OHLC Bar

I think I have missed one important element in my EPL, the OHLC Bar. That will most probably useful to mimic candle stick chart with some intervals.

• https://code.google.com/p/algo-trader/wiki/AlgoTraderDocumentation#Market_Data
• https://groups.google.com/forum/?fromgroups#!searchin/algo-trader/ohlc
• https://groups.google.com/forum/?fromgroups=#!searchin/algo-trader/ohlc/algo-trader/vZ5UBeLMkYE/enccRWIrJ2IJ
• https://groups.google.com/forum/?fromgroups=#!searchin/algo-trader/ohlc/algo-trader/JwLFM69vdGU/2vSmbNiiFIAJ
• https://groups.google.com/forum/?fromgroups=#!searchin/algo-trader/ohlc/algo-trader/8NvhNQzh9x0/uuz-H6Eq5KsJ

select * from Tick.std:groupwin(security.id).custom:ohlcbar(dateTime, last); 

select
        first(open) as open,
        max(high) as high,
        min(low) as low,
        last(close) as close
from
        Bar.win:length_batch(2);

 select
        first(price) as open,
        max(price) as high,
        min(price) as low,
        last(price) as close
from
        OHLCTick.win:time_batch(1 min)
group by
        ticker;

insert into Bar
select first as open, last as last, min as low, max as high,
* from Tick.std:groupwin(security.id).custom:ohlcbar(dateTime, last);