Implementing first "strategy" for proof of concept
This commit is contained in:
Michael Schimmel
+105
-19
@@ -8,18 +8,18 @@ uses
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type
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// A data record for an Ask/Bid price pair.
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TAskBidItem = packed record
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Ask: Single;
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Bid: Single;
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constructor Create(AAsk, ABid: Single);
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Ask: Double;
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Bid: Double;
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constructor Create(AAsk, ABid: Double);
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end;
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TOhlcItem = record
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Open: Single;
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High: Single;
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Low: Single;
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Close: Single;
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Volume: Single;
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constructor Create(AOpen, AHigh, ALow, AClose, AVolume: Single);
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Open: Double;
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High: Double;
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Low: Double;
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Close: Double;
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Volume: Double;
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constructor Create(AOpen, AHigh, ALow, AClose, AVolume: Double);
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end;
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// Represents a time-stamped data point in a series.
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@@ -29,13 +29,38 @@ type
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constructor Create(ATime: TDateTime; const AData: T);
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end;
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// A time-ordered series of data points, optimized for chronological additions.
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// The most recently added element has the logical index 0.
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IMycProcessor<T> = interface
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procedure ProcessData(const Value: T);
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end;
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TMycGenericProcessor<T> = class(TInterfacedObject, IMycProcessor<T>)
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type
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TProc = reference to procedure(const Value: T);
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private
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FProc: TProc;
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procedure ProcessData(const Value: T);
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public
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constructor Create(const AProc: TProc);
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end;
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TMycContainedProcessor<T> = class(TContainedObject, IMycProcessor<T>)
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type
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TProc = procedure(const Value: T) of object;
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private
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FProc: TProc;
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procedure ProcessData(const Value: T);
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public
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constructor Create(const Controller: IInterface; const AProc: TProc);
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end;
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// An immutable time-ordered series of data points.
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// The most recent element has the logical index 0.
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IDataSeries<T> = interface
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function GetCount: Int64;
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function GetItems(Idx: Int64): TDataPoint<T>;
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function GetTotalCount: Int64;
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function GetLookback: Int64;
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// Add data and result the new series.
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function Add(const Data: TArray<TDataPoint<T>>; First, Count: Integer): IDataSeries<T>;
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property Count: Int64 read GetCount;
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// Accesses data points by their logical index.
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@@ -74,7 +99,6 @@ type
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function Add(const Data: TArray<TDataPoint<T>>): TDataSeries<T>; overload;
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function Add(const Data: TArray<TDataPoint<T>>; First, Count: Integer): TDataSeries<T>; overload;
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function Convert<S>(const Func: TConvertFunc<S>): TDataSeries<S>;
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// Searches for a data point by its timestamp.
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@@ -99,12 +123,21 @@ type
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function ToOhlc(TimeFrame: TTimeSpan): TDataSeries<TOhlcItem>;
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end;
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TDataSeriesOhlcHelper = record helper for TDataSeries<TOhlcItem>
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function ToOpen: TDataSeries<Single>;
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function ToClose: TDataSeries<Single>;
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function ToHigh: TDataSeries<Single>;
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function ToLow: TDataSeries<Single>;
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function ToVolume: TDataSeries<Single>;
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end;
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implementation
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uses
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System.SysUtils,
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System.Math,
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System.Generics.Collections,
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Myc.Trade.DataArray,
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Myc.Trade.Core.DataPoint;
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// Optimized helper function using direct TTimeSpan features and integer arithmetic.
