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Testing TValue as Params

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This commit is contained in:
Michael Schimmel
2025-07-28 00:55:39 +02:00
parent 1ddc295c9d
commit 75675b8dc1
4 changed files with 107 additions and 145 deletions
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AuraTrader/MainForm.pas
+3 -25
View File
@@ -293,6 +293,7 @@ end;
procedure TForm1.Button1Click(Sender: TObject);
begin
Test1(LogMemo.Lines);
end;
function TForm1.CreateStrategy2(Timeframe: TTimeframe): IConsumer<TDataPoint<TOhlcItem>>;
@@ -321,19 +322,7 @@ begin
var Lowest: Double := Double.MaxValue;
var Highest: Double := Double.MinValue;
var ATR :=
Ohlc
.Chain<TATR.TArgs>(
TConverter<TOhlcItem, TATR.TArgs>.CreateConverter(
function(const Ohlc: TOhlcItem): TATR.TArgs
begin
Result.Close := Ohlc.Close;
Result.High := Ohlc.High;
Result.Low := Ohlc.Low;
end
))
.Chain<Double>(TATR.CreateATR(50))
.MakeParallel;
var ATR := Ohlc.Chain<Double>(TATR.CreateATR(50)).MakeParallel;
// next stage
@@ -638,18 +627,7 @@ begin
var Rsi := Closes.Chain<Double>(TRSI.CreateRSI(14));
var Macd := Closes.MakeParallel.Chain<TMacd.TResult>(TMACD.CreateMACD(12, 26, 9));
var Stoch :=
Ohlc
.Chain<TStochastic.TArgs>(
TConverter<TOhlcItem, TStochastic.TArgs>.CreateConverter(
function(const Ohlc: TOhlcItem): TStochastic.TArgs
begin
Result.Close := Ohlc.Close;
Result.High := Ohlc.High;
Result.Low := Ohlc.Low;
end
))
.Chain<TStochastic.TResult>(TStochastic.CreateStochastic(14, 3));
var Stoch := Ohlc.Chain<TStochastic.TResult>(TStochastic.CreateStochastic(14, 3));
chart.SetXAxisSeries(timeframe, Timestamps);
AuraTrader/StrategyTest.pas
+1 -12
View File
@@ -38,18 +38,7 @@ begin
var Hull := Closes.Chain<Double>(THMA.CreateHMA(250)).MakeParallel;
var Sma := Closes.Chain<Double>(TSMA.CreateSMA(200)).MakeParallel;
var ATR :=
Ohlc
.Chain<TATR.TArgs>(
TConverter<TOhlcItem, TATR.TArgs>.CreateConverter(
function(const Ohlc: TOhlcItem): TATR.TArgs
begin
Result.Close := Ohlc.Close;
Result.High := Ohlc.High;
Result.Low := Ohlc.Low;
end
))
.Chain<Double>(TATR.CreateATR(50));
var ATR := Ohlc.Chain<Double>(TATR.CreateATR(50));
var conv := TConverter.Join<Double>([Ohlc.Field<Double>('Low'), Ohlc.Field<Double>('High'), Closes, ATR, Hull, Sma]);
Src/Myc.Trade.Indicators.Common.pas
+37 -43
View File
@@ -6,6 +6,7 @@ uses
System.SysUtils,
System.Math,
System.Rtti,
Myc.Data.Records,
Myc.Data.Pipeline,
Myc.Data.Series,
Myc.Trade.Types,
@@ -147,9 +148,7 @@ type
DPeriod: Integer;
end;
TArgs = record
High: Double;
Low: Double;
Close: Double;
Value: TOhlcItem;
end;
TResult = record
K: Double; // %K line
@@ -157,12 +156,12 @@ type
end;
[IndicatorFactory]
class function CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>; static;
class function CreateStochastic(KPeriod, DPeriod: Integer): TConvertFunc<TArgs, TResult>; overload; static;
class function CreateStochastic(KPeriod, DPeriod: Integer): TConvertFunc<TOhlcItem, TResult>; overload; static;
// Creates a Stochastic Oscillator using an injectable moving average for the %D line.
