Unit refactoring

Fixed massive heap corruption bug in TDataRecord

AuraTrader/AuraTrader.dpr

@@ -6,7 +6,8 @@ uses
     FMX.Forms,
     MainForm in 'MainForm.pas' {Form1},
     TestModule in 'TestModule.pas',
-    DynamicFMXControl in 'DynamicFMXControl.pas';
+    DynamicFMXControl in 'DynamicFMXControl.pas',
+    Myc.Trade.Pipeline.Impl in '..\Src\Myc.Trade.Pipeline.Impl.pas';
 
 {$R *.res}
 

AuraTrader/AuraTrader.dproj

@@ -137,6 +137,7 @@
         </DCCReference>
         <DCCReference Include="TestModule.pas"/>
         <DCCReference Include="DynamicFMXControl.pas"/>
+        <DCCReference Include="..\Src\Myc.Trade.Pipeline.Impl.pas"/>
         <BuildConfiguration Include="Base">
             <Key>Base</Key>
         </BuildConfiguration>

AuraTrader/MainForm.pas

@@ -32,6 +32,7 @@ uses
     Myc.Futures,
     Myc.Trade.Types,
     Myc.Trade.DataStream,
+    Myc.Trade.Pipeline,
     Myc.Data.Series,
     Myc.Data.Pipeline,
     Myc.Signals,
@@ -298,7 +299,7 @@ begin
     var ticker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
     Result := ticker.Consumer;
 
-    var OhlcPoint := ticker.Producer.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
+    var OhlcPoint := ticker.Producer.Chain<TDataPoint<TOhlcItem>>(TTradeConverter.CreateOhlcAggregation(Timeframe));
 
     var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
 
@@ -423,7 +424,7 @@ begin
 
     var equity :=
         TConverter<Double, Double>.CreateAggregation(
-            function(const Value: Double; const Broadcast: TConverter<Double, Double>.TBroadcastProc): TState
+            function(const Value: Double; const Broadcast: TBroadcastFunc<Double>): TState
             begin
                 if not FInit then
                 begin
@@ -599,7 +600,7 @@ begin
 
     var ticker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
 
-    var OhlcPoint := ticker.Producer.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(timeframe));
+    var OhlcPoint := ticker.Producer.Chain<TDataPoint<TOhlcItem>>(TTradeConverter.CreateOhlcAggregation(timeframe));
 
     //    var OhlcTicker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
     //    var OhlcPoint := OhlcTicker.Sender;

AuraTrader/StrategyTest.pas

@@ -6,6 +6,7 @@ uses
     Myc.Signals,
     Myc.Data.Pipeline,
     Myc.Trade.Types,
+    Myc.Trade.Pipeline,
     Myc.Trade.Indicators;
 
 function CreateStrategy1(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, Double>; overload;
@@ -28,7 +29,7 @@ type
 begin
     var ticker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
 
-    var OhlcPoint := ticker.Producer.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
+    var OhlcPoint := ticker.Producer.Chain<TDataPoint<TOhlcItem>>(TTradeConverter.CreateOhlcAggregation(Timeframe));
 
     var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
 
@@ -97,7 +98,7 @@ begin
     var positionManager :=
         signalGenerator.Chain<Double>(
             TConverter<TSignalEvent, Double>.CreateAggregation(
-                function(const Value: TSignalEvent; const Broadcast: TConverter<TSignalEvent, Double>.TBroadcastProc): TState
+                function(const Value: TSignalEvent; const Broadcast: TBroadcastFunc<Double>): TState
                 var
                     pnl: Double;
                 begin
@@ -164,7 +165,7 @@ begin
     var equity :=
         positionManager.Chain<Double>(
             TConverter<Double, Double>.CreateAggregation(
-                function(const Value: Double; const Broadcast: TConverter<Double, Double>.TBroadcastProc): TState
+                function(const Value: Double; const Broadcast: TBroadcastFunc<Double>): TState
                 begin
                     if not FInit then
                     begin

Src/Myc.Data.Pipeline.Impl.pas

@@ -9,9 +9,8 @@ uses
     Myc.Signals,
     Myc.Mutable,
     Myc.Core.Notifier,
-    Myc.Data.Pipeline,
-    Myc.Trade.Types,
-    Myc.Data.Series;
+    Myc.Data.Series,
+    Myc.Data.Pipeline;
 
 type
     // Abstract base class for data consumers.
@@ -31,16 +30,6 @@ type
         class property Null: IConsumer<T> read FNull;
     end;
 
