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TTicker

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This commit is contained in:
Michael Schimmel
2025-07-14 16:44:29 +02:00
parent d0ad547aa3
commit 6f0b927a05
7 changed files with 177 additions and 169 deletions
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AuraTrader/AuraTrader.dproj
+1 -1
View File
@@ -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>
AuraTrader/FirstStrategy.pas
+94 -91
View File
@@ -24,24 +24,6 @@ type
constructor Create(const AFunc: TConvertFunc);
end;
TTicksToTimeframe = class(TMycConverter<TArray<TDataPoint<TAskBidItem>>, TDataPoint<TOhlcItem>>)
private
FTimeframe: TTimeframe;
// Stores the currently aggregating OHLC data.
FCurrentBar: TDataPoint<TOhlcItem>;
function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
function GetCurrentBar: TDataPoint<TOhlcItem>;
function GetTimeframe: TTimeframe;
public
constructor Create(const ATimeframe: TTimeframe);
// Process new data. This is called concurrently and must not have side effects out of the scope of this class!
function ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>): TState; override;
property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
property Timeframe: TTimeframe read GetTimeframe;
end;
TIndicator<S, T> = class(TMycConverter<S, T>)
protected
function ProcessData(const Value: S): TState; override; final;
@@ -57,21 +39,77 @@ type
constructor Create(const AFunc: TIndicatorFunc<S, T>);
end;
TTicksToBars = class(TMycConverter<TDataPoint<TAskBidItem>, TDataPoint<TOhlcItem>>)
private
FTimeframe: TTimeframe;
// Stores the currently aggregating OHLC data.
FCurrentBar: TDataPoint<TOhlcItem>;
function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
function GetCurrentBar: TDataPoint<TOhlcItem>;
function GetTimeframe: TTimeframe;
public
constructor Create(const ATimeframe: TTimeframe);
// Process new data. This is called concurrently and must not have side effects out of the scope of this class!
function ProcessData(const Value: TDataPoint<TAskBidItem>): 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;
{ TTicksToTimeframe }
{ TMycGenericConverter<S, T> }
constructor TTicksToTimeframe.Create(const ATimeframe: TTimeframe);
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);
begin
inherited Create;
FTimeframe := ATimeframe;
end;
function TTicksToTimeframe.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
function TTicksToBars.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
var
baseTime: TDateTime;
begin
@@ -119,99 +157,64 @@ begin
end;
end;
function TTicksToTimeframe.GetCurrentBar: TDataPoint<TOhlcItem>;
function TTicksToBars.GetCurrentBar: TDataPoint<TOhlcItem>;
begin
Result := FCurrentBar;
end;
function TTicksToTimeframe.GetTimeframe: TTimeframe;
function TTicksToBars.GetTimeframe: TTimeframe;
begin
Result := FTimeframe;
end;
function TTicksToTimeframe.ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>): TState;
function TTicksToBars.ProcessData(const Value: TDataPoint<TAskBidItem>): TState;
var
point: TDataPoint<TAskBidItem>;
midPrice: Single;
barStartTime: TDateTime;
lastBarTime: TDateTime;
currentBar: TOhlcItem;
states: TList<TState>;
begin
states := TList<TState>.Create;
try
// Process each incoming data point
for point in Values do
midPrice := (Value.Data.Ask + Value.Data.Bid) / 2;
// Update bar for the strategy's timeframe
barStartTime := GetBarStartTime(Value.Time, FTimeframe);
lastBarTime := FCurrentBar.Time;
if (barStartTime > lastBarTime) then
begin
// A new bar starts, so the previous one is now complete.
if (lastBarTime > 0) then
begin
midPrice := (point.Data.Ask + point.Data.Bid) / 2;
// Update bar for the strategy's timeframe
barStartTime := GetBarStartTime(point.Time, FTimeframe);
lastBarTime := FCurrentBar.Time;
if (barStartTime > lastBarTime) then
begin
// A new bar starts, so the previous one is now complete.
if (lastBarTime > 0) then
begin
states.Add(Broadcast(FCurrentBar));
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.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;
// Volume is the number of ticks needed to build the complete bar.
currentBar.Volume := currentBar.Volume + 1;
FCurrentBar.Data := currentBar;
end;
Result := Broadcast(FCurrentBar);
end;
Result := TState.All(states.ToArray);
finally
states.Free;
// 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.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;
// Volume is the number of ticks needed to build the complete bar.
currentBar.Volume := currentBar.Volume + 1;
FCurrentBar.Data := currentBar;
end;
end;
{ TMycGenericConverter<S, T> }
constructor TMycGenericConverter<S, T>.Create(const AFunc: TConvertFunc);
function TTicker<T>.ProcessData(const Values: TArray<T>): TState;
begin
inherited Create;
FFunc := AFunc;
end;
var done := TLatch.CreateLatch( Length(Values) );
function TMycGenericConverter<S, T>.ProcessData(const Value: S): TState;
begin
Result := Broadcast(FFunc(Value));
end;
// Process each incoming data point
for var i:=0 to High(Values) do
Broadcast(Values[i]).Signal.Subscribe(done);
{ 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);
Result := done.State;
end;
end.
AuraTrader/MainForm.pas
+5 -2
View File
@@ -167,7 +167,10 @@ begin
var timeframe := TTimeframe.S15;
var OhlcPoint: IMycConverter<TArray<TDataPoint<TAskBidItem>>, TDataPoint<TOhlcItem>> := TTicksToTimeframe.Create(timeframe);
var ticker := TTicker<TDataPoint<TAskBidItem>>.Create;
var OhlcPoint := TTicksToBars.Create(timeframe);
ticker.Sender.Link(OhlcPoint);
var Timestamps: IMycConverter<TDataPoint<TOhlcItem>, TDateTime> :=
TMycGenericConverter<TDataPoint<TOhlcItem>, TDateTime>
@@ -272,7 +275,7 @@ begin
Stoch.Sender.Link(StochD);
Panel.AddDoubleSeries(StochD.Sender, TAlphaColors.Red);
var done := ExecuteStrategy(Symbol, OhlcPoint);
var done := ExecuteStrategy(Symbol, ticker);
/////