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Polished DataProvider & Converter, RTTI field access

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This commit is contained in:
Michael Schimmel
2025-07-15 01:56:44 +02:00
parent 4247fde7cd
commit 1a2b6cf8a0
15 changed files with 687 additions and 1044 deletions
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AuraTrader/AuraTrader.dpr
+3 -2
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@@ -5,7 +5,6 @@ uses
System.StartUpCopy,
FMX.Forms,
MainForm in 'MainForm.pas' {Form1},
Myc.Trade.Core.DataPoint in '..\Src\Myc.Trade.Core.DataPoint.pas',
Myc.Aura.Module in '..\Src\Myc.Aura.Module.pas',
Myc.Aura.Parameter in '..\Src\Myc.Aura.Parameter.pas',
TestModule in 'TestModule.pas',
@@ -14,7 +13,9 @@ uses
Myc.Trade.DataArray in '..\Src\Myc.Trade.DataArray.pas',
Myc.FMX.Chart.Series in '..\Src\Myc.FMX.Chart.Series.pas',
Myc.Trade.Indicators in '..\Src\Myc.Trade.Indicators.pas',
Myc.Trade.Types in '..\Src\Myc.Trade.Types.pas';
Myc.Trade.Types in '..\Src\Myc.Trade.Types.pas',
Myc.Trade.DataConverter in '..\Src\Myc.Trade.DataConverter.pas',
Myc.Trade.Core.DataConverter in '..\Src\Myc.Trade.Core.DataConverter.pas';
{$R *.res}
AuraTrader/AuraTrader.dproj
+3 -2
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@@ -4,7 +4,7 @@
<ProjectVersion>20.3</ProjectVersion>
<FrameworkType>FMX</FrameworkType>
<Base>True</Base>
<Config Condition="'$(Config)'==''">Debug</Config>
<Config Condition="'$(Config)'==''">Release</Config>
<Platform Condition="'$(Platform)'==''">Win64</Platform>
<ProjectName Condition="'$(ProjectName)'==''">AuraTrader</ProjectName>
<TargetedPlatforms>3</TargetedPlatforms>
@@ -133,7 +133,6 @@
<DCCReference Include="MainForm.pas">
<Form>Form1</Form>
</DCCReference>
<DCCReference Include="..\Src\Myc.Trade.Core.DataPoint.pas"/>
<DCCReference Include="..\Src\Myc.Aura.Module.pas"/>
<DCCReference Include="..\Src\Myc.Aura.Parameter.pas"/>
<DCCReference Include="TestModule.pas"/>
@@ -143,6 +142,8 @@
<DCCReference Include="..\Src\Myc.FMX.Chart.Series.pas"/>
<DCCReference Include="..\Src\Myc.Trade.Indicators.pas"/>
<DCCReference Include="..\Src\Myc.Trade.Types.pas"/>
<DCCReference Include="..\Src\Myc.Trade.DataConverter.pas"/>
<DCCReference Include="..\Src\Myc.Trade.Core.DataConverter.pas"/>
<BuildConfiguration Include="Base">
<Key>Base</Key>
</BuildConfiguration>
AuraTrader/FirstStrategy.pas
+22 -96
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@@ -10,36 +10,12 @@ uses
Myc.TaskManager,
Myc.Trade.Types,
Myc.Trade.DataPoint,
Myc.Trade.DataArray;
Myc.Trade.DataArray,
Myc.Trade.DataConverter,
Myc.Trade.Core.DataConverter;
type
TMycGenericConverter<S, T> = class(TMycConverter<S, T>)
type
TConvertFunc = reference to function(const Value: S): T;
private
FFunc: TConvertFunc;
protected
function ProcessData(const Value: S): TState; override;
public
constructor Create(const AFunc: TConvertFunc);
end;
TIndicator<S, T> = class(TMycConverter<S, T>)
protected
function ProcessData(const Value: S): TState; override; final;
function Calculate(const Value: S): T; virtual; abstract;
end;
TGenericIndicator<S, T> = class(TIndicator<S, T>)
private
FFunc: TIndicatorFunc<S, T>;
protected
function Calculate(const Value: S): T; override; final;
public
constructor Create(const AFunc: TIndicatorFunc<S, T>);
end;
TTicksToBars = class(TMycConverter<TDataPoint<TAskBidItem>, TDataPoint<TOhlcItem>>)
TTickAggregation = class(TMycConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>)
private
FTimeframe: TTimeframe;
FCurrentBar: TDataPoint<TOhlcItem>;
@@ -48,64 +24,26 @@ type
function GetTimeframe: TTimeframe;
public
