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Testing data processing

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This commit is contained in:
Michael Schimmel
2025-07-27 08:39:16 +02:00
parent aa53a88953
commit 468adcf203
8 changed files with 261 additions and 173 deletions
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Src/Myc.Data.Records.pas
+82 -50
View File
@@ -15,11 +15,12 @@ type
TField = record
private
FFieldType: TFieldType;
FTypeInfo: PtypeInfo;
FName: string;
FOffset: Integer;
procedure FromType(const [ref] Buffer: TBytes; SrcType: PTypeInfo; const Src);
procedure ToType(const [ref] Buffer: TBytes; DstType: PTypeInfo; var Dst);
procedure FromType(const [ref] Buffer: TBytes; const Src);
procedure ToType(const [ref] Buffer: TBytes; var Dst);
procedure InitField(const [ref] Buffer: TBytes);
procedure AssignField(const [ref] Dest: TBytes; const [ref] Source: TBytes);
@@ -29,7 +30,7 @@ type
property Offset: Integer read FOffset;
constructor Create(const AName: string; AFieldType: TFieldType; AOffset: Integer);
constructor Create(const AName: string; AFieldType: TFieldType; ATypeInfo: PTypeInfo; AOffset: Integer);
function GetSize: Integer; inline;
function GetAlignedSize: Integer; inline;
@@ -39,6 +40,7 @@ type
property Name: string read FName;
property Size: Integer read GetSize;
property AlignedSize: Integer read GetAlignedSize;
property TypeInfo: PTypeInfo read FTypeInfo;
end;
TFieldDef = record
@@ -67,6 +69,7 @@ type
private
FLayout: TLayout;
FBuffer: TBytes;
function GetRawData: Pointer; inline;
public
constructor Create(const ALayout: TLayout);
@@ -77,14 +80,18 @@ type
class function FromRecord<T>: TDataRecord; overload; static;
class function FromRecord<T>(const Src: T): TDataRecord; overload; static;
procedure CopyFrom<T>(const Src: T);
procedure SetValue<T>(const Name: String; const Value: T); overload;
procedure SetValue(Idx: Integer; const Value); overload;
function GetValue<T>(const Name: String): T; overload;
procedure GetValue(Idx: Integer; out Value); overload;
function GetValueRef(Idx: Integer): Pointer; overload;
procedure CopyValue(const SrcRec: TDataRecord; SrcIdx, DstIdx: Integer);
property RawData: Pointer read GetRawData;
property Layout: TLayout read FLayout;
end;
@@ -113,6 +120,19 @@ begin
FLayout.Fields[i].InitField(FBuffer);
end;
procedure TDataRecord.CopyFrom<T>(const Src: T);
begin
var ctx := TRttiContext.Create;
var rttiType := ctx.GetType(TypeInfo(T));
for var i := 0 to High(FLayout.FFields) do
begin
var P: PByte := @Src;
inc(P, FLayout.Fields[i].Offset);
FLayout.Fields[i].FromType(FBuffer, Src);
end;
end;
procedure TDataRecord.CopyValue(const SrcRec: TDataRecord; SrcIdx, DstIdx: Integer);
begin
Assert(SrcRec.Layout.Fields[SrcIdx].FieldType = FLayout.Fields[SrcIdx].FieldType);
@@ -131,24 +151,12 @@ end;
class function TDataRecord.FromRecord<T>(const Src: T): TDataRecord;
begin
Result.Create(TLayout.FromRecord<T>);
Result.CopyFrom<T>(Src);
end;
var ctx := TRttiContext.Create;
var rttiType := ctx.GetType(TypeInfo(T));
var rttiFields := rttiType.GetFields;
var fields: TArray<TField>;
for var i := 0 to High(rttiFields) do
begin
var rf := rttiFields[i];
var idx := Result.Layout.IndexOf(rf.Name);
if (idx >= 0) then
begin
var S: PByte := @Src;
inc(S, rf.Offset);
Result.Layout.Fields[idx].FromType(Result.FBuffer, rf.FieldType.Handle, S^);
