TimeSeriesQueryLanguage 6.0.0

TimeSeries Query Language

This is a library to aggregate values on user defined time series datasets.

The syntax is simple yet powerfull because it can compare series of data.

Example 1: "ag(Avg, Price, Fr.H1, To.Zero)"  means 'Get average price for the last hour'
Example 2: "ag(MMP, Price, Fr.D1, To.Zero)"  means 'Get min max position of current price for the last 24 hours'
Example 3: ">(ag(Avg, Price, Fr.H1, To.Zero),ag(Avg, Price, Fr.D1, To.Zero))" means 'Is price average for the last hour bigger than the price average for he last 24h'

For flexibility "Avg" is a function defined by your own implementation. On some applications, it is common to have Avg, Count, StandardDeviation, Min, Max, etc

And "Price" is again, defined by your own dataset implementation. Tipically columns in tables where you want to aggregate values. On financial applications, its common to have Price, QuantityBought, QuantitySold, etc

The Eval method will always return a decimal.

Quick Start

Sample minimal pseudo code implementation:

public class YOUREvalImplementation : ITimeSeriesQueryLanguageContext
{
    readonly YOURDbContext Db;
    public YOUREvalImplementation(YOURDbContext db)
    {
        Db = db;
    }
    public async Task<decimal> Eval(string fn)
    {
        // set the language engine and parse the formula
        var tsqlp = new TimeSeriesQueryLanguageParser().Set(fn)?.Parse();
        
        // execute the engine's Eval entry point function
        // as the argument is this class, the engine will call back on your Eval implementation below.
        return tsqlp == null ? 0.0m : await tsqlp.Eval(this);
    }

    public async Task<decimal> Eval<TAggFn, TAggCl>(
        OperationEnum operationEnum = OperationEnum.Agg,
        TAggFn? aggFn = default,
        TAggCl? aggCl = default,
        AggTimeIntervalEnum aggTsFr = AggTimeIntervalEnum.Zero,
        AggTimeIntervalEnum aggTsTo = AggTimeIntervalEnum.Zero,
        int i = 0
    ) where TAggFn : Enum where TAggCl : Enum
    {
        var to = DateTime.UtcNow - AggTimeIntervalEnumToTimeSpan.Map(aggTsTo);
        var fr = to - AggTimeIntervalEnumToTimeSpan.Map(aggTsFr);
        var tickers = Db.Tickers.Where(_ => _.ts >= fr && _.ts <= to);

        switch (aggFn)
        {
            // implement your aggregate definitions. Here is the Avg as an example
            // So, whenever the engine finds a 'Avg' as part of AggFn enum, it will execute your Eval implementation function with te appropriate arguments
            case AggFn.Avg: return await tickers.AvgAsync(_ => _.Price);
        }
        return 0.0m;
    }
}

// Average column price for the last day (D1), starting now (Zero)
var c1 = await YOUREvalImplementation.Eval("ag(Avg,Price,Fr.D1,To.Zero)");										

Open the Samples project to see it in action with many more examples.

The Eval function: This function lives within your class implementation, that also holds a context to your data. You can query your data with aggregates, algebraic and logical operators.

Usage

The engine will interpret the function syntax, validate it and recall the Eval function on you implementation class, recursing all calls.

Aggregate Operators: ''ag'' main aggregation operator ''fid'' formula id, usefull to implement as a persisted formula

Algebraic Operators: ''+'' Add ''*'' Mult ''/'' Div

Transform Operators: ''sc'' value on scale1 to scale2

Logical Operators: ''&'' and ''|'' or ''<'' less then ''>'' bigger then ''in'' in between 2 values ''inc'' sequence of 3 is increasing ''dec'' sequence of 3 is decreasing

Support

It is currently working with millions of crypto currency tickers and indicators at https://sidegence.com/

Optimizations

All Eval args have default values, so can be queried as "ag(Sum, Quantity, Fr.H1)" means ''Get sum of quantity for the last hour'' assuming the last arg ''To'' as To.Zero (which is now) When quering millions of records to aggregate, make sure to use a fast data series access - EF may not do the job - Stored Procs may be more effective. It is up to your implementation which data series access to use. This lib will only manipulate results, based on the syntax.