add "1Sec" to queryable timeframe list

executor/rewriteBuffer.c

@@ -47,5 +47,7 @@ inline void getTimeFromTicks(uint32_t intervalStart, int64_t intervalsPerDay,
 		fractionalSeconds += 1;
 	}
 	ept->epoch = intStart + fractionalSeconds;
-	ept->nanos = subseconds;
+	// round the subseconds after the decimal point to minimize the cancellation error of subseconds
+	// round( subseconds ) = (int32_t)(subseconds + 0.5)
+	ept->nanos = subseconds + 0.5;
 }

tests/integ/Makefile

@@ -2,15 +2,18 @@
 # Commands to automate integration tests
 ################################################################################
 
-LATEST_TAG ?= $(shell bin/dockertags alpacamarkets/marketstore | tail -1)
-IMAGE_NAME ?= alpacamarkets/marketstore:${LATEST_TAG}
+IMAGE_NAME ?= alpacahq/integrationtests.marketstore
 CONTAINER_NAME = integration_tests_mstore
 MARKETSTORE_DEV_DB_URL = https://s3.amazonaws.com/dev.alpaca.markets/gobroker/mktsdb.tar.gz
 MARKETSTORE_DEV_DB_TMPFILE = /tmp/mktsdb.tgz
 
 # User targets
 ################################################################################
 
+# build marketstore docker container for integration test
+build_mstore:
+	docker build -t ${IMAGE_NAME} ../..
+
 # start a marketstore docker container and check if ListSymbols API can be consumed
 .PHONY: connect
 connect: run
@@ -44,7 +47,7 @@ clean: stop
 # Utils
 ################################################################################
 .PHONY: _init
-_init:
+_init: build_mstore
 	@if [ ! -d data/mktsdb ]; then \
 		rm -rf data; \
 		$(MAKE) _get_data; \

tests/integ/dockerfiles/Makefile.common

@@ -12,6 +12,7 @@ DOCKER_OPTS_STANDALONE=\
 DOCKER_OPTS=\
 	$(DOCKER_OPTS_STANDALONE)
 
+# build pymarketstore docker container for integration test
 build:
 	docker build -t $(IMAGE_NAME) .
 

tests/integ/tests/test_1sec_timeframe.py

@@ -0,0 +1,61 @@
+
+"""
+Integration Test for 1Sec timeframe
+"""
+import pytest
+
+import numpy as np
+import pandas as pd
+
+import pymarketstore as pymkts
+
+# Constants
+DATA_TYPE_TICK = [('Epoch', 'i8'), ('Bid', 'f4'), ('Ask', 'f4'), ('Nanoseconds', 'i4')]
+DATA_TYPE_CANDLE = [('Epoch', 'i8'), ('Open', 'f8'), ('High', 'f8'), ('Low', 'f8'), ('Close', 'f8'), ('Volume', 'f8')]
+MARKETSTORE_HOST = "localhost"
+MARKETSTORE_PORT = 5993
+
+client = pymkts.Client('http://localhost:5993/rpc')
+
+
+def timestamp(datestr):
+    return int(pd.Timestamp(datestr).value / 10 ** 9)
+
+
+@pytest.mark.parametrize('symbol, data', [
+    ('TEST_SIMPLE_TICK',                [(timestamp('2019-01-01 00:00:00'), 1, 2, 3),  # epoch, ask, bid, nanosecond
+                                         (timestamp('2019-01-01 00:00:01'), 4, 5, 6),
+                                         (timestamp('2019-12-31 23:59:59'), 7, 8, 9)]),
+    ('TEST_MULTIPLE_TICK_IN_TIMEFRAME', [(timestamp('2019-01-01 18:00:00'), 1, 1, 1000),
+                                         (timestamp('2019-01-01 18:00:00'), 2, 2, 2000)]),
+    ('TEST_DUPLICATE_INDEX',            [(timestamp('2019-01-01 12:00:00'), 1, 1, 3),
+                                         (timestamp('2019-01-01 12:00:00'), 2, 2, 3)])
+])
+def test_1sec_tf_tick(symbol, data):
+    # ---- given ----
+    client.write(np.array(data, dtype=DATA_TYPE_TICK), "{}/1Sec/TICK".format(symbol), isvariablelength=True)
+
+    # ---- when ----
+    reply = client.query(pymkts.Params(symbol, '1Sec', 'TICK', limit=10))
+
+    # ---- then ----
+    data_without_epochs = [record[1:] for record in data]
+    assert (reply.first().df().values == data_without_epochs).all()
+
+
+@pytest.mark.parametrize('symbol, data', [
+    ('TEST_SIMPLE_OHLCV',                [(timestamp('2019-01-01 00:00:00'), 1.0, 2.0, 3.0, 4.0, 5.0 ),  # epoch, Open, High, Low, Close, Volume
+                                         (timestamp('2019-01-01 00:00:01'), 1.0, 2.0, 3.0, 4.0, 5.0 ),
+                                         (timestamp('2019-12-31 23:59:59'), 6.0, 7.0, 8.0, 9.0, 10.0)]),
+])
+def test_1sec_tf_candle(symbol, data):
+    # ---- given ----
+    print("aaaa")
+    print(client.write(np.array(data, dtype=DATA_TYPE_CANDLE), "{}/1Sec/OHLCV".format(symbol), isvariablelength=False))
+
+    # ---- when ----
+    reply = client.query(pymkts.Params(symbol, '1Sec', 'OHLCV', limit=10))
+
+    # ---- then ----
+    data_without_epochs = [record[1:] for record in data]
+    assert (reply.first().df().values == data_without_epochs).all()

utils/timeframe.go

@@ -24,6 +24,7 @@ var timeframeDefs = []Timeframe{
 }
 
 var Timeframes = []*Timeframe{
+	{"1Sec", time.Second},
 	{"1Min", time.Minute},
 	{"5Min", 5 * time.Minute},
 	{"15Min", 15 * time.Minute},