end;
end;
function TDataRecord.GetRawData: Pointer;
begin
Result := @FBuffer[0];
end;
procedure TDataRecord.GetValue(Idx: Integer; out Value);
@@ -183,14 +191,25 @@ function TDataRecord.GetValue<T>(const Name: String): T;
begin
var idx := FLayout.IndexOf(Name);
if (idx >= 0) then
FLayout.Fields[idx].ToType(FBuffer, TypeInfo(T), Result);
begin
Assert(FLayout.Fields[idx].TypeInfo = TypeInfo(T));
FLayout.Fields[idx].ToType(FBuffer, Result);
end;
end;
function TDataRecord.GetValueRef(Idx: Integer): Pointer;
begin
Result := @FBuffer[FLayout.Fields[Idx].Offset];
end;
procedure TDataRecord.SetValue<T>(const Name: String; const Value: T);
begin
var idx := FLayout.IndexOf(Name);
if (idx >= 0) then
FLayout.Fields[idx].FromType(FBuffer, TypeInfo(T), Value);
begin
Assert(FLayout.Fields[idx].TypeInfo = TypeInfo(T));
FLayout.Fields[idx].FromType(FBuffer, Value);
end;
end;
class operator TDataRecord.Assign(var Dest: TDataRecord; const [ref] Src: TDataRecord);
@@ -211,11 +230,12 @@ begin
Dest.Layout.Fields[i].FinalizeField(Dest.FBuffer);
end;
constructor TDataRecord.TField.Create(const AName: string; AFieldType: TFieldType; AOffset: Integer);
constructor TDataRecord.TField.Create(const AName: string; AFieldType: TFieldType; ATypeInfo: PTypeInfo; AOffset: Integer);
begin
FName := AName;
FFieldType := AFieldType;
FOffset := AOffset;
FTypeInfo := ATypeInfo;
end;
procedure TDataRecord.TField.InitField(const [ref] Buffer: TBytes);
@@ -246,7 +266,7 @@ begin
end;
end;
procedure TDataRecord.TField.FromType(const [ref] Buffer: TBytes; SrcType: PTypeInfo; const Src);
procedure TDataRecord.TField.FromType(const [ref] Buffer: TBytes; const Src);
begin
Assert(FOffset + Size <= Length(Buffer));
@@ -254,9 +274,9 @@ begin
case FFieldType of
dfFloat:
begin
Assert(SrcType.Kind = tkFloat);
case GetTypeData(SrcType).FloatType of
ftSingle: PDouble(Dst)^ := PSingle(@Src)^;
Assert(FTypeInfo.Kind = tkFloat);
case GetTypeData(FTypeInfo).FloatType of
ftSingle: PSingle(Dst)^ := PSingle(@Src)^;
ftDouble: PDouble(Dst)^ := PDouble(@Src)^;
else
Assert(false);
@@ -264,8 +284,8 @@ begin
end;
dfInteger:
begin
case SrcType.Kind of
tkInteger: PInt64(Dst)^ := PInteger(@Src)^;
case FTypeInfo.Kind of
tkInteger: PInteger(Dst)^ := PInteger(@Src)^;
tkInt64: PInt64(Dst)^ := PInt64(@Src)^;
else
Assert(false);
@@ -273,19 +293,19 @@ begin
end;
dfString:
begin
Assert(SrcType.Kind in [tkString, tkLString, tkUString, tkWString]);
Assert(FTypeInfo.Kind in [tkString, tkLString, tkUString, tkWString]);
PString(Dst)^ := PString(@Src)^;
end;
dfTimestamp:
begin
Assert(SrcType.Kind = tkFloat);
Assert(SrcType.Name = PTypeInfo(TypeInfo(TDateTime)).Name);
Assert(FTypeInfo.Kind = tkFloat);
Assert(FTypeInfo.Name = PTypeInfo(System.TypeInfo(TDateTime)).Name);
PDateTime(Dst)^ := PDateTime(@Src)^;
end;
dfRecord:
begin
Assert(SrcType = TypeInfo(TDataRecord));
Assert(SrcType.Name = PTypeInfo(TypeInfo(TDataRecord)).Name);
Assert(FTypeInfo = System.TypeInfo(TDataRecord));
Assert(FTypeInfo.Name = PTypeInfo(System.TypeInfo(TDataRecord)).Name);
TDataRecord(Dst^) := TDataRecord(Src);
end;
else
@@ -303,15 +323,15 @@ begin
Result := (GetSize + (Align - 1)) and not (Align - 1);
end;
procedure TDataRecord.TField.ToType(const [ref] Buffer: TBytes; DstType: PTypeInfo; var Dst);
procedure TDataRecord.TField.ToType(const [ref] Buffer: TBytes; var Dst);
