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Fixed concurrent processing

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This commit is contained in:
Michael Schimmel
2025-07-16 14:12:07 +02:00
parent bc75f08477
commit 342eb07c42
8 changed files with 192 additions and 105 deletions
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AuraTrader/MainForm.pas
+25 -19
View File
@@ -108,6 +108,7 @@ type
TEquitySum = class(TMycConverter<Double, Double>)
private
FEquity: Double;
FInit: Boolean;
protected
function ProcessData(const Value: Double): TState; override;
public
@@ -360,12 +361,12 @@ begin
var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
var Closes := Ohlc.Field<Double>('Close');
var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(150));
var Hull := Closes.MakeParallel.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 Boli := Closes.MakeParallel.Chain<TBollingerBandsResult>(TIndicators.CreateBollingerBands(20, 2.0));
var Rsi := Closes.MakeParallel.Chain<Double>(TIndicators.CreateRSI(14));
var Macd := Closes.MakeParallel.Chain<TMacdResult>(TIndicators.CreateMACD(12, 26, 9));
var Stoch := Ohlc.Chain<TStochasticResult>(TIndicators.CreateStochastic(14, 3));
chart.SetXAxisSeries(timeframe, Timestamps.Sender);
@@ -429,7 +430,7 @@ type
pnl: Double;
end;
begin
var timeframe := TTimeframe.M15;
var timeframe := TTimeframe.D;
var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
@@ -440,37 +441,35 @@ begin
)
);
var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateAggregation(timeframe));
var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateAggregation(timeframe)).MakeParallel;
var Ohlc := TConverter.CreateSequence<TOhlcItem>(2, OhlcPoint.Field<TOhlcItem>('Data').Sender);
var Closes := Ohlc[0].Field<Double>('Close');
var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(250));
var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(200));
var HullSeries := TConverter.CreateEndpoint<Double>(Hull.Sender, 5);
var SmaSeries := TConverter.CreateEndpoint<Double>(Sma.Sender, 5);
var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(250)).MakeParallel;
var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(200)).MakeParallel;
var Lowest: Double := Double.MaxValue;
var Highest: Double := Double.MinValue;
var ATR := Ohlc[0].Chain<Double>(TIndicators.CreateATR(15));
var ATRSeries := TConverter.CreateEndpoint<Double>(ATR.Sender, 5);
var HullSeries := TConverter.CreateEndpoint<Double>(Hull.Sender, 5);
var SmaSeries := TConverter.CreateEndpoint<Double>(Sma.Sender, 5);
// next stage
var curr: TSignal;
curr.SL := Double.NaN;
curr.Entry := Double.NaN;
var ATR := Ohlc[0].Chain<Double>(TIndicators.CreateATR(50));
var ATRSeries := TConverter.CreateEndpoint<Double>(ATR.Sender, 5);
// next stage
var Signal :=
Ohlc[1]
.Chain<TSignal>(
function(const Ohlc: TOhlcItem): TSignal
begin
var pnl: Double := 0;
if Ohlc.Low < Lowest then
Lowest := Ohlc.Low;
if Ohlc.High > Highest then
@@ -478,7 +477,7 @@ begin
Result := curr;
Result.Sig := 0;
pnl := NaN;
var pnl: double := NaN;
if (HullSeries.Value[0] < SmaSeries.Value[0]) and (HullSeries.Value[1] >= SmaSeries.Value[1]) then
begin
@@ -600,10 +599,17 @@ constructor TEquitySum.Create(AEquity: Double);
