Function align_calendar_df

crates/openquant/src/data_processing.rs:199–262

(df: &DataFrame, interval_seconds: i64)

}

pub fn align_calendar_df(df: &DataFrame, interval_seconds: i64) -> Result<DataFrame, String> {
    if interval_seconds <= 0 {
        return Err("interval_seconds must be > 0".to_string());
    }

    let (cleaned, _) = clean_ohlcv_df(df, true)?;
    if cleaned.height() == 0 {
        let mut out = cleaned.clone();
        out.with_column(Series::new("is_missing_bar".into(), Vec::<bool>::new()))
            .map_err(|e| format!("failed to add is_missing_bar: {e}"))?;
        return Ok(out);
    }

    let symbols = cleaned
        .column("symbol")
        .map_err(|e| format!("symbol column error: {e}"))?
        .str()
        .map_err(|e| format!("symbol dtype error: {e}"))?;
    let ts = cleaned
        .column("ts_us")
        .map_err(|e| format!("ts_us column error: {e}"))?
        .i64()
        .map_err(|e| format!("ts_us dtype error: {e}"))?;

    let step_us = interval_seconds * 1_000_000;

    let mut cal_symbols: Vec<String> = Vec::new();
    let mut cal_ts: Vec<i64> = Vec::new();

    let mut i = 0usize;
    while i < cleaned.height() {
        let symbol = symbols.get(i).ok_or_else(|| format!("null symbol at row {i}"))?;
        let start = ts.get(i).ok_or_else(|| format!("null ts_us at row {i}"))?;

        let mut j = i + 1;
        while j < cleaned.height() && symbols.get(j) == Some(symbol) {
            j += 1;
        }

        let end = ts.get(j - 1).ok_or_else(|| format!("null ts_us at row {}", j - 1))?;

        let mut cur = start;
        while cur <= end {
            cal_symbols.push(symbol.to_string());
            cal_ts.push(cur);
            cur += step_us;
        }

        i = j;
    }

    let calendar = df!("symbol" => cal_symbols, "ts_us" => cal_ts)
        .map_err(|e| format!("calendar df build failed: {e}"))?;

    let mut out = calendar
        .left_join(&cleaned, ["symbol", "ts_us"], ["symbol", "ts_us"])
        .map_err(|e| format!("calendar join failed: {e}"))?;