begin
var Src := @Buffer[FOffset];
case FFieldType of
dfFloat:
begin
Assert(DstType.Kind = tkFloat);
case GetTypeData(DstType).FloatType of
ftSingle: PSingle(@Dst)^ := PDouble(Src)^;
Assert(FTypeInfo.Kind = tkFloat);
case GetTypeData(FTypeInfo).FloatType of
ftSingle: PSingle(@Dst)^ := PSingle(Src)^;
ftDouble: PDouble(@Dst)^ := PDouble(Src)^;
else
Assert(false);
@@ -319,8 +339,8 @@ begin
end;
dfInteger:
begin
case DstType.Kind of
tkInteger: PInteger(@Dst)^ := PInt64(Src)^;
case FTypeInfo.Kind of
tkInteger: PInteger(@Dst)^ := PInteger(Src)^;
tkInt64: PInt64(@Dst)^ := PInt64(Src)^;
else
Assert(false);
@@ -328,18 +348,18 @@ begin
end;
dfString:
begin
Assert(DstType.Kind in [tkString, tkLString, tkUString, tkWString]);
Assert(FTypeInfo.Kind in [tkString, tkLString, tkUString, tkWString]);
PString(@Dst)^ := PString(Src)^;
end;
dfTimestamp:
begin
Assert(DstType.Kind = tkFloat);
Assert(DstType.Name = PTypeInfo(TypeInfo(TDateTime)).Name);
Assert(FTypeInfo.Kind = tkFloat);
Assert(FTypeInfo.Name = PTypeInfo(System.TypeInfo(TDateTime)).Name);
PDateTime(@Dst)^ := PDateTime(Src)^;
end;
dfRecord:
begin
Assert(DstType = TypeInfo(TDataRecord));
Assert(FTypeInfo = System.TypeInfo(TDataRecord));
TDataRecord(Dst) := TDataRecord(Src^);
end;
else
@@ -383,9 +403,20 @@ begin
var ofs := 0;
for var i := 0 to High(Fields) do
begin
Fields[i] := TField.Create(Def[i].Name, Def[i].FieldType, ofs);
var ti: PTypeInfo;
case Def[i].FieldType of
dfFloat: ti := TypeInfo(Double);
dfInteger: ti := TypeInfo(Int64);
dfString: ti := TypeInfo(String);
dfTimestamp: ti := TypeInfo(TDateTime);
dfRecord: ti := TypeInfo(TDataRecord);
end;
Fields[i] := TField.Create(Def[i].Name, Def[i].FieldType, ti, ofs);
inc(ofs, Fields[i].AlignedSize);
end;
Result.Create(Fields);
end;
{ TLayout }
@@ -398,7 +429,7 @@ begin
var fields: TArray<TField>;
// Add each field and its value to the builder
var ofs := 0;
// The internal layout has to be the same as the original record
SetLength(fields, Length(rttiFields));
for var i := 0 to High(rttiFields) do
begin
@@ -407,12 +438,14 @@ begin
var supported := true;
case rf.FieldType.TypeKind of
tkInteger, tkInt64: ft := dfInteger;
tkInt64: ft := dfInteger;
tkFloat:
if rf.FieldType.HasName(GetTypeName(TypeInfo(TDateTime))) then
ft := dfTimestamp
else if GetTypeData(rf.FieldType.Handle).FloatType = ftDouble then
ft := dfFloat
else
ft := dfFloat;
supported := false;
tkString, tkWString, tkLString, tkUString: ft := dfString;
tkMRecord:
begin
@@ -428,8 +461,7 @@ begin
if not supported then
raise Exception.Create('Type ' + rf.FieldType.Name + ' not supported in data records');
fields[i] := TField.Create(rf.Name, ft, ofs);
inc(ofs, fields[i].AlignedSize);
fields[i] := TField.Create(rf.Name, ft, rf.FieldType.Handle, rf.Offset);
end;
Result.Create(fields);
Src/Myc.Trade.Indicators.pas
+24 -111
View File
@@ -86,25 +86,7 @@ type
class function CreateMean: TConvertFunc<TArray<Double>, Double>; static;
end;
TIndicatorFactory = class
type
TFunc = TConvertFunc<TDataRecord, TDataRecord>;
private
FParams: TDataRecord.TLayout;
FInput: TDataRecord.TLayout;
FOutput: TDataRecord.TLayout;
public
constructor Create(const AParams, AInput, AOutput: TDataRecord.TLayout);
function CreateIndicator(const Params: TDataRecord): TFunc; virtual; abstract;
property Params: TDataRecord.TLayout read FParams;
