
            # Process new complete bar
            self.last_processed_bar_timestamp = latest_bar['timestamp']
            self._process_complete_bar(latest_bar)
    
    def _process_complete_bar(self, bar: Dict[str, float]) -> None:
        # Your strategy logic here
        # bar['timestamp'] is the END of the bar period (no future data)
        pass

Core Functions

aggregate_minute_data_to_timeframe()

Purpose: Aggregate minute-level OHLCV data to higher timeframes

Signature:

def aggregate_minute_data_to_timeframe(
    minute_data: List[Dict[str, Union[float, pd.Timestamp]]], 
    timeframe: str,
    timestamp_mode: str = "end"
) -> List[Dict[str, Union[float, pd.Timestamp]]]

Parameters:

• minute_data: List of minute OHLCV dictionaries with 'timestamp' field
• timeframe: Target timeframe ("1min", "5min", "15min", "1h", "4h", "1d")
• timestamp_mode: "end" (default) for bar end timestamps, "start" for bar start

Returns: List of aggregated OHLCV dictionaries with proper timestamps

Example:

# Aggregate to 5-minute bars with end timestamps
bars_5m = aggregate_minute_data_to_timeframe(minute_data, "5min", "end")

# Aggregate to 1-hour bars with start timestamps
bars_1h = aggregate_minute_data_to_timeframe(minute_data, "1h", "start")

get_latest_complete_bar()

Purpose: Get the latest complete bar for real-time processing

Signature:

def get_latest_complete_bar(
    minute_data: List[Dict[str, Union[float, pd.Timestamp]]], 
    timeframe: str,
    timestamp_mode: str = "end"
) -> Optional[Dict[str, Union[float, pd.Timestamp]]]

Example:

# Get latest complete 15-minute bar
latest_15m = get_latest_complete_bar(minute_data, "15min")
if latest_15m:
    print(f"Latest complete bar: {latest_15m['timestamp']}")

parse_timeframe_to_minutes()

Purpose: Parse timeframe strings to minutes

Signature:

def parse_timeframe_to_minutes(timeframe: str) -> int

Supported Formats:

• Minutes: "1min", "5min", "15min", "30min"
• Hours: "1h", "2h", "4h", "6h", "12h"
• Days: "1d", "7d"
• Weeks: "1w", "2w"

Example:

minutes = parse_timeframe_to_minutes("15min")  # Returns 15
minutes = parse_timeframe_to_minutes("1h")     # Returns 60
minutes = parse_timeframe_to_minutes("1d")     # Returns 1440

MinuteDataBuffer Class

Overview

The MinuteDataBuffer class provides efficient buffer management for minute-level data with automatic aggregation capabilities.

Key Features

• Memory Bounded: Configurable maximum size (default: 1440 minutes = 24 hours)
• Automatic Cleanup: Old data automatically removed when buffer is full
• Thread Safe: Safe for use in multi-threaded environments
• Efficient Access: Fast data retrieval and aggregation methods

Basic Usage

from IncrementalTrader.utils.timeframe_utils import MinuteDataBuffer

# Create buffer for 24 hours of data
buffer = MinuteDataBuffer(max_size=1440)

# Add minute data
buffer.add(timestamp, {
    'open': 50000.0,
    'high': 50050.0,
    'low': 49950.0,
    'close': 50025.0,
    'volume': 1000
})

# Get aggregated data
bars_15m = buffer.aggregate_to_timeframe("15min", lookback_bars=4)
latest_bar = buffer.get_latest_complete_bar("15min")

# Buffer management
print(f"Buffer size: {buffer.size()}")
print(f"Is full: {buffer.is_full()}")
print(f"Time range: {buffer.get_time_range()}")

Methods

add(timestamp, ohlcv_data)

Add new minute data point to the buffer.

buffer.add(pd.Timestamp('2024-01-01 09:00:00'), {
    'open': 50000.0, 'high': 50050.0, 'low': 49950.0, 'close': 50025.0, 'volume': 1000
})

get_data(lookback_minutes=None)

Get data from buffer.

# Get all data
all_data = buffer.get_data()

# Get last 60 minutes
recent_data = buffer.get_data(lookback_minutes=60)

aggregate_to_timeframe(timeframe, lookback_bars=None, timestamp_mode="end")

Aggregate buffer data to specified timeframe.