class function CreateStochastic(
KPeriod: Integer;
const SmaD: TConvertFunc<Double, Double>
): TConvertFunc<TArgs, TStochastic.TResult>; overload; static;
): TConvertFunc<TOhlcItem, TStochastic.TResult>; overload; static;
end;
[IndicatorName('StdDev', 'Standard Deviation')]
@@ -215,17 +214,15 @@ type
Period: Integer;
end;
TArgs = record
High: Double;
Low: Double;
Close: Double;
Value: TOhlcItem;
end;
TResult = record
ATR: Double;
end;
[IndicatorFactory]
class function CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>; static;
class function CreateATR(Period: Integer): TConvertFunc<TArgs, Double>; overload; static;
class function CreateATR(const MovAvgTR: TConvertFunc<Double, Double>): TConvertFunc<TArgs, Double>; overload; static;
class function CreateATR(Period: Integer): TConvertFunc<TOhlcItem, Double>; overload; static;
class function CreateATR(const MovAvgTR: TConvertFunc<Double, Double>): TConvertFunc<TOhlcItem, Double>; overload; static;
end;
[IndicatorName('KC', 'Keltner Channels')]
@@ -238,9 +235,7 @@ type
Multiplier: Double;
end;
TArgs = record
High: Double;
Low: Double;
Close: Double;
Value: TOhlcItem;
end;
TResult = record
UpperBand: Double;
@@ -249,12 +244,12 @@ type
end;
[IndicatorFactory]
class function CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>; static;
class function CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConvertFunc<TArgs, TResult>; overload; static;
class function CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConvertFunc<TOhlcItem, TResult>; overload; static;
class function CreateKeltnerChannels(
const MovAvgMiddle: TConvertFunc<Double, Double>;
const AtrFunc: TConvertFunc<TATR.TArgs, Double>;
const AtrFunc: TConvertFunc<TOhlcItem, Double>;
Multiplier: Double
): TConvertFunc<TArgs, TKeltnerChannels.TResult>; overload; static;
): TConvertFunc<TOhlcItem, TKeltnerChannels.TResult>; overload; static;
end;
[IndicatorName('Mean', 'Mean Value')]
@@ -713,22 +708,25 @@ begin
Result :=
function(const Params: TParams): TConvertFunc<TArgs, TResult>
var
stochFunc: TConvertFunc<TArgs, TResult>;
stochFunc: TConvertFunc<TOhlcItem, TResult>;
begin
stochFunc := CreateStochastic(Params.KPeriod, Params.DPeriod);
Result := function(const Value: TArgs): TResult begin Result := stochFunc(Value); end;
Result := function(const Value: TArgs): TResult begin Result := stochFunc(Value.Value); end;
end;
end;
class function TStochastic.CreateStochastic(KPeriod, DPeriod: Integer): TConvertFunc<TArgs, TResult>;
class function TStochastic.CreateStochastic(KPeriod, DPeriod: Integer): TConvertFunc<TOhlcItem, TStochastic.TResult>;
begin
Result := CreateStochastic(KPeriod, TSMA.CreateSMA(DPeriod));
end;
// Creates a Stochastic Oscillator using an injectable moving average for the %D line.
class function TStochastic.CreateStochastic(KPeriod: Integer; const SmaD: TConvertFunc<Double, Double>): TConvertFunc<TArgs, TResult>;
class function TStochastic.CreateStochastic(
KPeriod: Integer;
const SmaD: TConvertFunc<Double, Double>
): TConvertFunc<TOhlcItem, TStochastic.TResult>;
var
buffer: TArray<TArgs>;
buffer: TArray<TOhlcItem>;
highDeque: TLightDeque;
lowDeque: TLightDeque;
valueCount: Int64;
@@ -736,7 +734,7 @@ begin
if (KPeriod <= 0) then
begin
Result :=
function(const Value: TArgs): TResult
function(const Value: TOhlcItem): TResult
begin
Result.K := Double.NaN;
Result.D := Double.NaN;
@@ -750,7 +748,7 @@ begin
valueCount := 0;
Result :=
function(const Value: TArgs): TStochastic.TResult
function(const Value: TOhlcItem): TStochastic.TResult
var
currentIndex, firstIndex, lastIndex: Integer;
highestHigh, lowestLow: Double;
@@ -928,25 +926,25 @@ begin
Result :=
function(const Params: TParams): TConvertFunc<TArgs, TResult>
var
atrFunc: TConvertFunc<TArgs, Double>;
atrFunc: TConvertFunc<TOhlcItem, Double>;
begin
atrFunc := CreateATR(Params.Period);
Result := function(const Value: TArgs): TResult begin Result.ATR := atrFunc(Value); end;
Result := function(const Value: TArgs): TResult begin Result.ATR := atrFunc(Value.Value); end;
end;
end;
class function TATR.CreateATR(Period: Integer): TConvertFunc<TArgs, Double>;
class function TATR.CreateATR(Period: Integer): TConvertFunc<TOhlcItem, Double>;
begin
Result := CreateATR(TEMA.CreateEMA(Period));
end;
// Calculates the Average True Range (ATR) using an injectable moving average.
