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feat(monitor/collectors/coinbase): per-product minute aggregator with rollover-emit

This commit is contained in:
CarterPerez-dev 2026-05-02 03:30:24 -04:00
parent 23a4e2ded4
commit f6192e9c04
2 changed files with 158 additions and 0 deletions
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70
PROJECTS/advanced/monitor-the-situation-dashboard/backend/internal/collectors/coinbase/aggregator.go Normal file
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// ©AngelaMos | 2026
// aggregator.go
package coinbase
import "time"
type Aggregator struct {
open map[string]MinuteBar
}
func NewAggregator() *Aggregator {
return &Aggregator{open: make(map[string]MinuteBar)}
}
func (a *Aggregator) Push(t Tick) (*MinuteBar, MinuteBar) {
minute := t.TS.UTC().Truncate(time.Minute)
cur, exists := a.open[t.Symbol]
if !exists {
cur = MinuteBar{
Symbol: t.Symbol,
Minute: minute,
Open: t.Price,
High: t.Price,
Low: t.Price,
Close: t.Price,
Volume: t.Volume24h,
}
a.open[t.Symbol] = cur
return nil, cur
}
if minute.After(cur.Minute) {
closed := cur
cur = MinuteBar{
Symbol: t.Symbol,
Minute: minute,
Open: t.Price,
High: t.Price,
Low: t.Price,
Close: t.Price,
Volume: t.Volume24h,
}
a.open[t.Symbol] = cur
return &closed, cur
}
if t.Price.GreaterThan(cur.High) {
cur.High = t.Price
}
if t.Price.LessThan(cur.Low) {
cur.Low = t.Price
}
cur.Close = t.Price
if t.Volume24h.GreaterThan(cur.Volume) {
cur.Volume = t.Volume24h
}
a.open[t.Symbol] = cur
return nil, cur
}
func (a *Aggregator) Flush() []MinuteBar {
out := make([]MinuteBar, 0, len(a.open))
for _, bar := range a.open {
out = append(out, bar)
}
a.open = make(map[string]MinuteBar)
return out
}

88
PROJECTS/advanced/monitor-the-situation-dashboard/backend/internal/collectors/coinbase/aggregator_test.go Normal file
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// ©AngelaMos | 2026
// aggregator_test.go
package coinbase_test
import (
"testing"
"time"
"github.com/shopspring/decimal"
"github.com/stretchr/testify/require"
"github.com/carterperez-dev/monitor-the-situation/backend/internal/collectors/coinbase"
)
func TestAggregator_FirstTickOpensBar(t *testing.T) {
a := coinbase.NewAggregator()
ts := time.Date(2026, 5, 1, 12, 0, 30, 0, time.UTC)
closed, cur := a.Push(coinbase.Tick{
Symbol: "BTC-USD", TS: ts,
Price: decimal.RequireFromString("42000"),
Volume24h: decimal.RequireFromString("100"),
})
require.Nil(t, closed)
require.Equal(t, ts.Truncate(time.Minute), cur.Minute)
require.True(t, cur.Open.Equal(decimal.RequireFromString("42000")))
require.True(t, cur.Close.Equal(decimal.RequireFromString("42000")))
}
func TestAggregator_FoldUpdatesHighLowClose(t *testing.T) {
a := coinbase.NewAggregator()
min := time.Date(2026, 5, 1, 12, 0, 0, 0, time.UTC)
a.Push(coinbase.Tick{Symbol: "BTC-USD", TS: min.Add(10 * time.Second), Price: decimal.RequireFromString("42000"), Volume24h: decimal.RequireFromString("100")})
a.Push(coinbase.Tick{Symbol: "BTC-USD", TS: min.Add(20 * time.Second), Price: decimal.RequireFromString("42050"), Volume24h: decimal.RequireFromString("110")})
closed, cur := a.Push(coinbase.Tick{
Symbol: "BTC-USD", TS: min.Add(30 * time.Second),
Price: decimal.RequireFromString("41950"), Volume24h: decimal.RequireFromString("120"),
})
require.Nil(t, closed)
require.True(t, cur.Open.Equal(decimal.RequireFromString("42000")))
require.True(t, cur.High.Equal(decimal.RequireFromString("42050")))
require.True(t, cur.Low.Equal(decimal.RequireFromString("41950")))
require.True(t, cur.Close.Equal(decimal.RequireFromString("41950")))
require.True(t, cur.Volume.Equal(decimal.RequireFromString("120")))
}
func TestAggregator_MinuteRolloverEmitsClosedBar(t *testing.T) {
a := coinbase.NewAggregator()
min1 := time.Date(2026, 5, 1, 12, 0, 0, 0, time.UTC)
min2 := min1.Add(time.Minute)
a.Push(coinbase.Tick{Symbol: "BTC-USD", TS: min1.Add(10 * time.Second), Price: decimal.RequireFromString("42000"), Volume24h: decimal.RequireFromString("100")})
a.Push(coinbase.Tick{Symbol: "BTC-USD", TS: min1.Add(50 * time.Second), Price: decimal.RequireFromString("42100"), Volume24h: decimal.RequireFromString("105")})
closed, cur := a.Push(coinbase.Tick{
Symbol: "BTC-USD", TS: min2.Add(5 * time.Second),
Price: decimal.RequireFromString("42150"), Volume24h: decimal.RequireFromString("110"),
})
require.NotNil(t, closed)
require.Equal(t, min1, closed.Minute)
require.True(t, closed.Close.Equal(decimal.RequireFromString("42100")))
require.Equal(t, min2, cur.Minute)
require.True(t, cur.Open.Equal(decimal.RequireFromString("42150")))
}
func TestAggregator_BarsArePerProduct(t *testing.T) {
a := coinbase.NewAggregator()
min := time.Date(2026, 5, 1, 12, 0, 0, 0, time.UTC)
_, btc := a.Push(coinbase.Tick{Symbol: "BTC-USD", TS: min.Add(10 * time.Second), Price: decimal.RequireFromString("42000"), Volume24h: decimal.RequireFromString("100")})
_, eth := a.Push(coinbase.Tick{Symbol: "ETH-USD", TS: min.Add(11 * time.Second), Price: decimal.RequireFromString("2300"), Volume24h: decimal.RequireFromString("80")})
require.Equal(t, "BTC-USD", btc.Symbol)
require.Equal(t, "ETH-USD", eth.Symbol)
require.True(t, btc.Open.Equal(decimal.RequireFromString("42000")))
require.True(t, eth.Open.Equal(decimal.RequireFromString("2300")))
}
func TestAggregator_FlushReturnsAllOpenBars(t *testing.T) {
a := coinbase.NewAggregator()
min := time.Date(2026, 5, 1, 12, 0, 0, 0, time.UTC)
a.Push(coinbase.Tick{Symbol: "BTC-USD", TS: min.Add(10 * time.Second), Price: decimal.RequireFromString("42000"), Volume24h: decimal.RequireFromString("100")})
a.Push(coinbase.Tick{Symbol: "ETH-USD", TS: min.Add(15 * time.Second), Price: decimal.RequireFromString("2300"), Volume24h: decimal.RequireFromString("80")})
bars := a.Flush()
require.Len(t, bars, 2)
}