# Get last 4 bars of 15-minute data
bars = buffer.aggregate_to_timeframe("15min", lookback_bars=4)

# Get all available 1-hour bars
bars = buffer.aggregate_to_timeframe("1h")

get_latest_complete_bar(timeframe, timestamp_mode="end")

Get the latest complete bar for the specified timeframe.

latest_bar = buffer.get_latest_complete_bar("15min")
if latest_bar:
    print(f"Latest complete bar ends at: {latest_bar['timestamp']}")

Timestamp Modes

"end" Mode (Default - Recommended)

• Bar timestamps represent the END of the bar period
• Prevents future data leakage
• Safe for real-time trading

# 5-minute bar from 09:00-09:04 is timestamped 09:05
bars = aggregate_minute_data_to_timeframe(data, "5min", "end")

"start" Mode

• Bar timestamps represent the START of the bar period
• Matches some external data sources
• Use with caution in real-time systems

# 5-minute bar from 09:00-09:04 is timestamped 09:00
bars = aggregate_minute_data_to_timeframe(data, "5min", "start")

Best Practices

1. Always Use "end" Mode for Real-Time Trading

# ✅ GOOD: Prevents future data leakage
bars = aggregate_minute_data_to_timeframe(data, "15min", "end")

# ❌ RISKY: Could lead to future data leakage
bars = aggregate_minute_data_to_timeframe(data, "15min", "start")

2. Use MinuteDataBuffer for Strategies

# ✅ GOOD: Efficient memory management
class MyStrategy(IncStrategyBase):
    def __init__(self, ...):
        self.buffer = MinuteDataBuffer(max_size=1440)  # 24 hours
    
    def calculate_on_data(self, data, timestamp):
        self.buffer.add(timestamp, data)
        latest_bar = self.buffer.get_latest_complete_bar(self.timeframe)
        # Process latest_bar...

# ❌ INEFFICIENT: Keeping all data in memory
class BadStrategy(IncStrategyBase):
    def __init__(self, ...):
        self.all_data = []  # Grows indefinitely

3. Check for Complete Bars

# ✅ GOOD: Only process complete bars
latest_bar = buffer.get_latest_complete_bar("15min")
if latest_bar and latest_bar['timestamp'] != self.last_processed:
    self.process_bar(latest_bar)
    self.last_processed = latest_bar['timestamp']

# ❌ BAD: Processing incomplete bars
bars = buffer.aggregate_to_timeframe("15min")
if bars:
    self.process_bar(bars[-1])  # Might be incomplete!

4. Handle Edge Cases

# ✅ GOOD: Robust error handling
try:
    bars = aggregate_minute_data_to_timeframe(data, timeframe)
    if bars:
        # Process bars...
    else:
        logger.warning("No complete bars available")
except TimeframeError as e:
    logger.error(f"Invalid timeframe: {e}")
except ValueError as e:
    logger.error(f"Invalid data: {e}")

# ❌ BAD: No error handling
bars = aggregate_minute_data_to_timeframe(data, timeframe)
latest_bar = bars[-1]  # Could crash if bars is empty!

5. Optimize Buffer Size

# ✅ GOOD: Size buffer based on strategy needs
# For 15min strategy needing 20 bars lookback: 20 * 15 = 300 minutes
buffer = MinuteDataBuffer(max_size=300)

# For daily strategy: 24 * 60 = 1440 minutes
buffer = MinuteDataBuffer(max_size=1440)

# ❌ WASTEFUL: Oversized buffer
buffer = MinuteDataBuffer(max_size=10080)  # 1 week for 15min strategy

Performance Considerations

Memory Usage

• MinuteDataBuffer: ~1KB per minute of data
• 1440 minutes (24h): ~1.4MB memory usage
• Automatic cleanup: Old data removed when buffer is full

Processing Speed

• Small datasets (< 500 minutes): < 5ms aggregation time
• Large datasets (2000+ minutes): < 15ms aggregation time
• Real-time processing: < 2ms per minute update

Optimization Tips

1. Use appropriate buffer sizes - don't keep more data than needed
2. Process complete bars only - avoid reprocessing incomplete bars
3. Cache aggregated results - don't re-aggregate the same data
4. Use lookback_bars parameter - limit returned data to what you need

# ✅ OPTIMIZED: Only get what you need
recent_bars = buffer.aggregate_to_timeframe("15min", lookback_bars=20)

# ❌ INEFFICIENT: Getting all data every time
all_bars = buffer.aggregate_to_timeframe("15min")
recent_bars = all_bars[-20:]  # Wasteful