class function TATR.CreateATR(const MovAvgTR: TConvertFunc<Double, Double>): TConvertFunc<TArgs, Double>;
class function TATR.CreateATR(const MovAvgTR: TConvertFunc<Double, Double>): TConvertFunc<TOhlcItem, Double>;
begin
var sourceData: TSeries<TArgs>;
var sourceData: TSeries<TOhlcItem>;
Result :=
function(const Value: TArgs): Double
function(const Value: TOhlcItem): Double
var
tr: Double;
begin
@@ -970,19 +968,20 @@ end;
{ TKeltnerChannels }
class function TKeltnerChannels.CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>;
class function TKeltnerChannels.CreateFactory:
TIndicatorFactoryProc<TKeltnerChannels.TParams, TKeltnerChannels.TArgs, TKeltnerChannels.TResult>;
begin
Result :=
function(const Params: TParams): TConvertFunc<TArgs, TResult>
var
kcFunc: TConvertFunc<TArgs, TResult>;
kcFunc: TConvertFunc<TOhlcItem, TResult>;
begin
kcFunc := CreateKeltnerChannels(Params.Period, Params.Multiplier);
Result := function(const Value: TArgs): TResult begin Result := kcFunc(Value); end;
Result := function(const Value: TArgs): TResult begin Result := kcFunc(Value.Value); end;
end;
end;
class function TKeltnerChannels.CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConvertFunc<TArgs, TResult>;
class function TKeltnerChannels.CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConvertFunc<TOhlcItem, TResult>;
begin
Result := CreateKeltnerChannels(TEMA.CreateEMA(Period), TATR.CreateATR(Period), Multiplier);
end;
@@ -990,12 +989,12 @@ end;
// Calculates Keltner Channels using an injectable ATR and middle band moving average.
class function TKeltnerChannels.CreateKeltnerChannels(
const MovAvgMiddle: TConvertFunc<Double, Double>;
const AtrFunc: TConvertFunc<TATR.TArgs, Double>;
const AtrFunc: TConvertFunc<TOhlcItem, Double>;
Multiplier: Double
): TConvertFunc<TArgs, TKeltnerChannels.TResult>;
): TConvertFunc<TOhlcItem, TKeltnerChannels.TResult>;
begin
Result :=
function(const Value: TArgs): TKeltnerChannels.TResult
function(const Value: TOhlcItem): TKeltnerChannels.TResult
var
atrValue, middleValue, typicalPrice: Double;
begin
@@ -1004,12 +1003,7 @@ begin
// Get values from the provided indicator functions.
middleValue := MovAvgMiddle(typicalPrice);
var atrArgs: TATR.TArgs;
atrArgs.High := Value.High;
atrArgs.Low := Value.Low;
atrArgs.Close := Value.Close;
atrValue := AtrFunc(atrArgs);
atrValue := AtrFunc(Value);
// Set default NaN values for the warm-up period.
Result.MiddleBand := middleValue;
Src/Myc.Trade.Indicators.pas
+66 -65
View File
@@ -5,12 +5,13 @@ interface
{$M+}
uses
System.TypInfo,
System.Rtti,
Myc.Data.Pipeline,
System.Classes;
type
TIndicatorFactoryProc<TParams, TValue, TResult> = reference to function(const Params: TParams): TConvertFunc<TValue, TResult>;
TIndicatorFactoryProc<TParams, TArgs, TResult> = reference to function(const Params: TParams): TConvertFunc<TArgs, TResult>;
(*
Sample definition of an indicator template:
@@ -65,23 +66,24 @@ type
TFieldDef = record
public
Identifier: String;
TypeName: String;
// The handle provides direct access to the type information of the field.
