78 lines
2.0 KiB
Python
78 lines
2.0 KiB
Python
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"""
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Utility functions for market data aggregation.
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This module provides common utility functions for working with OHLCV candles
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and trade data aggregation.
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"""
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import re
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from typing import List, Tuple
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from ..data_types import StandardizedTrade, OHLCVCandle
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from .batch import BatchCandleProcessor
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def aggregate_trades_to_candles(trades: List[StandardizedTrade],
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timeframes: List[str],
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symbol: str,
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exchange: str) -> List[OHLCVCandle]:
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"""
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Simple utility function to aggregate a list of trades to candles.
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Args:
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trades: List of standardized trades
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timeframes: List of timeframes to generate
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symbol: Trading symbol
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exchange: Exchange name
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Returns:
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List of completed candles
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"""
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processor = BatchCandleProcessor(symbol, exchange, timeframes)
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return processor.process_trades_to_candles(iter(trades))
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def validate_timeframe(timeframe: str) -> bool:
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"""
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Validate if timeframe is supported.
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Args:
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timeframe: Timeframe string (e.g., '1s', '5s', '10s', '1m', '5m', '1h')
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Returns:
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True if supported, False otherwise
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"""
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supported = ['1s', '5s', '10s', '15s', '30s', '1m', '5m', '15m', '30m', '1h', '4h', '1d']
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return timeframe in supported
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def parse_timeframe(timeframe: str) -> Tuple[int, str]:
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"""
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Parse timeframe string into number and unit.
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Args:
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timeframe: Timeframe string (e.g., '1s', '5m', '1h')
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Returns:
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Tuple of (number, unit)
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Examples:
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'1s' -> (1, 's')
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'5m' -> (5, 'm')
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'1h' -> (1, 'h')
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'1d' -> (1, 'd')
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"""
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match = re.match(r'^(\d+)([smhd])$', timeframe.lower())
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if not match:
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raise ValueError(f"Invalid timeframe format: {timeframe}")
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number = int(match.group(1))
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unit = match.group(2)
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return number, unit
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__all__ = [
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'aggregate_trades_to_candles',
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'validate_timeframe',
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'parse_timeframe'
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]
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