-    // A consumer implementation that is owned by a controller.
-    TMycGenericConsumer<T> = class(TMycConsumer<T>)
-    private
-        FProc: TConstFunc<T, TState>;
-    protected
-        function Consume(const Value: T): TState; override; final;
-    public
-        constructor Create(const Controller: IInterface; const AProc: TConstFunc<T, TState>);
-    end;
-
     TMycProducer<T> = class(TInterfacedObject, IProducer<T>)
     strict private
         type
@@ -63,16 +52,14 @@ type
         class property Null: IProducer<T> read FNull;
     end;
 
-    // Concrete producer that manages a list of consumers (listeners).
-    TMycContainedProducer<T> = class(TContainedObject, IProducer<T>)
+    // A consumer implementation that is owned by a controller.
+    TMycGenericConsumer<T> = class(TMycConsumer<T>)
     private
-        FListeners: TMycNotifyList<IConsumer<T>>;
+        FProc: TConvertFunc<T, TState>;
+    protected
+        function Consume(const Value: T): TState; override; final;
     public
-        constructor Create(const Controller: IInterface);
-        destructor Destroy; override;
-        function Broadcast(const Value: T): TState;
-        function Link(const Consumer: IConsumer<T>): TTag;
-        procedure Unlink(Tag: TTag);
+        constructor Create(const Controller: IInterface; const AProc: TConvertFunc<T, TState>);
     end;
 
     // Abstract base class for components that now act as a producer and contain a consumer.
@@ -101,33 +88,45 @@ type
         class property Null: IConverter<S, T> read FNull;
     end;
 
+    // Concrete producer that manages a list of consumers (listeners).
+    TMycContainedProducer<T> = class(TContainedObject, IProducer<T>)
+    private
+        FListeners: TMycNotifyList<IConsumer<T>>;
+    public
+        constructor Create(const Controller: IInterface);
+        destructor Destroy; override;
+        function Broadcast(const Value: T): TState;
+        function Link(const Consumer: IConsumer<T>): TTag;
+        procedure Unlink(Tag: TTag);
+    end;
+
     // A generic converter that uses a function reference for the conversion logic.
     TMycGenericConverter<S, T> = class(TMycConverter<S, T>)
     private
-        FFunc: TConstFunc<S, T>;
+        FFunc: TConvertFunc<S, T>;
     protected
         function Consume(const Value: S): TState; override;
     public
-        constructor Create(const AFunc: TConstFunc<S, T>);
+        constructor Create(const AFunc: TConvertFunc<S, T>);
     end;
 
     TMycGenericAggregator<S, T> = class(TMycConverter<S, T>)
     private
-        FFunc: TConstFunc<S, TConverter<S, T>.TBroadcastProc, TState>;
+        FFunc: TAggregateFunc<S, T>;
     protected
         function Consume(const Value: S): TState; override;
     public
-        constructor Create(const AFunc: TConstFunc<S, TConverter<S, T>.TBroadcastProc, TState>);
+        constructor Create(const AFunc: TAggregateFunc<S, T>);
     end;
 
     TMycGenericParallelConverter<S, T> = class(TMycConverter<S, T>)
     private
-        FFunc: TConstFunc<S, T>;
+        FFunc: TConvertFunc<S, T>;
         FQueue: TState;
     protected
         function Consume(const Value: S): TState; override;
     public
-        constructor Create(const AFunc: TConstFunc<S, T>);
+        constructor Create(const AFunc: TConvertFunc<S, T>);
     end;
 
     TMycIdentityConverter<T> = class(TMycConverter<T, T>)
@@ -187,21 +186,6 @@ type
         class function CreateDataEndpoint(Lookback: Integer; out Series: TLazy<TSeries<T>>): IConsumer<T>;
     end;
 
-    TTickAggregation = class(TMycConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>)
-    private
-        FTimeframe: TTimeframe;
-        FCurrentBar: TDataPoint<TOhlcItem>;
-        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
-        function GetCurrentBar: TDataPoint<TOhlcItem>;
-        function GetTimeframe: TTimeframe;
-    protected
-        function Consume(const Value: TDataPoint<Double>): TState; override;
-    public
-        constructor Create(const ATimeframe: TTimeframe);
-        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
-        property Timeframe: TTimeframe read GetTimeframe;
-    end;
-
     TMycParallelConverter<T> = class(TMycConverter<T, T>)
     private
         FQueue: TState;
@@ -209,21 +193,6 @@ type
         function Consume(const Value: T): TState; override; final;
     end;
 
