LINQ aggregate and group by periods of time

Question

I\'m trying to understand how LINQ can be used to group data by intervals of time; and then ideally aggregate each group.

Finding numerous examples with explicit dat

Answer 1

I know this doesn't directly answer the question, but I was googling around looking for a very similar solution to aggregate candle data for stocks / crypto currencies from a smaller minute period to a higher minute period (5, 10, 15, 30). You can't simply go back from the current minute taking X at a time, as the timestamps for the aggregated periods won't be consistent. You also have to watch out that there's enough data at the start and end of the list to populate a full candlestick of the larger period. Given that, the solution I came up with was as follows. (It assumes that the candles for the smaller period, as indicated by rawPeriod, are sorted by ascending Timestamp.)

public class Candle
{
    public long Id { get; set; }
    public Period Period { get; set; }
    public DateTime Timestamp { get; set; }
    public double High { get; set; }
    public double Low { get; set; }
    public double Open { get; set; }
    public double Close { get; set; }
    public double BuyVolume { get; set; }
    public double SellVolume { get; set; }
}

public enum Period
{
    Minute = 1,
    FiveMinutes = 5,
    QuarterOfAnHour = 15,
    HalfAnHour = 30
}

    private List AggregateCandlesIntoRequestedTimePeriod(Period rawPeriod, Period requestedPeriod, List candles)
    {
        if (rawPeriod != requestedPeriod)
        {
            int rawPeriodDivisor = (int) requestedPeriod;
            candles = candles
                        .GroupBy(g => new { TimeBoundary = new DateTime(g.Timestamp.Year, g.Timestamp.Month, g.Timestamp.Day, g.Timestamp.Hour, (g.Timestamp.Minute / rawPeriodDivisor) * rawPeriodDivisor , 0) })
                        .Where(g => g.Count() == rawPeriodDivisor )
                        .Select(s => new Candle
                        {
                            Period = requestedPeriod,
                            Timestamp = s.Key.TimeBoundary,
                            High = s.Max(z => z.High),
                            Low = s.Min(z => z.Low),
                            Open = s.First().Open,
                            Close = s.Last().Close,
                            BuyVolume = s.Sum(z => z.BuyVolume),
                            SellVolume = s.Sum(z => z.SellVolume),
                        })
                        .OrderBy(o => o.Timestamp)
                        .ToList();
        }

        return candles;
    }