Processor-Result

AuraTrader/FirstStrategy.pas

@@ -41,13 +41,12 @@ type
         property Observers: IMycBroadcast<T> read GetObservers;
     end;
 
-    TMycConverter<S, T> = class abstract(TInterfacedObject, IMycProcessor<S>, IMycConverter<S, T>)
+    TMycConverter<S, T> = class abstract(TMycProcessor<S>, IMycConverter<S, T>)
     private
         FObservers: TMycBroadcast<T>;
     protected
         procedure Broadcast(const Value: T);
         function GetObservers: IMycBroadcast<T>;
-        procedure ProcessData(const Value: S); virtual; abstract;
     public
         constructor Create;
         destructor Destroy; override;
@@ -59,7 +58,7 @@ type
     private
         FFunc: TConvertFunc;
     protected
-        procedure ProcessData(const Value: S); override;
+        function ProcessData(const Value: S): Boolean; override;
     public
         constructor Create(const AFunc: TConvertFunc);
     end;
@@ -79,7 +78,7 @@ type
     TMycIndicator<S, T> = class abstract(TMycConverter<TArray<S>, TArray<T>>, IMycIndicator<S, T>)
     protected
         function GetLookback: Integer; virtual; abstract;
-        procedure ProcessData(const Value: TArray<S>); override; abstract;
+        function ProcessData(const Value: TArray<S>): Boolean; override; abstract;
     public
         property Lookback: Integer read GetLookback;
     end;
@@ -92,7 +91,7 @@ type
         FFunc: TConvertFunc;
     protected
         function GetLookback: Integer; override;
-        procedure ProcessData(const Value: TArray<S>); override;
+        function ProcessData(const Value: TArray<S>): Boolean; override;
     public
         constructor Create(ALookback: Integer; const AFunc: TConvertFunc);
     end;
@@ -120,7 +119,7 @@ type
         constructor Create(const ATimeframe: TTimeframe; const AStateText: TWriteable<String>);
 
         // Process new data. This is called concurrently and must not have side effects out of the scope of this class!
-        procedure ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>); override;
+        function ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>): Boolean; override;
 
         property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
         property StateText: TWriteable<String> read GetStateText;
@@ -140,7 +139,7 @@ type
         // Calculates the Weighted Moving Average for the most recent data.
         function CalculateWMA(const Series: TMycDataArray<Double>; const Period: Integer): Double;
     protected
-        procedure ProcessData(const Values: TArray<Double>); override;
+        function ProcessData(const Values: TArray<Double>): Boolean; override;
         function GetLookback: Integer; override;
     public
         constructor Create(const APeriod: Integer);
@@ -175,8 +174,7 @@ begin
         FLinkedStrategies.Notify(
             function(const Processor: IMycProcessor<T>): Boolean
             begin
-                Processor.ProcessData(cValue);
+                Result := Processor.ProcessData(cValue);
-                Result := true;
             end
         );
     finally
@@ -242,7 +240,7 @@ begin
     Result := FTimeframe;
 end;
 
-procedure TTicksToTimeframe.ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>);
+function TTicksToTimeframe.ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>): Boolean;
 var
     point: TDataPoint<TAskBidItem>;
     midPrice: Single;
@@ -251,6 +249,7 @@ var
     currentBar: TOhlcItem;
     producedBars: TList<TDataPoint<TOhlcItem>>;
 begin
+    Result := true;
     producedBars := TList<TDataPoint<TOhlcItem>>.Create;
     try
         // Process each incoming data point
@@ -343,7 +342,7 @@ begin
     Result := FPeriod + FPeriodSqrt - 1;
 end;
 
-procedure THullMovingAverage.ProcessData(const Values: TArray<Double>);
+function THullMovingAverage.ProcessData(const Values: TArray<Double>): Boolean;
 var
     i: Integer;
     price: Double;
@@ -351,6 +350,8 @@ var
     hma: Double;
     resultArray: TArray<Double>;
 begin
+    Result := true;
+
     // Pre-allocate the result array since its size is known in advance.
     SetLength(resultArray, Length(Values));
 
@@ -358,8 +359,8 @@ begin
     begin
         price := Values[i];
 
-        // Default HMA to 0.0 for the warm-up period.
+        // Default HMA to NaN for the warm-up period.
-        hma := 0.0;
+        hma := Double.NaN;
 
         // Add new price to the source data array, respecting the lookback period.
         FSourceData := FSourceData.Add(price, FPeriod);
@@ -402,8 +403,9 @@ begin
     FFunc := AFunc;
 end;
 
-procedure TMycGenericConverter<S, T>.ProcessData(const Value: S);
+function TMycGenericConverter<S, T>.ProcessData(const Value: S): Boolean;
 begin
+    Result := true;
     Broadcast(FFunc(Value));
 end;
 
@@ -419,11 +421,11 @@ begin
     Result := FLookback;
 end;
 