-    TOhlcAggregation = class(TMycConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>)
-    private
-        FTimeframe: TTimeframe;
-        FCurrentBar: TDataPoint<TOhlcItem>;
-        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
-        function GetCurrentBar: TDataPoint<TOhlcItem>;
-        function GetTimeframe: TTimeframe;
-    protected
-        function Consume(const Value: TDataPoint<TOhlcItem>): TState; override;
-    public
-        constructor Create(const ATimeframe: TTimeframe);
-        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
-        property Timeframe: TTimeframe read GetTimeframe;
-    end;
-
     // Endpoint that collects data into a series.
     TMycDataJoin<T> = class(TInterfacedObject, IProducer<TArray<T>>)
     private
@@ -273,11 +242,7 @@ type
 implementation
 
 uses
-    System.TypInfo,
     System.RTTI,
-    System.DateUtils,
-    System.Math,
-    Winapi.Windows,
     Myc.TaskManager;
 
 class constructor TMycConsumer<T>.CreateClass;
@@ -392,7 +357,7 @@ end;
 
 { TMycGenericConverter<S, T> }
 
-constructor TMycGenericConverter<S, T>.Create(const AFunc: TConstFunc<S, T>);
+constructor TMycGenericConverter<S, T>.Create(const AFunc: TConvertFunc<S, T>);
 begin
     inherited Create;
     FFunc := AFunc;
@@ -462,7 +427,7 @@ end;
 
 { TMycGenericConsumer<T> }
 
-constructor TMycGenericConsumer<T>.Create(const Controller: IInterface; const AProc: TConstFunc<T, TState>);
+constructor TMycGenericConsumer<T>.Create(const Controller: IInterface; const AProc: TConvertFunc<T, TState>);
 begin
     inherited Create(Controller);
     FProc := AProc;
@@ -550,94 +515,6 @@ begin
     end;
 end;
 
-{ TTickAggregation }
-
-constructor TTickAggregation.Create(const ATimeframe: TTimeframe);
-begin
-    inherited Create;
-    FTimeframe := ATimeframe;
-end;
-
-function TTickAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
-var
-    baseTime: TDateTime;
-begin
-    // Implementation is unchanged
-    baseTime := RecodeMilliSecond(TimeStamp, 0);
-    case Timeframe of
-        S: Result := baseTime;
-        S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
-        S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
-        S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
-        M: Result := RecodeSecond(baseTime, 0);
-        M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
-        M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
-        M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
-        M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
-        M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
-        M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
-        H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
-        H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
-        H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
-        H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
-        H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
-        H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
-        D: Result := StartOfTheDay(TimeStamp);
-        D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
-        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
-        W: Result := TimeStamp.StartOfTheWeek;
-        MN: Result := TimeStamp.StartOfTheMonth;
-        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
-        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
-        Y: Result := TimeStamp.StartOfTheYear;
-    else
-        Result := 0;
-    end;
-end;
-
-function TTickAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
-begin
-    Result := FCurrentBar;
-end;
-
-function TTickAggregation.GetTimeframe: TTimeframe;
-begin
-    Result := FTimeframe;
-end;
-
-function TTickAggregation.Consume(const Value: TDataPoint<Double>): TState;
-var
-    barStartTime: TDateTime;
-    lastBarTime: TDateTime;
-begin
-    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
-    lastBarTime := FCurrentBar.Time;
-
-    if (barStartTime > lastBarTime) then
-    begin
-        if (lastBarTime > 0) then
-        begin
-            Result := Broadcast(FCurrentBar);
-        end;
-
-        FCurrentBar.Data.Open := Value.Data;
-        FCurrentBar.Data.High := Value.Data;
-        FCurrentBar.Data.Low := Value.Data;
-        FCurrentBar.Data.Close := Value.Data;
-        FCurrentBar.Data.Volume := 1;
-        FCurrentBar.Time := barStartTime;
-    end
-    else
-    begin
-        if Value.Data > FCurrentBar.Data.High then
-            FCurrentBar.Data.High := Value.Data;
-        if Value.Data < FCurrentBar.Data.Low then
-            FCurrentBar.Data.Low := Value.Data;
-        FCurrentBar.Data.Close := Value.Data;
-        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + 1;
-    end;
-end;
-
 { TMycSequence<T> }
 
 constructor TMycSequence<T>.Create(ACount: Integer);
@@ -688,7 +565,7 @@ end;
 
