Testing data processing

Src/Myc.Trade.Indicators.pas

@@ -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.