-procedure TMycGenericIndicator<S, T>.ProcessData(const Value: TArray<S>);
+function TMycGenericIndicator<S, T>.ProcessData(const Value: TArray<S>): Boolean;
 var
     Arr: TArray<T>;
 begin
-    inherited;
+    Result := true;
     SetLength(Arr, Length(Value));
     for var i := 0 to High(Arr) do
         Arr[i] := FFunc(Value[i]);

AuraTrader/MainForm.pas

@@ -450,8 +450,9 @@ begin
                         Symbol,
                         terminated,
                         TMycGenericProcessor<TArray<TDataPoint<TAuraAskBidFileItem>>>.Create(
-                            procedure(const Values: TArray<TDataPoint<TAuraAskBidFileItem>>)
+                            function(const Values: TArray<TDataPoint<TAuraAskBidFileItem>>): Boolean
                             begin
+                                Result := true;
                                 Prices := Prices.Add(Values);
                                 currLog.Value := Prices.TotalCount.ToString;
 

AuraTrader/Myc.Fmx.Chart.pas

@@ -78,7 +78,7 @@ type
         FDataSeries: TMycDataArray<T>;
         FChanged: Boolean;
         FLock: TSpinLock;
-        procedure ProcessData(const Values: TArray<T>);
+        function ProcessData(const Values: TArray<T>): Boolean;
     private
         FData: TMycDataArray<T>;
     protected
@@ -271,8 +271,9 @@ begin
     Result := FData.Count;
 end;
 
-procedure TChartSeriesProcessor<T>.ProcessData(const Values: TArray<T>);
+function TChartSeriesProcessor<T>.ProcessData(const Values: TArray<T>): Boolean;
 begin
+    Result := true;
     FLock.Enter;
     try
         FDataSeries := FDataSeries.Add(Values, 0, Length(Values), Owner.Lookback);
@@ -407,8 +408,17 @@ begin
     if displayCount < 2 then
         Exit;
 
-    points.MoveTo( TPointF.Create(AXForm(0), AYForm(Data[0])) );
+    // Skip warmup data
-    for var i := 1 to displayCount - 1 do
+    var n := 0;
+    while IsNaN(Data[n]) do
+    begin
+        inc( n );
+        if n >= displaycount-2 then
+            exit;
+    end;
+
+    points.MoveTo( TPointF.Create(AXForm(n), AYForm(Data[n])) );
+    for var i := n to displayCount - 1 do
         points.LineTo( TPointF.Create(AXForm(i), AYForm(Data[i])) );
 
     ACanvas.Stroke.Color := FLineColor;

Src/Myc.Trade.DataPoint.pas

@@ -30,25 +30,30 @@ type
     end;
 
     IMycProcessor<T> = interface
-        procedure ProcessData(const Value: T);
+        function ProcessData(const Value: T): Boolean;
     end;
 
-    TMycGenericProcessor<T> = class(TInterfacedObject, IMycProcessor<T>)
+    TMycProcessor<T> = class abstract(TInterfacedObject, IMycProcessor<T>)
+    protected
+        function ProcessData(const Value: T): Boolean; virtual; abstract;
+    end;
+
+    TMycGenericProcessor<T> = class(TMycProcessor<T>)
         type
-            TProc = reference to procedure(const Value: T);
+            TProc = reference to function(const Value: T): Boolean;
     private
         FProc: TProc;
-        procedure ProcessData(const Value: T);
+        function ProcessData(const Value: T): Boolean; override;
     public
         constructor Create(const AProc: TProc);
     end;
 
     TMycContainedProcessor<T> = class(TContainedObject, IMycProcessor<T>)
         type
-            TProc = procedure(const Value: T) of object;
+            TProc = function(const Value: T): Boolean of object;
     private
         FProc: TProc;
-        procedure ProcessData(const Value: T);
+        function ProcessData(const Value: T): Boolean;
     public
         constructor Create(const Controller: IInterface; const AProc: TProc);
     end;
@@ -420,9 +425,9 @@ begin
     FProc := AProc;
 end;
 
-procedure TMycGenericProcessor<T>.ProcessData(const Value: T);
+function TMycGenericProcessor<T>.ProcessData(const Value: T): Boolean;
 begin
-    FProc(Value);
+    Result := FProc(Value);
 end;
 
 constructor TMycContainedProcessor<T>.Create(const Controller: IInterface; const AProc: TProc);
@@ -431,9 +436,9 @@ begin
     FProc := AProc;
 end;
 
-procedure TMycContainedProcessor<T>.ProcessData(const Value: T);
+function TMycContainedProcessor<T>.ProcessData(const Value: T): Boolean;
 begin
-    FProc(Value);
+    Result := FProc(Value);
 end;
 
 end.

Src/Myc.Trade.DataStream.pas

@@ -436,7 +436,9 @@ begin
         DataFile.Chain(
             function(const Data: TArray<TDataPoint<T>>): TState
             begin
-                Processor.ProcessData(Data);
+                if not Processor.ProcessData(Data) then
+                    exit( TState.Null );
+
                 Result := ProcessFile(nextFileInfo, nextFile, cTerminated, Processor);
             end
         );