begin
inherited Create;
FEquity := AEquity;
FInit := false;
end;
function TEquitySum.ProcessData(const Value: Double): TState;
begin
if not FInit then
begin
FInit := true;
Broadcast(FEquity);
end;
if not IsNan(Value) then
begin
FEquity := FEquity + Value;
Src/Myc.Fmx.Chart.Series.pas
+3 -35
View File
@@ -15,27 +15,13 @@ uses
Myc.Fmx.Chart;
type
TChartSeriesReceiver<T> = class(TMycProcessor<T>)
strict private
FCurrData: TSeries<T>;
FLookback: TMutable<Int64>;
private
FData: TWriteable<TSeries<T>>;
protected
function ProcessData(const Value: T): TState; override;
public
constructor Create(const ALookback: TMutable<Int64>);
property Data: TWriteable<TSeries<T>> read FData;
end;
TChartSeriesProcessor<T> = class(TMycChart.TSeries)
strict private
FDataSeries: TSeries<T>;
private
FData: TSeries<T>;
FDataProvider: TDataProvider<T>;
FReceiver: TChartSeriesReceiver<T>;
FReceiverTag: TDataProvider<T>.TTag;
FReceiver: TMutable<TSeries<T>>;
protected
function GetCount: Int64; override;
function GetTotalCount: Int64; override;
@@ -140,22 +126,6 @@ uses
System.Math,
FMX.Types;
{ TChartSeriesReceiver<T> }
constructor TChartSeriesReceiver<T>.Create(const ALookback: TMutable<Int64>);
begin
inherited Create;
FLookback := ALookback;
FData := TWriteable<TSeries<T>>.CreateWriteable(FCurrData).Protect;
end;
function TChartSeriesReceiver<T>.ProcessData(const Value: T): TState;
begin
Result := TState.Null;
FCurrData := FCurrData.Add(Value, FLookback.Value);
FData.Value := FCurrData;
end;
{ TChartSeriesProcessor<T> }
constructor TChartSeriesProcessor<T>.Create(const ADataProvider: TDataProvider<T>; const ALookback: TMutable<Int64>);
@@ -164,13 +134,11 @@ begin
FDataProvider := ADataProvider;
FData := FDataSeries;
FReceiver := TChartSeriesReceiver<T>.Create(ALookback);
FReceiverTag := FDataProvider.Link(FReceiver);
FReceiver := TConverter.CreateEndpoint<T>(FDataProvider, ALookback.Value);
end;
destructor TChartSeriesProcessor<T>.Destroy;
begin
FDataProvider.Unlink(FReceiverTag);
inherited;
end;
@@ -186,7 +154,7 @@ end;
procedure TChartSeriesProcessor<T>.Update;
begin
FData := FReceiver.Data.Value;
FData := FReceiver.Value;
end;
{ TChartLineLayer }
Src/Myc.Fmx.Chart.pas
+22 -29
View File
@@ -64,18 +64,19 @@ type
constructor Create(AParent: TPanel);
end;
TDragPoint = record
Point: TPointF;
Idx: Int64;
BarX: Single;
end;
TAxisLayer = class abstract(TLayer)
private
FOwner: TMycChart;
protected
function GetOwner: TMycChart; override; final;
// Paint crosshair and other axis related overlays
procedure Paint(
const Canvas: TCanvas;
const Viewport: TRectF;
ViewStartIndex, ViewCount: Int64;
IdxAtMousePos: Integer
); virtual; abstract;
procedure Paint(const Canvas: TCanvas; const Viewport: TRectF; const MousePos: TDragPoint); virtual; abstract;
public
constructor Create(AOwner: TMycChart);
end;
@@ -83,12 +84,7 @@ type
TXAxisLayer = class(TAxisLayer)
protected
// Paint crosshair and time caption
procedure Paint(
const Canvas: TCanvas;
const Viewport: TRectF;
ViewStartIndex, ViewCount: Int64;
IdxAtMousePos: Integer
); override;
procedure Paint(const Canvas: TCanvas; const Viewport: TRectF; const MousePos: TDragPoint); override;
// This function delivers the text for the caption.