Handle: PTypeInfo;
end;
TFieldLayout = TArray<TFieldDef>;
// Interface for creating an indicator instance. Only contains functional aspects.
IIndicatorFactory = interface
function GetParams: TFieldLayout;
function GetArgs: TFieldLayout;
function GetResults: TFieldLayout;
function GetParamType: PTypeInfo;
function GetArgType: PTypeInfo;
function GetResultType: PTypeInfo;
function CreateIndicator(const Params: TValue): TConvertFunc<TValue, TValue>;
// Provides the layout for the indicator's parameters, arguments, and results.
property Params: TFieldLayout read GetParams;
property Args: TFieldLayout read GetArgs;
property Results: TFieldLayout read GetResults;
// Provides direct access to the type information of parameters, arguments, and results.
property ParamType: PTypeInfo read GetParamType;
property ArgType: PTypeInfo read GetArgType;
property ResultType: PTypeInfo read GetResultType;
end;
TGenericIndicatorFactory = class(TInterfacedObject, IIndicatorFactory)
@@ -90,23 +92,21 @@ type
FName: String;
FShortName: String;
FHint: String;
FParams: TFieldLayout;
FArgs: TFieldLayout;
FResults: TFieldLayout;
class function LayoutFromRecordType(RecordType: TRttiType): TFieldLayout; static;
FParamType: PTypeInfo;
FArgType: PTypeInfo;
FResultType: PTypeInfo;
public
constructor Create(
const AFactoryProc: TIndicatorFactoryProc<TValue, TValue, TValue>;
const AShortName, AName, AHint: String;
const AParams, AArgs, AResults: TFieldLayout
const AParamType, AArgType, AResultType: PTypeInfo
);
// IIndicatorFactory
function GetParams: TFieldLayout;
function GetArgs: TFieldLayout;
function GetResults: TFieldLayout;
function GetParamType: PTypeInfo;
function GetArgType: PTypeInfo;
function GetResultType: PTypeInfo;
function CreateIndicator(const Params: TValue): TConvertFunc<TValue, TValue>; overload;
class function CreateFromTemplate<T>: TGenericIndicatorFactory;
@@ -165,8 +165,7 @@ var
implementation
uses
System.SysUtils,
System.TypInfo;
System.SysUtils;
constructor IndicatorNameAttribute.Create(const AShortName, AName: string);
begin
@@ -186,7 +185,7 @@ end;
constructor TGenericIndicatorFactory.Create(
const AFactoryProc: TIndicatorFactoryProc<TValue, TValue, TValue>;
const AShortName, AName, AHint: String;
const AParams, AArgs, AResults: TFieldLayout
const AParamType, AArgType, AResultType: PTypeInfo
);
begin
inherited Create;
@@ -194,30 +193,9 @@ begin
FShortName := AShortName;
FName := AName;
FHint := AHint;
FParams := AParams;
FArgs := AArgs;
FResults := AResults;
end;
class function TGenericIndicatorFactory.LayoutFromRecordType(RecordType: TRttiType): TFieldLayout;
var
rttiRecordType: TRttiRecordType;
field: TRttiField;
i: Integer;
begin
if not RecordType.IsRecord then
raise EArgumentException.CreateFmt('Record type expected, but got %s', [RecordType.Name]);
rttiRecordType := RecordType as TRttiRecordType;
var fields := rttiRecordType.GetFields;
SetLength(Result, Length(fields));
i := 0;
for field in fields do
begin
Result[i].Identifier := field.Name;
Result[i].TypeName := field.FieldType.Name;
Inc(i);
end;
FParamType := AParamType;
FArgType := AArgType;
FResultType := AResultType;
end;
class function TGenericIndicatorFactory.CreateFromTemplate<T>: TGenericIndicatorFactory;
@@ -228,7 +206,6 @@ var
templateFactoryMethod: TRttiMethod;
factoryProc: TIndicatorFactoryProc<TValue, TValue, TValue>;
shortName, name, hint: string;
paramsLayout, argsLayout, resultsLayout: TFieldLayout;
begin
// This function creates a generic factory from a template class.