constructor Create(const ATimeframe: TTimeframe);
function ProcessData(const Value: TDataPoint<TAskBidItem>): TState; override;
function ProcessData(const Value: TDataPoint<Double>): TState; override;
property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
property Timeframe: TTimeframe read GetTimeframe;
end;
TTicker<T> = class(TMycConverter<TArray<T>, T>)
public
function ProcessData(const Values: TArray<T>): TState; override;
end;
implementation
uses
System.DateUtils,
System.Math;
{ TMycGenericConverter<S, T> }
{ TTickAggregation }
constructor TMycGenericConverter<S, T>.Create(const AFunc: TConvertFunc);
begin
inherited Create;
FFunc := AFunc;
end;
function TMycGenericConverter<S, T>.ProcessData(const Value: S): TState;
begin
Result := Broadcast(FFunc(Value));
end;
{ TIndicator<S,T> }
function TIndicator<S, T>.ProcessData(const Value: S): TState;
begin
Result := Broadcast(Calculate(Value));
end;
{ TGenericIndicator<S,T> }
constructor TGenericIndicator<S, T>.Create(const AFunc: TIndicatorFunc<S, T>);
begin
inherited Create;
FFunc := AFunc;
end;
function TGenericIndicator<S, T>.Calculate(const Value: S): T;
begin
Result := FFunc(Value);
end;
{ TTicksToBars }
constructor TTicksToBars.Create(const ATimeframe: TTimeframe);
constructor TTickAggregation.Create(const ATimeframe: TTimeframe);
begin
inherited Create;
FTimeframe := ATimeframe;
end;
function TTicksToBars.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
function TTickAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
var
baseTime: TDateTime;
begin
@@ -153,25 +91,21 @@ begin
end;
end;
function TTicksToBars.GetCurrentBar: TDataPoint<TOhlcItem>;
function TTickAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
begin
Result := FCurrentBar;
end;
function TTicksToBars.GetTimeframe: TTimeframe;
function TTickAggregation.GetTimeframe: TTimeframe;
begin
Result := FTimeframe;
end;
function TTicksToBars.ProcessData(const Value: TDataPoint<TAskBidItem>): TState;
function TTickAggregation.ProcessData(const Value: TDataPoint<Double>): TState;
var
midPrice: Single;
barStartTime: TDateTime;
lastBarTime: TDateTime;
currentBar: TOhlcItem;
begin
midPrice := (Value.Data.Ask + Value.Data.Bid) / 2;
// Update bar for the strategy's timeframe
barStartTime := GetBarStartTime(Value.Time, FTimeframe);
lastBarTime := FCurrentBar.Time;
@@ -185,32 +119,24 @@ begin
end;
// Start a new bar, Volume is 1 because this is the first tick.
currentBar := TOhlcItem.Create(midPrice, midPrice, midPrice, midPrice, 1);
FCurrentBar.Data := currentBar;
FCurrentBar.Data.Open := Value.Data;
FCurrentBar.Data.High := Value.Data;
FCurrentBar.Data.Low := Value.Data;
FCurrentBar.Data.Close := Value.Data;
FCurrentBar.Data.Volume := 1;
FCurrentBar.Time := barStartTime;
end
else
begin
// Update the currently aggregating bar
currentBar := FCurrentBar.Data;
currentBar.High := Max(currentBar.High, midPrice);
currentBar.Low := Min(currentBar.Low, midPrice);
currentBar.Close := midPrice;
if Value.Data > FCurrentBar.Data.High then
FCurrentBar.Data.High := Value.Data;
if Value.Data < FCurrentBar.Data.Low then
FCurrentBar.Data.Low := Value.Data;
FCurrentBar.Data.Close := Value.Data;
// Volume is the number of ticks needed to build the complete bar.
currentBar.Volume := currentBar.Volume + 1;
FCurrentBar.Data := currentBar;
FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + 1;
end;
end;
function TTicker<T>.ProcessData(const Values: TArray<T>): TState;
begin
var done := TLatch.CreateLatch( Length(Values) );
// Process each incoming data point
for var i:=0 to High(Values) do
Broadcast(Values[i]).Signal.Subscribe(done);
Result := done.State;
end;
end.