function GetCaption(Idx: Int64): String; virtual; abstract;
end;
@@ -124,11 +120,6 @@ type
property Weight: Single read FWeight write SetWeight;
end;
TDragPoint = record
Point: TPointF;
Idx: Int64;
end;
private
FPanelList: TObjectList<TPanel>;
FXAxisSeries: TMycChart.TXAxisLayer;
@@ -175,6 +166,8 @@ type
property Panels[Index: Integer]: TPanel read GetPanel; default;
// The rectangle occupied by the jump-to-latest button, used for hit testing.
property JumpButtonRect: TRectF read FJumpButtonRect;
property ViewCount: Int64 read FViewCount;
property ViewStartIndex: Int64 read FViewStartIndex;
end;
implementation
@@ -232,11 +225,16 @@ end;
function TMycChart.CreateDragPoint(X, Y: Single): TDragPoint;
begin
var rect := LocalRect;
Result.Point.X := X;
Result.Point.Y := Y;
Result.Idx := Round((LocalRect.Right - X) * (FViewCount - 1) / LocalRect.Width);
Result.Idx := Round((rect.Right - X) * (FViewCount - 1) / rect.Width);
if (Result.Idx < 0) or (Result.Idx >= FXAxisSeries.Series.Count) then
Result.Idx := -1;
Result.BarX := NaN;
if Result.Idx >= 0 then
Result.BarX := rect.Right - (Result.Idx * (FViewCount - 1)) / (FViewCount - 1) * (rect.Width / (FViewCount - 1));
end;
function TMycChart.GetPanel(Index: Integer): TPanel;
@@ -356,7 +354,7 @@ begin
begin
// Do not draw crosshair if mouse is over the jump button
if not FJumpButtonRect.Contains(FMousePos.Point) then
FXAxisSeries.Paint(Self.Canvas, rect, FViewStartIndex, FViewCount, FViewStartIndex + FMousePos.Idx);
FXAxisSeries.Paint(Self.Canvas, rect, FMousePos);
end;
// --- Draw the "jump to latest" button (code unchanged) ---
@@ -839,12 +837,7 @@ end;
{ TMycChart.TXAxisLayer }
procedure TMycChart.TXAxisLayer.Paint(
const Canvas: TCanvas;
const Viewport: TRectF;
ViewStartIndex, ViewCount: Int64;
IdxAtMousePos: Integer
);
procedure TMycChart.TXAxisLayer.Paint(const Canvas: TCanvas; const Viewport: TRectF; const MousePos: TDragPoint);
var
caption: string;
captionRect: TRectF;
@@ -853,11 +846,11 @@ var
textSize: TRectF;
begin
// Do not draw if no data or view is invalid
if (not Assigned(Series)) or (Series.Count = 0) or (ViewCount <= 1) then
if (not Assigned(Series)) or (Series.Count = 0) then
exit;
// Snap X to the candle's center
candleX := Viewport.Right - ((IdxAtMousePos - ViewStartIndex) * (ViewCount - 1)) / (ViewCount - 1) * (Viewport.Width / (ViewCount - 1));
// 1. Snap X to the candle's center
candleX := MousePos.BarX;
// 2. Draw the vertical line at the snapped position
Canvas.Stroke.Kind := TBrushKind.Solid;
@@ -866,7 +859,7 @@ begin
Canvas.DrawLine(PointF(candleX, Viewport.Top), PointF(candleX, Viewport.Bottom), 1.0);
// 3. Get the caption for the index
caption := GetCaption(IdxAtMousePos);
caption := GetCaption(FOwner.ViewStartIndex + MousePos.Idx);
if caption.IsEmpty then
exit;
Src/Myc.TaskManager.pas
+19 -1
View File
@@ -29,7 +29,10 @@ type
// Run a task when the gate is opened.