 { TMycGenericParallelConverter<S, T> }
 
-constructor TMycGenericParallelConverter<S, T>.Create(const AFunc: TConstFunc<S, T>);
+constructor TMycGenericParallelConverter<S, T>.Create(const AFunc: TConvertFunc<S, T>);
 begin
     inherited Create;
     FFunc := AFunc;
@@ -711,88 +588,6 @@ begin
     FQueue := Result;
 end;
 
-{ TOhlcAggregation }
-
-constructor TOhlcAggregation.Create(const ATimeframe: TTimeframe);
-begin
-    inherited Create;
-    FTimeframe := ATimeframe;
-end;
-
-function TOhlcAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
-begin
-    // Same implementation as TTickAggregation
-    var baseTime := RecodeMilliSecond(TimeStamp, 0);
-    case Timeframe of
-        S: Result := baseTime;
-        S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
-        S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
-        S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
-        M: Result := RecodeSecond(baseTime, 0);
-        M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
-        M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
-        M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
-        M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
-        M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
-        M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
-        H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
-        H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
-        H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
-        H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
-        H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
-        H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
-        D: Result := StartOfTheDay(TimeStamp);
-        D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
-        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
-        W: Result := TimeStamp.StartOfTheWeek;
-        MN: Result := TimeStamp.StartOfTheMonth;
-        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
-        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
-        Y: Result := TimeStamp.StartOfTheYear;
-    else
-        Result := 0;
-    end;
-end;
-
-function TOhlcAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
-begin
-    Result := FCurrentBar;
-end;
-
-function TOhlcAggregation.GetTimeframe: TTimeframe;
-begin
-    Result := FTimeframe;
-end;
-
-function TOhlcAggregation.Consume(const Value: TDataPoint<TOhlcItem>): TState;
-var
-    barStartTime: TDateTime;
-    lastBarTime: TDateTime;
-begin
-    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
-    lastBarTime := FCurrentBar.Time;
-
-    if (barStartTime > lastBarTime) then
-    begin
-        if (lastBarTime > 0) then
-        begin
-            Result := Broadcast(FCurrentBar);
-        end;
-
-        FCurrentBar.Data := Value.Data;
-        FCurrentBar.Time := barStartTime;
-    end
-    else
-    begin
-        if Value.Data.High > FCurrentBar.Data.High then
-            FCurrentBar.Data.High := Value.Data.High;
-        if Value.Data.Low < FCurrentBar.Data.Low then
-            FCurrentBar.Data.Low := Value.Data.Low;
-        FCurrentBar.Data.Close := Value.Data.Close;
-        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + Value.Data.Volume;
-    end;
-end;
-
 { TMycDataJoin<T> }
 
 constructor TMycDataJoin<T>.Create(ACount: Integer);
@@ -807,7 +602,7 @@ begin
     FContainedProvider := TMycContainedProducer<TArray<T>>.Create(Self);
 
     var cFunc :=
-        function(Idx: Integer): TConstFunc<T, TState>
+        function(Idx: Integer): TConvertFunc<T, TState>
         begin
             Result := function(const Value: T): TState begin Result := Consume(Idx, Value); end
         end;
@@ -882,7 +677,7 @@ end;
 
 { TMycGenericAggregator<S, T> }
 
-constructor TMycGenericAggregator<S, T>.Create(const AFunc: TConstFunc<S, TConverter<S, T>.TBroadcastProc, TState>);
+constructor TMycGenericAggregator<S, T>.Create(const AFunc: TAggregateFunc<S, T>);
 begin
     inherited Create;
     FFunc := AFunc;

Src/Myc.Data.Pipeline.pas

@@ -5,7 +5,6 @@ interface
 uses
     Myc.Signals,
     Myc.Mutable,
-    Myc.Trade.Types,
     Myc.Data.Series,
     Myc.Data.Records;
 
@@ -31,6 +30,10 @@ type
         property Consumer: IConsumer<S> read GetConsumer;
     end;
 
