Hourly filtering

csv.fs

module  wba.csv
open FSharp.Data
open System
type Stocks =  CsvProvider<"ES.csv", Schema = "Date(string),Time(string),Open,High,Low,Close,Volume">

let getTime (row:Stocks.Row) =
  let iC = Globalization.CultureInfo.InvariantCulture
  let s = row.Date + " " + row.Time
  DateTime.ParseExact(s, "MM/dd/yyyy HHmm",iC)

let filterStep s fn first =
// only when fn s gives a new value
  s
  |> Seq.append (seq {yield first})
  |> Seq.pairwise
  |> Seq.filter (fun (s0,s1)
                   -> fn s0 <> fn s1 )
  |> Seq.map snd
//filterStep ([1;3;11;13;21;23;25]) (fun a -> a /10) -1000 |> List.ofSeq

let filterHourly baseName =
  let hours (dt : DateTime) = dt.Ticks / 36000000000L
  let file = sprintf @"c:\temp\%s.txt" baseName
  let fileT = sprintf @"c:\temp\%sHourly.txt" baseName
  let s = Stocks.Load file
  let first = Stocks.Row("12/12/1000","0000",0.0m,0.0m,0.0m,0.0m,1)
  let seqHourly =
    filterStep s.Rows  (fun row -> hours (getTime row) ) first
  let sT = new Stocks( seqHourly)
  sT.Save(fileT)

filterHourly  "NQ"
filterHourly  "QM"