// Returns a State to await thread completion.
function RunTask(const Gate: TState; const Proc: TFunc<TState>): TState;
function RunTask(const Proc: TFunc<TState>): TState; overload;
function RunTask(const Gate: TState; const Proc: TFunc<TState>): TState; overload;
procedure RunTask(const Gate: TState; const Proc: TProc); overload;
procedure RunTask(const Proc: TProc); overload;
class function RunSequence(const Gate: TState; First, Count: Integer; const Proc: TFunc<Integer, TState>): TState; static;
@@ -181,6 +184,21 @@ begin
);
end;
function TTaskManager.RunTask(const Proc: TFunc<TState>): TState;
begin
Result := RunTask(TState.Null, Proc);
end;
procedure TTaskManager.RunTask(const Proc: TProc);
begin
RunTask(TState.Null, Proc);
end;
procedure TTaskManager.RunTask(const Gate: TState; const Proc: TProc);
begin
FTaskManager.RunTask(Gate, Proc);
end;
procedure TTaskManager.WaitFor(const State: TState);
begin
FTaskManager.WaitFor(State);
Src/Myc.Trade.DataPoint.Impl.pas
+69 -11
View File
@@ -4,6 +4,7 @@ interface
uses
System.SysUtils,
System.SyncObjs,
Myc.Signals,
Myc.Mutable,
Myc.Core.Notifier,
@@ -15,6 +16,7 @@ type
// Abstract base class for data consumers.
TMycProcessor<T> = class abstract(TInterfacedObject, IMycProcessor<T>)
protected
function Execute(const Value: T; const Proc: TConstFunc<T, TState>): TState;
function ProcessData(const Value: T): TState; virtual; abstract;
end;
@@ -86,7 +88,16 @@ type
constructor Create(const AFunc: TConstFunc<S, T>);
end;
// A converter specialized for calculating indicators.
TMycGenericParallelConverter<S, T> = class(TMycConverter<S, T>)
private
FFunc: TConstFunc<S, T>;
FQueue: TState;
protected
function ProcessData(const Value: S): TState; override;
public
constructor Create(const AFunc: TConstFunc<S, T>);
end;
TMycIdentityConverter<T> = class(TMycConverter<T, T>)
protected
function ProcessData(const Value: T): TState; override; final;
@@ -126,14 +137,12 @@ type
// A generic processor implementation that uses a function reference.
TMycGenericProcessor<T> = class(TMycProcessor<T>)
type
TProc = reference to function(const Value: T): TState;
private
FProc: TProc;
FProc: TConstFunc<T, TState>;
protected
function ProcessData(const Value: T): TState; override; final;
public
constructor Create(const AProc: TProc);
constructor Create(const AProc: TConstFunc<T, TState>);
end;
// A processor implementation that is owned by a controller.
@@ -156,6 +165,7 @@ type
FLookback: Int64;
FData: TSeries<T>;
FChanged: TEvent;
FLock: TLightweightMREW;
function GetChanged: TSignal;
function GetValue: TSeries<T>;
function ProcessData(const Value: T): TState;
@@ -178,6 +188,13 @@ type
property Timeframe: TTimeframe read GetTimeframe;
end;
TMycParallelConverter<T> = class(TMycConverter<T, T>)
private
FQueue: TState;
protected
function ProcessData(const Value: T): TState; override; final;
end;
implementation
uses
@@ -187,6 +204,14 @@ uses
System.Math,
Myc.TaskManager;
{ TMycProcessor<T> }
function TMycProcessor<T>.Execute(const Value: T; const Proc: TConstFunc<T, TState>): TState;
begin
var cValue := Value;
Result := TaskManager.RunTask(function: TState begin Result := Proc(cValue); end);
end;
{ TMycContainedDataProvider<T> }
constructor TMycContainedDataProvider<T>.Create(const Controller: IInterface);
@@ -314,7 +339,7 @@ end;
function TMycIndicator<S, T>.ProcessData(const Value: S): TState;
begin
Result := Broadcast(Calculate(Value));
Result := Execute(Value, function(const Value: S): TState begin Result := Broadcast(Calculate(Value)); end);
end;
{ TMycDataCounter<T> }
@@ -385,7 +410,7 @@ end;
{ TMycGenericProcessor<T> }
constructor TMycGenericProcessor<T>.Create(const AProc: TProc);
constructor TMycGenericProcessor<T>.Create(const AProc: TConstFunc<T, TState>);
begin
inherited Create;
FProc := AProc;
@@ -419,6 +444,7 @@ begin
FProcessor := TMycContainedProcessor<T>.Create(Self, ProcessData);
FTag := FDataProvider.Link(FProcessor);
end;
destructor TMycDataEndpoint<T>.Destroy;
@@ -435,15 +461,24 @@ end;
function TMycDataEndpoint<T>.GetValue: TSeries<T>;
begin
Result := FData;
FLock.BeginRead;
try
Result := FData;
finally
FLock.EndRead;
end;
end;
function TMycDataEndpoint<T>.ProcessData(const Value: T): TState;
begin
Result := TState.Null;
// Add new data point, respecting the lookback period.