Common Patterns

Pattern 1: Simple Strategy with Buffer

class TrendStrategy(IncStrategyBase):
    def __init__(self, name: str = "trend", weight: float = 1.0, params: Optional[Dict] = None):
        super().__init__(name, weight, params)
        self.timeframe = self.params.get("timeframe", "15min")
        self.lookback_period = self.params.get("lookback_period", 20)
        
        # Calculate buffer size: lookback_period * timeframe_minutes
        timeframe_minutes = parse_timeframe_to_minutes(self.timeframe)
        buffer_size = self.lookback_period * timeframe_minutes
        self.buffer = MinuteDataBuffer(max_size=buffer_size)
        
        self.last_processed_timestamp = None
        
    def calculate_on_data(self, new_data_point: Dict[str, float], timestamp: pd.Timestamp) -> None:
        # Add to buffer
        self.buffer.add(timestamp, new_data_point)
        
        # Get latest complete bar
        latest_bar = self.buffer.get_latest_complete_bar(self.timeframe)
        
        if latest_bar and latest_bar['timestamp'] != self.last_processed_timestamp:
            # Get historical bars for analysis
            historical_bars = self.buffer.aggregate_to_timeframe(
                self.timeframe, 
                lookback_bars=self.lookback_period
            )
            
            if len(historical_bars) >= self.lookback_period:
                signal = self._analyze_trend(historical_bars)
                if signal:
                    self._generate_signal(signal, latest_bar['timestamp'])
            
            self.last_processed_timestamp = latest_bar['timestamp']
    
    def _analyze_trend(self, bars: List[Dict]) -> Optional[str]:
        # Your trend analysis logic here
        closes = [bar['close'] for bar in bars]
        # ... analysis ...
        return "BUY" if trend_up else "SELL" if trend_down else None

Pattern 2: Multi-Timeframe Strategy

class MultiTimeframeStrategy(IncStrategyBase):
    def __init__(self, name: str = "multi_tf", weight: float = 1.0, params: Optional[Dict] = None):
        super().__init__(name, weight, params)
        self.primary_timeframe = self.params.get("primary_timeframe", "15min")
        self.secondary_timeframe = self.params.get("secondary_timeframe", "1h")
        
        # Buffer size for the largest timeframe needed
        max_timeframe_minutes = max(
            parse_timeframe_to_minutes(self.primary_timeframe),
            parse_timeframe_to_minutes(self.secondary_timeframe)
        )
        buffer_size = 50 * max_timeframe_minutes  # 50 bars of largest timeframe
        self.buffer = MinuteDataBuffer(max_size=buffer_size)
        
        self.last_processed = {
            self.primary_timeframe: None,
            self.secondary_timeframe: None
        }
        
    def calculate_on_data(self, new_data_point: Dict[str, float], timestamp: pd.Timestamp) -> None:
        self.buffer.add(timestamp, new_data_point)
        
        # Check both timeframes
        for timeframe in [self.primary_timeframe, self.secondary_timeframe]:
            latest_bar = self.buffer.get_latest_complete_bar(timeframe)
            
            if latest_bar and latest_bar['timestamp'] != self.last_processed[timeframe]:
                self._process_timeframe(timeframe, latest_bar)
                self.last_processed[timeframe] = latest_bar['timestamp']
    
    def _process_timeframe(self, timeframe: str, latest_bar: Dict) -> None:
        if timeframe == self.primary_timeframe:
            # Primary timeframe logic
            pass
        elif timeframe == self.secondary_timeframe:
            # Secondary timeframe logic
            pass

Pattern 3: Backtesting with Historical Data

def backtest_strategy(strategy_class, historical_data: List[Dict], params: Dict):
    """Run backtest with historical minute data."""
    strategy = strategy_class("backtest", params=params)
    
    signals = []
    
    # Process data chronologically
    for data_point in historical_data:
        timestamp = data_point['timestamp']
        ohlcv = {k: v for k, v in data_point.items() if k != 'timestamp'}
        
        # Process data point
        signal = strategy.process_data_point(timestamp, ohlcv)
        
        if signal and signal.signal_type != "HOLD":
            signals.append({
                'timestamp': timestamp,
                'signal_type': signal.signal_type,
                'confidence': signal.confidence
            })
    
    return signals

# Usage
historical_data = load_historical_data("BTCUSD", "2024-01-01", "2024-01-31")
signals = backtest_strategy(TrendStrategy, historical_data, {"timeframe": "15min"})