+    TConvertFunc<S, T> = reference to function(const Value: S): T;
+    TBroadcastFunc<T> = reference to function(const Value: T): TState;
+    TAggregateFunc<S, T> = reference to function(const Value: S; const Broadcast: TBroadcastFunc<T>): TState;
+
     // Interface helper for IProducer providing the null object pattern nad subscriptions for linked consumers.
     TProducer<T> = record
     public
@@ -64,7 +67,7 @@ type
         // Chain consumers
         function Chain(const Next: IConsumer<T>): IConsumer<T>; overload; inline;
         function Chain<R>(const Next: IConverter<T, R>): TProducer<R>; overload; inline;
-        function Chain<R>(const Func: TConstFunc<T, R>): TProducer<R>; overload; inline;
+        function Chain<R>(const Func: TConvertFunc<T, R>): TProducer<R>; overload; inline;
         // Extracts the field of a record by it's name (using RTTI).
         function Field<R>(const FieldName: String): TProducer<R>; inline;
 
@@ -76,9 +79,6 @@ type
 
     // Interface helper for IConverter<S,T> providing the null object pattern.
     TConverter<S, T> = record
-    public
-        type
-            TBroadcastProc = reference to function(const Value: T): TState;
     private
         FConverter: IConverter<S, T>;
         function GetConsumer: IConsumer<S>; inline;
@@ -94,8 +94,8 @@ type
 
         class function Construct(const Consumer: IConsumer<S>; const Producer: TProducer<T>): TConverter<S, T>; static;
 
-        class function CreateConverter(const Func: TConstFunc<S, T>): TConverter<S, T>; static;
-        class function CreateAggregation(const Func: TConstFunc<S, TBroadcastProc, TState>): TConverter<S, T>; static;
+        class function CreateConverter(const Func: TConvertFunc<S, T>): TConverter<S, T>; static;
+        class function CreateAggregation(const Func: TAggregateFunc<S, T>): TConverter<S, T>; static;
 
         property Consumer: IConsumer<S> read GetConsumer;
         property Producer: TProducer<T> read GetProducer;
@@ -114,9 +114,6 @@ type
         class function CreateTicker<T>: TConverter<TArray<T>, T>; static;
         class function CreateIdentity<T>: TConverter<T, T>; static;
 
-        class function CreateTickAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>; static;
-        class function CreateOhlcAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>; static;
-
         class function CreateEndpoint<T>(Lookback: Int64; out Series: TLazy<TSeries<T>>): IConsumer<T>; static;
 
         class function Join<T>(const Producers: TArray<TProducer<T>>): TProducer<TArray<T>>; static;
@@ -188,7 +185,7 @@ begin
     Result := Next;
 end;
 
-function TProducer<T>.Chain<R>(const Func: TConstFunc<T, R>): TProducer<R>;
+function TProducer<T>.Chain<R>(const Func: TConvertFunc<T, R>): TProducer<R>;
 begin
     Result := Chain<R>(TMycGenericConverter<T, R>.Create(Func));
 end;
@@ -251,12 +248,12 @@ begin
     Result := TMycComposedConverter<S, T>.Create(Consumer, Producer);
 end;
 
-class function TConverter<S, T>.CreateAggregation(const Func: TConstFunc<S, TBroadcastProc, TState>): TConverter<S, T>;
+class function TConverter<S, T>.CreateAggregation(const Func: TAggregateFunc<S, T>): TConverter<S, T>;
 begin
     Result := TMycGenericAggregator<S, T>.Create(Func);
 end;
 
-class function TConverter<S, T>.CreateConverter(const Func: TConstFunc<S, T>): TConverter<S, T>;
+class function TConverter<S, T>.CreateConverter(const Func: TConvertFunc<S, T>): TConverter<S, T>;
 begin
     Result := TMycGenericConverter<S, T>.Create(Func);
 end;
@@ -291,11 +288,6 @@ begin
     Result := A.FConverter;
 end;
 
-class function TConverter.CreateTickAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>;
-begin
-    Result := TTickAggregation.Create(Timeframe);
-end;
-
 { TConverter }
 
 class function TConverter.CreateCounter<T>: TConverter<T, Int64>;
@@ -318,11 +310,6 @@ begin
     Result := TMycTicker<T>.Create;
 end;
 
-class function TConverter.CreateOhlcAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>;
-begin
-    Result := TOhlcAggregation.Create(Timeframe);
-end;
-
 class function TConverter.DataMapping(
     const Inputs: TArray<TRecordMapping>;
     const Output: TDataRecord.TLayout
@@ -350,7 +337,7 @@ begin
                 Result := TDataRecord.Create(Output);
                 for var i := 0 to High(Idxs) do
                     for var j := 0 to High(Idxs[i]) do
-                        Inputs[i].CopyField(Idxs[i][j].FromIdx, Result, Idxs[i][j].ToIdx);
+                        Result.CopyValue(Inputs[i], Idxs[i][j].FromIdx, Idxs[i][j].ToIdx);
             end
         );
 end;