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@@ -180,17 +213,40 @@ begin
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if not firstPointInBar then
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ohlcPoints.Add(TDataPoint<TOhlcItem>.Create(windowEndTime, currentBar));
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var dataArray := TMycDataArray<TOhlcItem>.CreateFromArray(ohlcPoints.ToArray, 0, ohlcPoints.Count);
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var seriesImpl := TMycDataSeries<TOhlcItem>.Create(ohlcPoints.Count, dataArray, ohlcPoints.Count);
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Result := TDataSeries<TOhlcItem>.Create(seriesImpl);
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Result := TDataSeries<TOhlcItem>.CreateDataSeries(ohlcPoints.Count, ohlcPoints.ToArray);
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finally
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ohlcPoints.Free;
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end;
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end;
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function TDataSeriesOhlcHelper.ToClose: TDataSeries<Single>;
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begin
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Result := Self.Convert<Single>(function(const Ohlc: TDataPoint<TOhlcItem>): Single begin Result := Ohlc.Data.Close; end);
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end;
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function TDataSeriesOhlcHelper.ToHigh: TDataSeries<Single>;
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begin
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Result := Self.Convert<Single>(function(const Ohlc: TDataPoint<TOhlcItem>): Single begin Result := Ohlc.Data.High; end);
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end;
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function TDataSeriesOhlcHelper.ToLow: TDataSeries<Single>;
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begin
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Result := Self.Convert<Single>(function(const Ohlc: TDataPoint<TOhlcItem>): Single begin Result := Ohlc.Data.Low; end);
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end;
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function TDataSeriesOhlcHelper.ToOpen: TDataSeries<Single>;
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begin
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Result := Self.Convert<Single>(function(const Ohlc: TDataPoint<TOhlcItem>): Single begin Result := Ohlc.Data.Open; end);
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end;
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function TDataSeriesOhlcHelper.ToVolume: TDataSeries<Single>;
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begin
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Result := Self.Convert<Single>(function(const Ohlc: TDataPoint<TOhlcItem>): Single begin Result := Ohlc.Data.Volume; end);
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end;
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{ TAskBidItem }
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constructor TAskBidItem.Create(AAsk, ABid: Single);
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constructor TAskBidItem.Create(AAsk, ABid: Double);
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begin
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Ask := AAsk;
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Bid := ABid;
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@@ -198,7 +254,7 @@ end;
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{ TOhlcItem }
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constructor TOhlcItem.Create(AOpen, AHigh, ALow, AClose, AVolume: Single);
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constructor TOhlcItem.Create(AOpen, AHigh, ALow, AClose, AVolume: Double);
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begin
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Open := AOpen;
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High := AHigh;
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@@ -225,12 +281,19 @@ end;
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function TDataSeries<T>.Add(const Data: TArray<TDataPoint<T>>; First, Count: Integer): TDataSeries<T>;
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begin
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{$ifdef DEBUG}
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for var i := First + 1 to First + Count - 1 do
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Assert(Data[i].Time >= Data[i - 1].Time, 'Input array for Add is not chronologically sorted');
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if FDataSeries.Count > 0 then
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Assert(Data[First].Time >= FDataSeries[0].Time, 'First new item is older than last existing item');
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{$endif}
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Result := FDataSeries.Add(Data, First, Count);
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end;
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function TDataSeries<T>.Add(const Data: TArray<TDataPoint<T>>): TDataSeries<T>;
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begin
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Result := FDataSeries.Add(Data, 0, Length(Data));
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Result := Add(Data, 0, Length(Data));
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end;
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function TDataSeries<T>.Convert<S>(const Func: TConvertFunc<S>): TDataSeries<S>;
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@@ -240,7 +303,8 @@ end;
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class function TDataSeries<T>.CreateDataSeries(Lookback: Int64; const Data: TArray<TDataPoint<T>> = nil): TDataSeries<T>;
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begin
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Result := TMycDataSeries<T>.CreateDataSeries(Lookback, TMycDataArray<T>.CreateFromArray(Data, 0, Length(Data)), Length(Data));
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Result :=
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TMycDataSeries<T>.CreateDataSeries(Lookback, TMycDataArray<TDataPoint<T>>.CreateFromArray(Data, 0, Length(Data)), Length(Data));
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end;
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class operator TDataSeries<T>.Finalize(var Dest: TDataSeries<T>);
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@@ -350,4 +414,26 @@ begin
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Result[i] := FDataSeries[n - i].Data;
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end;
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constructor TMycGenericProcessor<T>.Create(const AProc: TProc);
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begin
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inherited Create;
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FProc := AProc;
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end;
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procedure TMycGenericProcessor<T>.ProcessData(const Value: T);
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begin
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FProc(Value);
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end;
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constructor TMycContainedProcessor<T>.Create(const Controller: IInterface; const AProc: TProc);
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begin
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inherited Create(Controller);
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FProc := AProc;
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end;
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procedure TMycContainedProcessor<T>.ProcessData(const Value: T);
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begin
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FProc(Value);
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end;
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end.
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