update

cmd/cbpred-export/main.go

@@ -6,6 +6,7 @@ import (
 	"fmt"
 	"os"
 	"path/filepath"
+	"sort"
 	"strconv"
 	"strings"
 
@@ -64,12 +65,21 @@ func main() {
 			}
 			fail(err)
 		}
-		_, rows, err := orm.GetSeries(exs, *timeframe, *startMS, *endMS, 0, false)
+		_, rows, err := orm.GetSeries(exs, "1h", *startMS, *endMS, 0, false)
 		if err != nil {
 			fail(err)
 		}
+		bars := make([]*orm.SeriesOHLCV, 0, len(rows))
+		for _, row := range rows {
+			bar, err := row.OHLCV(exs)
+			if err != nil {
+				fail(err)
+			}
+			bars = append(bars, bar)
+		}
+		bars = aggregateHourly(bars, *timeframe)
 		name := fmt.Sprintf("%d_%s.csv", exs.ID, strings.NewReplacer("/", "_", ":", "_").Replace(pair))
-		if err := writeCSV(filepath.Join(*outDir, name), rows, exs); err != nil {
+		if err := writeCSV(filepath.Join(*outDir, name), bars); err != nil {
 			fail(err)
 		}
 	}
@@ -79,7 +89,47 @@ func isUnavailablePair(err *errs.Error) bool {
 	return err != nil && err.Code == errs.CodeNoMarketForPair
 }
 
-func writeCSV(path string, rows []*orm.DataSeries, exs *orm.ExSymbol) error {
+// aggregateHourly emits only complete UTC buckets with exactly one bar per hour.
+func aggregateHourly(rows []*orm.SeriesOHLCV, timeframe string) []*orm.SeriesOHLCV {
+	const hourMS int64 = 60 * 60 * 1000
+	hours := 8
+	if timeframe == "1d" {
+		hours = 24
+	}
+	stepMS := int64(hours) * hourMS
+	ordered := append([]*orm.SeriesOHLCV(nil), rows...)
+	sort.Slice(ordered, func(i, j int) bool { return ordered[i].Time < ordered[j].Time })
+	var output []*orm.SeriesOHLCV
+	for first := 0; first < len(ordered); {
+		bucket := ordered[first].Time / stepMS * stepMS
+		end := first + 1
+		for end < len(ordered) && ordered[end].Time/stepMS*stepMS == bucket {
+			end++
+		}
+		complete := end-first == hours
+		for i := first; complete && i < end; i++ {
+			complete = ordered[i].Time == bucket+int64(i-first)*hourMS
+		}
+		if complete {
+			bar := *ordered[first]
+			bar.Time, bar.EndMS, bar.TimeFrame, bar.Closed = bucket, bucket+stepMS, timeframe, true
+			for _, row := range ordered[first+1 : end] {
+				bar.High = max(bar.High, row.High)
+				bar.Low = min(bar.Low, row.Low)
+				bar.Close = row.Close
+				bar.Volume += row.Volume
+				bar.Quote += row.Quote
+				bar.BuyVolume += row.BuyVolume
+				bar.TradeNum += row.TradeNum
+			}
+			output = append(output, &bar)
+		}
+		first = end
+	}
+	return output
+}
+
+func writeCSV(path string, rows []*orm.SeriesOHLCV) error {
 	file, err := os.Create(path)
 	if err != nil {
 		return err
@@ -89,11 +139,7 @@ func writeCSV(path string, rows []*orm.DataSeries, exs *orm.ExSymbol) error {
 	if err := writer.Write(columns); err != nil {
 		return err
 	}
-	for _, row := range rows {
-		bar, err := row.OHLCV(exs)
-		if err != nil {
-			return err
-		}
+	for _, bar := range rows {
 		values := []string{
 			strconv.FormatInt(bar.Time, 10),
 			strconv.FormatFloat(bar.Open, 'f', -1, 64),