FData := FData.Add(Value, FLookback);
FLock.BeginWrite;
try
// Add new data point, respecting the lookback period.
FData := FData.Add(Value, FLookback);
finally
FLock.EndWrite;
end;
FChanged.Notify;
end;
@@ -599,4 +634,27 @@ begin
Result := Broadcast(Value);
end;
{ TMycGenericParallelConverter<S, T> }
constructor TMycGenericParallelConverter<S, T>.Create(const AFunc: TConstFunc<S, T>);
begin
inherited Create;
FFunc := AFunc;
end;
function TMycGenericParallelConverter<S, T>.ProcessData(const Value: S): TState;
begin
var cValue := Value;
Result := TaskManager.RunTask(FQueue, function: TState begin Result := Broadcast(FFunc(cValue)); end);
FQueue := Result;
end;
function TMycParallelConverter<T>.ProcessData(const Value: T): TState;
begin
var cValue := Value;
Result := TaskManager.RunTask(FQueue, function: TState begin Result := Broadcast(cValue); end);
FQueue := Result;
end;
end.
Src/Myc.Trade.DataPoint.pas
+27
View File
@@ -82,9 +82,13 @@ type
class operator Implicit(const A: TConverter<S, T>): IConverter; overload;
class function CreateGeneric(const Func: TConstFunc<S, T>): TConverter<S, T>; static;
class function CreateParallel(const Func: TConstFunc<S, T>): TConverter<S, T>; static;
function Chain<R>(const Next: TConverter<T, R>): TConverter<T, R>; overload; inline;
function Chain<R>(const Func: TConstFunc<T, R>): TConverter<T, R>; overload; inline;
function ChainParallel<R>(const Func: TConstFunc<T, R>): TConverter<T, R>; overload; inline;
function MakeParallel: TConverter<T, T>; overload; inline;
// Extracts the field of a record by it's name (using RTTI).