Error Handling

Common Errors and Solutions

TimeframeError

try:
    bars = aggregate_minute_data_to_timeframe(data, "invalid_timeframe")
except TimeframeError as e:
    logger.error(f"Invalid timeframe: {e}")
    # Use default timeframe
    bars = aggregate_minute_data_to_timeframe(data, "15min")

ValueError (Invalid Data)

try:
    buffer.add(timestamp, ohlcv_data)
except ValueError as e:
    logger.error(f"Invalid data: {e}")
    # Skip this data point
    continue

Empty Data

bars = aggregate_minute_data_to_timeframe(minute_data, "15min")
if not bars:
    logger.warning("No complete bars available")
    return

latest_bar = get_latest_complete_bar(minute_data, "15min")
if latest_bar is None:
    logger.warning("No complete bar available")
    return

Migration from Old System

Before (Old TimeframeAggregator)

# Old approach - potential future data leakage
class OldStrategy(IncStrategyBase):
    def __init__(self, ...):
        self.aggregator = TimeframeAggregator(timeframe="15min")
    
    def calculate_on_data(self, data, timestamp):
        # Potential issues:
        # - Bar timestamps might represent start (future data leakage)
        # - Inconsistent aggregation logic
        # - Memory not bounded
        pass

After (New Utilities)

# New approach - safe and efficient
class NewStrategy(IncStrategyBase):
    def __init__(self, ...):
        self.buffer = MinuteDataBuffer(max_size=1440)
        self.timeframe = "15min"
        self.last_processed = None
    
    def calculate_on_data(self, data, timestamp):
        self.buffer.add(timestamp, data)
        latest_bar = self.buffer.get_latest_complete_bar(self.timeframe)
        
        if latest_bar and latest_bar['timestamp'] != self.last_processed:
            # Safe: bar timestamp is END of period (no future data)
            # Efficient: bounded memory usage
            # Correct: matches pandas resampling
            self.process_bar(latest_bar)
            self.last_processed = latest_bar['timestamp']

Migration Checklist

• Replace TimeframeAggregator with MinuteDataBuffer
• Update timestamp handling to use "end" mode
• Add checks for complete bars only
• Set appropriate buffer sizes
• Update error handling
• Test with historical data
• Verify no future data leakage

Troubleshooting

Issue: No bars returned

Cause: Not enough data for complete bars Solution: Check data length vs timeframe requirements

timeframe_minutes = parse_timeframe_to_minutes("15min")  # 15
if len(minute_data) < timeframe_minutes:
    logger.warning(f"Need at least {timeframe_minutes} minutes for {timeframe} bars")

Issue: Memory usage growing

Cause: Buffer size too large or not using buffer Solution: Optimize buffer size

# Calculate optimal buffer size
lookback_bars = 20
timeframe_minutes = parse_timeframe_to_minutes("15min")
optimal_size = lookback_bars * timeframe_minutes  # 300 minutes
buffer = MinuteDataBuffer(max_size=optimal_size)

Issue: Signals generated too frequently

Cause: Processing incomplete bars Solution: Only process complete bars

# ✅ CORRECT: Only process new complete bars
if latest_bar and latest_bar['timestamp'] != self.last_processed:
    self.process_bar(latest_bar)
    self.last_processed = latest_bar['timestamp']

# ❌ WRONG: Processing every minute
self.process_bar(latest_bar)  # Processes same bar multiple times

Issue: Inconsistent results

Cause: Using "start" mode or wrong pandas comparison Solution: Use "end" mode and trading standard comparison

# ✅ CORRECT: Trading standard with end timestamps
bars = aggregate_minute_data_to_timeframe(data, "15min", "end")

# ❌ INCONSISTENT: Start mode can cause confusion
bars = aggregate_minute_data_to_timeframe(data, "15min", "start")

---

Summary

The new timeframe aggregation system provides:

• ✅ Mathematical Correctness: Matches pandas resampling exactly
• ✅ No Future Data Leakage: Bar end timestamps prevent future data usage
• ✅ Trading Industry Standard: Compatible with major trading platforms
• ✅ Memory Efficient: Bounded buffer management
• ✅ Performance Optimized: Fast real-time processing
• ✅ Easy to Use: Simple, intuitive API

Use this guide to implement robust, efficient timeframe aggregation in your trading strategies!