AuraTrader/MainForm.fmx
+10
View File
@@ -146,6 +146,16 @@ object Form1: TForm1
TextSettings.Trimming = None
OnClick = StopButtonClick
end
object Strat2Button: TSpeedButton
Align = FitLeft
Position.X = 639.119262695312500000
Size.Width = 123.636352539062500000
Size.Height = 34.000000000000000000
Size.PlatformDefault = False
Text = 'Strat 2'
TextSettings.Trimming = None
OnClick = Strat2ButtonClick
end
end
end
object ObjectsPanel: TPanel
AuraTrader/MainForm.pas
+128 -15
View File
@@ -30,6 +30,7 @@ uses
Myc.Trade.Types,
Myc.Trade.DataStream,
Myc.Trade.DataPoint,
Myc.Trade.DataConverter,
Myc.Signals,
Myc.Mutable,
Myc.Signals.FMX,
@@ -74,11 +75,13 @@ type
TestPopup: TPopup;
FlowLayout: TFlowLayout;
StrategyButton: TSpeedButton;
Strat2Button: TSpeedButton;
procedure FormCreate(Sender: TObject);
procedure FormDestroy(Sender: TObject);
procedure StopButtonClick(Sender: TObject);
procedure TreeViewDblClick(Sender: TObject);
procedure AddWorkspaceActionExecute(Sender: TObject);
procedure Strat2ButtonClick(Sender: TObject);
procedure TestActionExecute(Sender: TObject);
procedure StrategyButtonClick(Sender: TObject);
private
@@ -279,12 +282,12 @@ end;
function TForm1.ExecuteStrategy(const Symbol: String; const Processor: IMycProcessor<TArray<TDataPoint<TAskBidItem>>>): TState;
var
dataProvider: IMycConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>;
dataProvider: TConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>;
begin
var terminated := TFlag.CreateObserver(FTerminate.Signal).State;
dataProvider :=
TMycGenericConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>.Create(
TConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>.CreateGeneric(
function(const Values: TArray<TDataPoint<TAuraAskBidFileItem>>): TArray<TDataPoint<TAskBidItem>>
begin
SetLength(Result, Length(Values));
@@ -328,32 +331,141 @@ begin
/////
var timeframe := TTimeframe.S15;
var timeframe := TTimeframe.H4;
var ticker := TTicker<TDataPoint<TAskBidItem>>.Create;
var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
var OhlcPoint := TTicksToBars.Create(timeframe);
ticker.Sender.Link(OhlcPoint);
var lastPrice :=
ticker.Chain<TDataPoint<Double>>(
function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
begin
Result.Time := Tick.Time;
Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
end
);
var Timestamps: IMycConverter<TDataPoint<TOhlcItem>, TDateTime> :=
TMycGenericConverter<TDataPoint<TOhlcItem>, TDateTime>
.Create(function(const Ohlc: TDataPoint<TOhlcItem>): TDateTime begin Result := Ohlc.Time; end);
var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TTickAggregation.Create(timeframe));
var Timestamps := OhlcPoint.Chain<TDateTime>(function(const Ohlc: TDataPoint<TOhlcItem>): TDateTime begin Result := Ohlc.Time; end);
var Ohlc := OhlcPoint.Chain<TOhlcItem>(function(const Ohlc: TDataPoint<TOhlcItem>): TOhlcItem begin Result := Ohlc.Data; end);
var Closes := Ohlc.Chain<Double>(function(const Ohlc: TOhlcItem): Double begin Result := Ohlc.Close; end);
var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(150));
var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(50));
var Ema := Closes.Chain<Double>(TIndicators.CreateEMA(21));
var Boli := Closes.Chain<TBollingerBandsResult>(TIndicators.CreateBollingerBands(20, 2.0));
var Rsi := Closes.Chain<Double>(TIndicators.CreateRSI(14));
var Macd := Closes.Chain<TMacdResult>(TIndicators.CreateMACD(12, 26, 9));
var Stoch := Ohlc.Chain<TStochasticResult>(TIndicators.CreateStochastic(14, 3));
chart.SetXAxisSeries(timeframe, Timestamps.Sender);
var Panel := chart.AddPanel;
Panel.AddOhlcSeries(Ohlc.Sender);
Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
Panel.AddDoubleSeries(Boli.Field<Double>('UpperBand').Sender, TAlphaColors.Gray);
Panel.AddDoubleSeries(Boli.Field<Double>('MiddleBand').Sender, TAlphaColors.Darkgray, 1.0);
Panel.AddDoubleSeries(Boli.Field<Double>('LowerBand').Sender, TAlphaColors.Gray);
Panel := chart.AddPanel;
Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
Panel := chart.AddPanel;
Panel.AddDoubleSeries(Macd.Field<Double>('MacdLine').Sender, TAlphaColors.Orange);
Panel.AddDoubleSeries(Macd.Field<Double>('SignalLine').Sender, TAlphaColors.Dodgerblue);
Panel.AddDoubleSeries(Macd.Field<Double>('Histogram').Sender, TAlphaColors.Lightgreen);
Panel := chart.AddPanel;
Panel.AddDoubleSeries(Stoch.Field<Double>('K').Sender, TAlphaColors.Green);
Panel.AddDoubleSeries(Stoch.Field<Double>('D').Sender, TAlphaColors.Red);
/////
var tickChart := TMycChart.Create(Self);
tickChart.Height := Layout.ChildrenRect.Width * 9 / 16;
AlignControl(tickChart);
tickChart.Lookback.Value := 1000000;
var TickTime := ticker.Field<TDateTime>('Time');
var TickData := ticker.Field<TAskBidItem>('Data');
var TickAsk := TickData.Field<Double>('Ask');
var TickBid := TickData.Field<Double>('Bid');
var TickSpread := TickData.Chain<Double>(function(const Tick: TAskBidItem): Double begin Result := Tick.Bid - Tick.Ask; end);
{ tickChart.SetXAxisSeries(TTimeframe.S, TickTime.Sender);
panel := tickChart.AddPanel;
panel.AddDoubleSeries(TickAsk.Sender, TAlphaColors.Blue);
panel.AddDoubleSeries(TickBid.Sender, TAlphaColors.Red);
panel := tickChart.AddPanel;
panel.AddDoubleSeries(TickSpread.Sender);
}
/////
var done := ExecuteStrategy(Symbol, ticker);
FProcessDone := TState.All([FProcessDone, done]);
end;
procedure TForm1.Strat2ButtonClick(Sender: TObject);
begin
var timeframe := TTimeframe.M15;
var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
var lastPrice :=
ticker.Chain<TDataPoint<Double>>(
function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
begin
Result.Time := Tick.Time;
Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
end
);
var OhlcPoint := TTickAggregation.Create(timeframe);
lastPrice.Sender.Link(OhlcPoint);
var Closes :=
TConverter<TDataPoint<TOhlcItem>, Double>
.CreateGeneric(function(const Ohlc: TDataPoint<TOhlcItem>): Double begin Result := Ohlc.Data.Close; end);
var Hull := TConverter<Double, Double>.CreateGeneric(TIndicators.CreateHMA(150));
var Timestamps :=
TConverter<TDataPoint<TOhlcItem>, TDateTime>
.CreateGeneric(function(const Ohlc: TDataPoint<TOhlcItem>): TDateTime begin Result := Ohlc.Time; end);
OhlcPoint.Sender.Link(TimeStamps);
var Layout := CurrLayout<TVertScrollBox>;
if Layout = nil then
exit;
var Symbol := SelectedSymbol;
if Symbol = '' then
exit;
var chart := TMycChart.Create(Self);
AlignControl(chart);
chart.Height := Layout.ChildrenRect.Width * 9 / 16;
chart.Lookback.Value := 50000;
/////
{
chart.SetXAxisSeries(timeframe, Timestamps.Sender);
var Panel := chart.AddPanel;
var Ohlc: IMycConverter<TDataPoint<TOhlcItem>, TOhlcItem> :=
TMycGenericConverter<TDataPoint<TOhlcItem>, TOhlcItem>
.Create(function(const Ohlc: TDataPoint<TOhlcItem>): TOhlcItem begin Result := Ohlc.Data; end);
OhlcPoint.Sender.Link(Ohlc);
Panel.AddOhlcSeries(Ohlc.Sender);
var Closes: IMycConverter<TOhlcItem, Double> :=
TMycGenericConverter<TOhlcItem, Double>.Create(function(const Ohlc: TOhlcItem): Double begin Result := Ohlc.Close; end);
Ohlc.Sender.Link(Closes);
var Hull: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateHMA(150));
@@ -477,6 +589,7 @@ begin
var done := ExecuteStrategy(Symbol, ticker);
FProcessDone := TState.All([FProcessDone, done]);
}
end;
end.