function Field<R>(const FieldName: String): TConverter<T, R>; overload; inline;
@@ -112,6 +116,8 @@ type
class function CreateDataPointConverter<S, T>(const Func: TConstFunc<S, T>): TConverter<TDataPoint<S>, TDataPoint<T>>; static;
class function CreateSequence<T>(Count: Integer; const Parent: TDataProvider<T>): TArray<TConverter<T, T>>; overload; static;
class function Parallel<T>(Parent: TDataProvider<T>): TConverter<T, T>; static;
end;
implementation
@@ -184,11 +190,21 @@ begin
Result := Chain<R>(TMycGenericConverter<T, R>.Create(Func));
end;
function TConverter<S, T>.ChainParallel<R>(const Func: TConstFunc<T, R>): TConverter<T, R>;
begin
Result := Chain<R>(TMycGenericParallelConverter<T, R>.Create(Func));
end;
class function TConverter<S, T>.CreateGeneric(const Func: TConstFunc<S, T>): TConverter<S, T>;
begin
Result := TMycGenericConverter<S, T>.Create(Func);
end;
class function TConverter<S, T>.CreateParallel(const Func: TConstFunc<S, T>): TConverter<S, T>;
begin
Result := TMycGenericParallelConverter<S, T>.Create(Func);
end;
function TConverter<S, T>.Field<R>(const FieldName: String): TConverter<T, R>;
begin
Result := Chain<R>(TConverter.CreateRecordField<T, R>(FieldName));
@@ -199,6 +215,11 @@ begin
Result := FConverter.Sender;
end;
function TConverter<S, T>.MakeParallel: TConverter<T, T>;
begin
Result := Chain<T>(TMycGenericParallelConverter<T, T>.Create(function(const Value: T): T begin Result := Value; end));
end;
function TConverter<S, T>.Sequence(Count: Integer): IMycDataSequence<T>;
begin
Result := TMycSequence<T>.Create(Count);
@@ -288,4 +309,10 @@ begin
Parent.Link(seq);
end;
class function TConverter.Parallel<T>(Parent: TDataProvider<T>): TConverter<T, T>;
begin
Result := TMycParallelConverter<T>.Create;
Parent.Link(Result);
end;
end.
Src/Myc.Trade.DataStream.pas
+26 -10
View File
@@ -60,6 +60,12 @@ type
// Used by cache to actually load an uncached file.
function DoLoad(const FileName: string): TFuture<TArray<TArray<TDataPoint<T>>>>;
function ProcessChunks(
const DataChunks: TArray<TArray<TDataPoint<T>>>;
const Terminated: TState;
Processor: IMycProcessor<TArray<TDataPoint<T>>>
): TState;
function ProcessFile(
FileInfo: TAuraDataFile;
const DataFile: TFuture<TArray<TArray<TDataPoint<T>>>>;
@@ -354,6 +360,23 @@ begin
Result := FCachedFiles.GetOrAdd(DataFile.GetFullFileName);
end;
function TAuraDataServer<T>.ProcessChunks(
const DataChunks: TArray<TArray<TDataPoint<T>>>;
const Terminated: TState;
Processor: IMycProcessor<TArray<TDataPoint<T>>>
): TState;
begin
var done := TLatch.CreateLatch(Length(DataChunks));
for var i := 0 to High(DataChunks) do
if not Terminated.IsSet then
Processor.ProcessData(DataChunks[i]).Signal.Subscribe(done)
else
done.Notify;
Result := done.State;
end;
function TAuraDataServer<T>.ProcessFile(
FileInfo: TAuraDataFile;
const DataFile: TFuture<TArray<TArray<TDataPoint<T>>>>;
@@ -374,19 +397,12 @@ begin
function(const DataChunks: TArray<TArray<TDataPoint<T>>>): TState
begin
// Process each chunk, checking for termination between chunks.
var done := TLatch.CreateLatch(Length(DataChunks));
for var i := 0 to High(DataChunks) do
if not cTerminated.IsSet then
Processor.ProcessData(DataChunks[i]).Signal.Subscribe(done)
else
done.Notify;
var done := ProcessChunks(DataChunks, Terminated, Processor);
// Move to next file (which is currently preloading) once all Processors are done
Result :=
TaskManager.RunTask(
done.State,
function: TState begin Result := ProcessFile(nextFileInfo, nextFile, cTerminated, Processor); end
)
TaskManager
.RunTask(done, function: TState begin Result := ProcessFile(nextFileInfo, nextFile, cTerminated, Processor); end);
end
);
end;
Src/Myc.Trade.Types.pas
+1
View File
@@ -29,6 +29,7 @@ type
end;
TConstFunc<S, T> = reference to function(const Value: S): T;
TConstProc<T> = reference to procedure(const Value: T);
TConstFuncPredicate<S, T> = reference to function(const Value: S; out Res: T): Boolean;
implementation