Add equity candle aggregation pipeline

services/candles/tests/aggregator.test.ts

@@ -0,0 +1,81 @@
+import { describe, expect, test } from "bun:test";
+import type { EquityPrint } from "@islandflow/types";
+import { CandleAggregator } from "../src/aggregator";
+
+const buildPrint = (overrides: Partial<EquityPrint> = {}): EquityPrint => {
+  const ts = overrides.ts ?? 0;
+  return {
+    source_ts: overrides.source_ts ?? ts,
+    ingest_ts: overrides.ingest_ts ?? ts,
+    seq: overrides.seq ?? 0,
+    trace_id: overrides.trace_id ?? `print:${overrides.seq ?? 0}`,
+    ts,
+    underlying_id: overrides.underlying_id ?? "AAPL",
+    price: overrides.price ?? 0,
+    size: overrides.size ?? 1,
+    exchange: overrides.exchange ?? "TEST",
+    offExchangeFlag: overrides.offExchangeFlag ?? false
+  };
+};
+
+describe("CandleAggregator", () => {
+  test("emits candle with correct OHLC and volume", () => {
+    const aggregator = new CandleAggregator({ intervalsMs: [1000], maxLateMs: 0 });
+
+    const first = buildPrint({ ts: 1000, price: 10, size: 100, seq: 1 });
+    const second = buildPrint({ ts: 1500, price: 12, size: 50, seq: 2 });
+    const third = buildPrint({ ts: 2500, price: 11, size: 10, seq: 3 });
+
+    expect(aggregator.ingest(first).emitted).toHaveLength(0);
+    expect(aggregator.ingest(second).emitted).toHaveLength(0);
+
+    const result = aggregator.ingest(third);
+    expect(result.emitted).toHaveLength(1);
+
+    const candle = result.emitted[0];
+    expect(candle.ts).toBe(1000);
+    expect(candle.open).toBe(10);
+    expect(candle.high).toBe(12);
+    expect(candle.low).toBe(10);
+    expect(candle.close).toBe(12);
+    expect(candle.volume).toBe(150);
+    expect(candle.trade_count).toBe(2);
+    expect(candle.seq).toBe(2);
+    expect(candle.source_ts).toBe(1000);
+    expect(candle.ingest_ts).toBe(1500);
+  });
+
+  test("respects open and close order with out-of-order prints", () => {
+    const aggregator = new CandleAggregator({ intervalsMs: [1000], maxLateMs: 2000 });
+
+    const late = buildPrint({ ts: 1500, price: 15, size: 10, seq: 2 });
+    const early = buildPrint({ ts: 1200, price: 11, size: 20, seq: 1 });
+
+    aggregator.ingest(late);
+    aggregator.ingest(early);
+
+    const [candle] = aggregator.drain();
+    expect(candle.open).toBe(11);
+    expect(candle.close).toBe(15);
+    expect(candle.trade_count).toBe(2);
+    expect(candle.seq).toBe(2);
+    expect(candle.source_ts).toBe(1200);
+    expect(candle.ingest_ts).toBe(1500);
+  });
+
+  test("drops late prints once window is closed", () => {
+    const aggregator = new CandleAggregator({ intervalsMs: [1000], maxLateMs: 0 });
+
+    const first = buildPrint({ ts: 1000, price: 10, size: 100, seq: 1 });
+    const next = buildPrint({ ts: 3000, price: 14, size: 50, seq: 2 });
+    const late = buildPrint({ ts: 1500, price: 9, size: 25, seq: 3 });
+
+    aggregator.ingest(first);
+    const flush = aggregator.ingest(next);
+    expect(flush.emitted).toHaveLength(1);
+
+    const lateResult = aggregator.ingest(late);
+    expect(lateResult.emitted).toHaveLength(0);
+    expect(lateResult.droppedLate).toBe(1);
+  });
+});