property Input: TDataRecord.TLayout read FInput;
property Output: TDataRecord.TLayout read FOutput;
end;
TEMA = class(TIndicatorFactory)
TEMA = class
type
TParam = record
Period: Integer;
@@ -119,35 +101,9 @@ type
end;
public
constructor Create;
function CreateIndicator(const Params: TDataRecord): TIndicatorFactory.TFunc; override;
class function CreateEMA(const Param: TParam): TConvertFunc<TInput, TResult>; static;
end;
TMACD = class
type
TParam = record
Fast: TConvertFunc<Double, Double>;
Slow: TConvertFunc<Double, Double>;
Signal: TConvertFunc<Double, Double>;
end;
TInput = record
Price: Double;
end;
TResult = record
MacdLine: Double;
SignalLine: Double;
Histogram: Double;
end;
public
class function CreateMACD(const Param: TParam): TConvertFunc<TInput, TResult>; static;
end;
var
Registry: TList<TIndicatorFactory>;
implementation
{ TIndicators }
@@ -548,79 +504,36 @@ begin
end;
end;
// Creates a MACD indicator from three provided moving average functions.
class function TMACD.CreateMACD(const Param: TParam): TConvertFunc<TInput, TResult>;
class function TEMA.CreateEMA(const Param: TParam): TConvertFunc<TInput, TResult>;
begin
Result :=
function(const Input: TInput): TResult
var
fastVal, slowVal: Double;
begin
fastVal := Param.Fast(Input.Price);
slowVal := Param.Slow(Input.Price);
var Period := Param.Period;
var lastEma: Double := Double.NaN;
var sourceData: TSeries<Double>;
var multiplier := 2 / (Period + 1);
if IsNan(slowVal) then // slowVal will be the last one to become non-NaN
Result :=
function(const Value: TInput): TResult
begin
sourceData.Add(Value.Price, Period);
if (sourceData.Count < Period) then
begin
Result.MacdLine := Double.NaN;
Result.SignalLine := Double.NaN;
Result.Histogram := Double.NaN;
Result.MA := Double.NaN;
Exit;
end;
if not IsNan(lastEma) then
begin
// Subsequent EMA calculation
lastEma := (Value.Price - lastEma) * multiplier + lastEma;
end
else
begin
Result.MacdLine := fastVal - slowVal;
Result.SignalLine := Param.Signal(Result.MacdLine);
if not IsNan(Result.SignalLine) then
Result.Histogram := Result.MacdLine - Result.SignalLine
else
Result.Histogram := Double.NaN;
// First EMA is a SMA of the initial period
lastEma := TIndicators.CalculateSMA(sourceData, Period);
end;
Result.MA := lastEma;
end;
end;
constructor TEMA.Create;
begin
inherited
Create(TDataRecord.TLayout.FromRecord<TParam>, TDataRecord.TLayout.FromRecord<TInput>, TDataRecord.TLayout.FromRecord<TResult>)
end;
function TEMA.CreateIndicator(const Params: TDataRecord): TIndicatorFactory.TFunc;
begin
var Period := Params.GetValue<Integer>('Period');
var Input := TDataRecord.TLayout.FromRecord<TInput>;
var inPrice := Input.IndexOf('Price');
var Output := TDataRecord.TLayout.FromRecord<TResult>;
var outMA := Output.IndexOf('MA');
var CalcEMA := TIndicators.CreateEMA(Period);
Result :=
function(const Input: TDataRecord): TDataRecord
begin
var Price: Double;
Input.GetValue(inPrice, Price);
var MA := CalcEMA(Price);
Result := TDataRecord.FromRecord<TResult>;
Result.SetValue(outMA, MA);
end;
end;
constructor TIndicatorFactory.Create(const AParams, AInput, AOutput: TDataRecord.TLayout);
begin
inherited Create;
FParams := AParams;
FInput := AInput;
FOutput := AOutput;
end;
initialization
Registry := TList<TIndicatorFactory>.Create;
Registry.Add(TEMA.Create);
finalization
Registry.Free;
end.