// It uses RTTI to find the necessary types by inspecting the factory method signature,
@@ -300,11 +277,6 @@ begin
Assert(argsType.TypeKind = tkRecord);
Assert(resultType.TypeKind = tkRecord);
// Generate layouts from RTTI types.
paramsLayout := LayoutFromRecordType(paramsType);
argsLayout := LayoutFromRecordType(argsType);
resultsLayout := LayoutFromRecordType(resultType);
// Extract metadata from attributes on the template type T.
shortName := '';
name := '';
@@ -349,8 +321,6 @@ begin
// The parameter for this 'Invoke' call is the TParams record.
// Wrap the incoming TValue 'Params' into a TValue for the call.
var factoryParamTypeInfo := currentFactoryInvoke.GetParameters[0].ParamType.Handle;
Assert(factoryParamTypeInfo = paramsType.Handle);
// This call returns the worker proc (e.g., a TIndicatorProc<TValue, TResult>) as a TValue.
var workerProc := currentFactoryInvoke.Invoke(factoryProc, [Params]);
@@ -369,23 +339,23 @@ begin
end;
end;
// Create the final factory instance with all layouts and extracted metadata.
Result := TGenericIndicatorFactory.Create(factoryProc, shortName, name, hint, paramsLayout, argsLayout, resultsLayout);
// Create the final factory instance with all type handles and extracted metadata.
Result := TGenericIndicatorFactory.Create(factoryProc, shortName, name, hint, paramsType.Handle, argsType.Handle, resultType.Handle);
end;
function TGenericIndicatorFactory.GetParams: TFieldLayout;
function TGenericIndicatorFactory.GetParamType: PTypeInfo;
begin
Result := FParams;
Result := FParamType;
end;
function TGenericIndicatorFactory.GetArgs: TFieldLayout;
function TGenericIndicatorFactory.GetArgType: PTypeInfo;
begin
Result := FArgs;
Result := FArgType;
end;
function TGenericIndicatorFactory.GetResults: TFieldLayout;
function TGenericIndicatorFactory.GetResultType: PTypeInfo;
begin
Result := FResults;
Result := FResultType;
end;
function TGenericIndicatorFactory.CreateIndicator(const Params: TValue): TConvertFunc<TValue, TValue>;
@@ -451,6 +421,36 @@ procedure TIndicatorRegistry.LogRegistry(const Log: TStrings);
var
item: TItem;
// Generates a field layout from a type information handle.
function LayoutFromTypeInfo(TypeInfo: PTypeInfo): TFieldLayout;
var
Ctx: TRttiContext;
rttiType: TRttiType;
rttiRecordType: TRttiRecordType;
field: TRttiField;
i: Integer;
begin
// This helper uses RTTI to inspect the record type and build the layout.
Ctx := TRttiContext.Create;
rttiType := Ctx.GetType(TypeInfo);
if not rttiType.IsRecord then
begin
SetLength(Result, 0);
exit;
end;
rttiRecordType := rttiType as TRttiRecordType;
var fields := rttiRecordType.GetFields;
SetLength(Result, Length(fields));
i := 0;
for field in fields do
begin
Result[i].Identifier := field.Name;
Result[i].Handle := field.FieldType.Handle;
Inc(i);
end;
end;
procedure DoLog(const Txt: String);
begin
Log.Add(Txt);
@@ -468,7 +468,7 @@ var
else
begin
for field in Layout do
DoLog(Format(' - %s: %s', [field.Identifier, field.TypeName]));
DoLog(Format(' - %s: %s', [field.Identifier, field.Handle.Name]));
end;
end;
@@ -493,9 +493,10 @@ begin
if not item.Hint.IsEmpty then
DoLog(Format(' Hint: %s', [item.Hint]));
LogLayout('Params', item.Factory.Params);
LogLayout('Args', item.Factory.Args);
LogLayout('Result', item.Factory.Results);
// Generate layouts on-the-fly from the factory's type info.
LogLayout('Params', LayoutFromTypeInfo(item.Factory.ParamType));
LogLayout('Args', LayoutFromTypeInfo(item.Factory.ArgType));
LogLayout('Result', LayoutFromTypeInfo(item.Factory.ResultType));
DoLog('');
end;
end;