Src/Myc.Data.Records.pas

@@ -4,8 +4,6 @@ interface
 
 uses
     System.SysUtils,
-    System.Generics.Collections,
-    System.Rtti,
     System.TypInfo;
 
 type
@@ -23,8 +21,11 @@ type
                 procedure FromType(const [ref] Buffer: TBytes; SrcType: PTypeInfo; const Src);
                 procedure ToType(const [ref] Buffer: TBytes; DstType: PTypeInfo; var Dst);
 
-                procedure Assign(const [ref] Buffer: TBytes; const Src); overload;
-                procedure Finalize(const [ref] Buffer: TBytes);
+                procedure InitField(const [ref] Buffer: TBytes);
+                procedure AssignField(const [ref] Dest: TBytes; const [ref] Source: TBytes);
+                procedure FinalizeField(const [ref] Buffer: TBytes);
+
+                procedure CopyField(Src, Dst: Pointer);
 
                 property Offset: Integer read FOffset;
 
@@ -51,6 +52,7 @@ type
                 FFields: TArray<TField>;
 
                 constructor Create(const AFields: TArray<TField>);
+
             public
                 class function FromRecord<T>: TLayout; static;
                 class function Construct(const Def: TArray<TFieldDef>): TLayout; static;
@@ -60,15 +62,17 @@ type
             end;
 
         const
-            Align = 8;
+            Align = sizeof(Pointer);
 
     private
         FLayout: TLayout;
         FBuffer: TBytes;
 
     public
-        constructor Create(const ALayout: TLayout; const ABuffer: TBytes = nil);
+        constructor Create(const ALayout: TLayout);
+
         class operator Finalize(var Dest: TDataRecord);
+        class operator Assign(var Dest: TDataRecord; const [ref] Src: TDataRecord);
 
         class function FromRecord<T>: TDataRecord; overload; static;
         class function FromRecord<T>(const Src: T): TDataRecord; overload; static;
@@ -79,52 +83,54 @@ type
         function GetValue<T>(const Name: String): T; overload;
         procedure GetValue(Idx: Integer; out Value); overload;
 
-        procedure CopyField(Idx: Integer; Dst: TDataRecord; DstIdx: Integer);
+        procedure CopyValue(const SrcRec: TDataRecord; SrcIdx, DstIdx: Integer);
 
         property Layout: TLayout read FLayout;
     end;
 
+implementation
+
+uses
+    System.Rtti;
+
 const
     DataSize: array[TDataRecord.TFieldType] of Integer =
         (sizeof(Double), sizeof(Int64), sizeof(String), sizeof(TDateTime), sizeof(TDataRecord));
 
-implementation
+{ TDataRecord }
 
-uses
-    System.Classes;
-
-constructor TDataRecord.Create(const ALayout: TLayout; const ABuffer: TBytes = nil);
+constructor TDataRecord.Create(const ALayout: TLayout);
 begin
     FLayout := ALayout;
-    FBuffer := ABuffer;
 
     var bufSize := 0;
     if Length(FLayout.Fields) > 0 then
         with FLayout.Fields[High(FLayout.Fields)] do
             bufSize := Offset + AlignedSize;
 
-    if FBuffer = nil then
-        SetLength(FBuffer, bufSize)
-    else
-        Assert(Length(FBuffer) >= bufSize);
+    SetLength(FBuffer, bufSize);
+    for var i := 0 to High(FLayout.Fields) do
+        FLayout.Fields[i].InitField(FBuffer);
 end;
 
-procedure TDataRecord.CopyField(Idx: Integer; Dst: TDataRecord; DstIdx: Integer);
+procedure TDataRecord.CopyValue(const SrcRec: TDataRecord; SrcIdx, DstIdx: Integer);
 begin
-    Assert(Dst.Layout.Fields[DstIdx].FieldType = FLayout.Fields[Idx].FieldType);
-    Dst.Layout.Fields[DstIdx].Assign(Dst.FBuffer, FBuffer[FLayout.Fields[DstIdx].Offset])
-end;
+    Assert(SrcRec.Layout.Fields[SrcIdx].FieldType = FLayout.Fields[SrcIdx].FieldType);
 
