Support custom column selection in OHLC queries and extend CCXT with configurable exchange-specific fields

- Add `columns` parameter to `get_ohlc_async` and pass through to Iceberg queries
- Replace hardcoded Binance field extraction with declarative `EXCHANGE_OHLCV_EXTENSIONS` config
- Add `applyScale` helper for field-specific transformations (ms_to_ns, price, size, int)
- Support `complementOf` spec for derived fields (e.g., sell_vol from total - buy_vol)
- Apply extensions dynamically in `convertToOHLC` and gap-filling logic
- Remove redundant column filtering in DataAPI (now handled upstream)

ingestor/src/ccxt-fetcher.js

@@ -32,6 +32,32 @@ function extractRetryAfterMs(exchange, error) {
   return 30_000;
 }
 
+// Per-exchange descriptor of extended OHLCV fields beyond the standard 6
+// (timestamp, open, high, low, close, volume).
+//
+// 'index'        — extract candle[index]; skipped if candle is too short.
+// 'complementOf' — compute as Math.round((totalVolume - candle[index]) * sizeMult).
+// Scale types: 'ms_to_ns' | 'price' | 'size' | 'int'
+const EXCHANGE_OHLCV_EXTENSIONS = {
+  binance: {
+    close_time:   { index: 6, scale: 'ms_to_ns' },
+    quote_volume: { index: 7, scale: 'price' },
+    num_trades:   { index: 8, scale: 'int' },
+    buy_vol:      { index: 9, scale: 'size' },
+    sell_vol:     { complementOf: 9, scale: 'size' },
+  },
+  // Add future exchanges here
+};
+
+function applyScale(raw, scale, priceMult, sizeMult) {
+  switch (scale) {
+    case 'ms_to_ns': return String(Number(raw) * 1_000_000);
+    case 'price':    return String(Math.round(parseFloat(raw) * priceMult));
+    case 'size':     return String(Math.round(parseFloat(raw) * sizeMult));
+    case 'int':      return String(Number(raw));
+  }
+}
+
 export class CCXTFetcher {
   constructor(config, logger, metadataGenerator = null) {
     this.config = config;
@@ -281,7 +307,7 @@ export class CCXTFetcher {
 
     for (let ts = firstRealTs; ts <= lastRealTs; ts += periodMs) {
       if (fetchedByTs.has(ts)) {
-        const bar = this.convertToOHLC(fetchedByTs.get(ts), ticker, periodSeconds, metadata);
+        const bar = this.convertToOHLC(fetchedByTs.get(ts), ticker, periodSeconds, metadata, exchangeName);
         prevClose = bar.close;
         allCandles.push(bar);
       } else if (prevClose !== null) {
@@ -298,11 +324,9 @@ export class CCXTFetcher {
           open_time:  (ts * 1_000_000).toString(),
           close_time: ((ts + periodSeconds * 1000) * 1_000_000).toString()
         };
-        if (isBinance) {
+        const gapExtensions = EXCHANGE_OHLCV_EXTENSIONS[exchangeName] || {};
-          gapBar.buy_vol = '0';
+        for (const [fieldName] of Object.entries(gapExtensions)) {
-          gapBar.sell_vol = '0';
+          if (fieldName !== 'close_time') gapBar[fieldName] = '0';
-          gapBar.num_trades = '0';
-          gapBar.quote_volume = '0';
         }
         allCandles.push(gapBar);
       }
@@ -368,7 +392,7 @@ export class CCXTFetcher {
    *
    * Prices/volumes use integer representation scaled by market metadata precision.
    */
-  convertToOHLC(candle, ticker, periodSeconds, metadata) {
+  convertToOHLC(candle, ticker, periodSeconds, metadata, exchangeName = null) {
     const timestamp = Number(candle[0]);
     const open      = parseFloat(candle[1]);
     const high      = parseFloat(candle[2]);
@@ -388,22 +412,21 @@ export class CCXTFetcher {
       close: Math.round(close * priceMult).toString(),
       volume: Math.round(volume * sizeMult).toString(),
       open_time: (timestamp * 1_000_000).toString(),
+      close_time: ((timestamp + periodSeconds * 1000) * 1_000_000).toString(),
     };
 
