egutierrez
113c6dfd71
11 funciones puras con implementación real: SMA, EMA, RSI, BollingerBands, VWAP, LogReturn, AnnualizedVolatility, SharpeRatio, MaxDrawdown, NormalizeOHLCV, TickToOHLCV 4 funciones impuras (stubs): FetchOHLCV, StreamTicks, WriteOHLCVToParquet, LoadOHLCVFromDuckDB Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
54 lines
1.3 KiB
Go
54 lines
1.3 KiB
Go
package finance
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// TickToOHLCV agrega datos de ticks en velas OHLCV segun un intervalo en segundos.
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// prices, volumes y timestamps deben tener la misma longitud.
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// timestamps son unix seconds. intervalSecs define el ancho de cada vela.
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// Retorna slices de open, high, low, close, volume para cada vela generada.
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func TickToOHLCV(prices, volumes []float64, timestamps []int64, intervalSecs int64) (open, high, low, close, vol []float64) {
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n := len(prices)
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if n == 0 || intervalSecs <= 0 {
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return
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}
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bucketStart := timestamps[0] - (timestamps[0] % intervalSecs)
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o := prices[0]
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h := prices[0]
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l := prices[0]
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c := prices[0]
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v := volumes[0]
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for i := 1; i < n; i++ {
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currentBucket := timestamps[i] - (timestamps[i] % intervalSecs)
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if currentBucket != bucketStart {
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// Cerrar la vela anterior
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open = append(open, o)
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high = append(high, h)
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low = append(low, l)
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close = append(close, c)
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vol = append(vol, v)
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// Nueva vela
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bucketStart = currentBucket
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o = prices[i]
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h = prices[i]
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l = prices[i]
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c = prices[i]
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v = volumes[i]
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} else {
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if prices[i] > h {
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h = prices[i]
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}
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if prices[i] < l {
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l = prices[i]
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}
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c = prices[i]
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v += volumes[i]
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}
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}
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// Cerrar ultima vela
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open = append(open, o)
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high = append(high, h)
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low = append(low, l)
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close = append(close, c)
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vol = append(vol, v)
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return
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}
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