-    if (candle.length >= 10) {
+    const extensions = EXCHANGE_OHLCV_EXTENSIONS[exchangeName] || {};
-      // Binance extended klines format
+    for (const [fieldName, spec] of Object.entries(extensions)) {
-      const closeTimeMs    = Number(candle[6]);
+      if ('complementOf' in spec) {
-      const quoteVolRaw    = parseFloat(candle[7]);
+        if (candle.length > spec.complementOf) {
-      const numTrades      = Number(candle[8]);
+          const base = parseFloat(candle[spec.complementOf]);
-      const takerBuyBase   = parseFloat(candle[9]);
+          result[fieldName] = String(Math.round((volume - base) * sizeMult));
-
+        }
-      result.close_time   = (closeTimeMs * 1_000_000).toString();
+      } else if ('index' in spec) {
-      result.quote_volume = Math.round(quoteVolRaw  * priceMult).toString();
+        if (candle.length > spec.index) {
-      result.num_trades   = numTrades.toString();
+          result[fieldName] = applyScale(candle[spec.index], spec.scale, priceMult, sizeMult);
-      result.buy_vol      = Math.round(takerBuyBase  * sizeMult).toString();
+        }
-      result.sell_vol     = Math.round((volume - takerBuyBase) * sizeMult).toString();
+      }
-    } else {
-      result.close_time = ((timestamp + periodSeconds * 1000) * 1_000_000).toString();
     }
 
     return result;

sandbox/dexorder/impl/data_api_impl.py

@@ -166,13 +166,11 @@ class DataAPIImpl(DataAPI):
             period_seconds=period_seconds,
             start_time=start_nanos,
             end_time=end_nanos,
-            request_timeout=self.request_timeout
+            columns=columns_to_fetch,
+            request_timeout=self.request_timeout,
         )
 
-        # Select only requested columns (filter out metadata and unrequested fields)
         if not df.empty:
-            available_cols = [col for col in columns_to_fetch if col in df.columns]
-            df = df[available_cols]
             self._bars_fetched += len(df)
 
         return df

sandbox/dexorder/ohlc_client.py

@@ -5,7 +5,7 @@ OHLCClient - High-level API for fetching OHLC data with smart caching
 import asyncio
 import pandas as pd
 import logging
-from typing import Optional
+from typing import List, Optional
 from .iceberg_client import IcebergClient
 from .history_client import HistoryClient
 from .symbol_metadata_client import SymbolMetadataClient
@@ -90,6 +90,7 @@ class OHLCClient:
         period_seconds: int,
         start_time: int,
         end_time: int,
+        columns: Optional[List[str]] = None,
         request_timeout: float = 120.0
     ) -> pd.DataFrame:
         """
@@ -123,7 +124,7 @@ class OHLCClient:
         end_time   = ((end_time   + period_nanos - 1) // period_nanos) * period_nanos  # exclusive
 
         # Step 1: Check Iceberg for existing data (run in thread — scan.to_pandas() blocks ~3-5s)
-        df = await asyncio.to_thread(self.iceberg.query_ohlc, ticker, period_seconds, start_time, end_time)
+        df = await asyncio.to_thread(self.iceberg.query_ohlc, ticker, period_seconds, start_time, end_time, columns)
 
         # Step 2: Identify missing ranges — pass df to avoid a redundant Iceberg scan
         missing_ranges = self.iceberg.find_missing_ranges(
@@ -149,7 +150,7 @@ class OHLCClient:
             raise ValueError(f"Historical data request failed: {result['error_message']}")
 
         # Step 5: Query Iceberg again for complete dataset (run in thread)
-        df = await asyncio.to_thread(self.iceberg.query_ohlc, ticker, period_seconds, start_time, end_time)
+        df = await asyncio.to_thread(self.iceberg.query_ohlc, ticker, period_seconds, start_time, end_time, columns)
 
         return self._apply_decimal_correction(ticker, df)