-{ TDataRecord }
+    var Src := @SrcRec.FBuffer[SrcRec.Layout.Fields[SrcIdx].Offset];
+    var Dst := @FBuffer[FLayout.Fields[DstIdx].Offset];
+
+    FLayout.Fields[SrcIdx].CopyField(Src, Dst);
+end;
 
 class function TDataRecord.FromRecord<T>: TDataRecord;
 begin
-    Result := TDataRecord.Create(TLayout.FromRecord<T>);
+    Result.Create(TLayout.FromRecord<T>);
 end;
 
 class function TDataRecord.FromRecord<T>(const Src: T): TDataRecord;
 begin
-    Result := FromRecord<T>;
+    Result.Create(TLayout.FromRecord<T>);
 
     var ctx := TRttiContext.Create;
     var rttiType := ctx.GetType(TypeInfo(T));
@@ -187,10 +193,22 @@ begin
         FLayout.Fields[idx].FromType(FBuffer, TypeInfo(T), Value);
 end;
 
+class operator TDataRecord.Assign(var Dest: TDataRecord; const [ref] Src: TDataRecord);
+begin
+    if Dest.FLayout.FFields <> Src.FLayout.FFields then
+    begin
+        Finalize(Dest);
+        Dest.Create(Src.Layout);
+    end;
+
+    for var i := 0 to High(Dest.Layout.Fields) do
+        Dest.Layout.Fields[i].AssignField(Dest.FBuffer, Src.FBuffer);
+end;
+
 class operator TDataRecord.Finalize(var Dest: TDataRecord);
 begin
-    for var i := 0 to High(Dest.FLayout.Fields) do
-        Dest.FLayout.Fields[i].Finalize(Dest.FBuffer);
+    for var i := High(Dest.FLayout.Fields) downto 0 do
+        Dest.Layout.Fields[i].FinalizeField(Dest.FBuffer);
 end;
 
 constructor TDataRecord.TField.Create(const AName: string; AFieldType: TFieldType; AOffset: Integer);
@@ -200,7 +218,7 @@ begin
     FOffset := AOffset;
 end;
 
-procedure TDataRecord.TField.Finalize(const [ref] Buffer: TBytes);
+procedure TDataRecord.TField.InitField(const [ref] Buffer: TBytes);
 begin
     if not (FFieldType in [dfString, dfRecord]) then
         exit;
@@ -209,8 +227,22 @@ begin
 
     var P := @Buffer[FOffset];
     case FFieldType of
-        dfString: PString(P)^ := '';
-        dfRecord: TDataRecord(P^) := Default(TDataRecord);
+        dfString: Initialize(PString(P)^);
+        dfRecord: Initialize(TDataRecord(P^));
+    end;
+end;
+
+procedure TDataRecord.TField.FinalizeField(const [ref] Buffer: TBytes);
+begin
+    if not (FFieldType in [dfString, dfRecord]) then
+        exit;
+
+    Assert(FOffset + Size <= Length(Buffer));
+
+    var P := @Buffer[FOffset];
+    case FFieldType of
+        dfString: Finalize(PString(P)^);
+        dfRecord: Finalize(TDataRecord(P^));
     end;
 end;
 
@@ -218,8 +250,6 @@ procedure TDataRecord.TField.FromType(const [ref] Buffer: TBytes; SrcType: PType
 begin
     Assert(FOffset + Size <= Length(Buffer));
 
-    Finalize(Buffer);
-
     var Dst := @Buffer[FOffset];
     case FFieldType of
         dfFloat:
@@ -317,19 +347,24 @@ begin
     end;
 end;
 
-procedure TDataRecord.TField.Assign(const [ref] Buffer: TBytes; const Src);
+procedure TDataRecord.TField.AssignField(const [ref] Dest: TBytes; const [ref] Source: TBytes);
 begin
-    Assert(FOffset + Size <= Length(Buffer));
+    Assert(FOffset + Size <= Length(Dest));
 
-    Finalize(Buffer);
+    var Dst := @Dest[FOffset];
+    var Src := @Source[FOffset];
 
-    var Dst := @Buffer[FOffset];
+    CopyField(Src, Dst);
+end;
+
+procedure TDataRecord.TField.CopyField(Src, Dst: Pointer);
+begin
     case FFieldType of
-        dfFloat: PDouble(Dst)^ := PDouble(@Src)^;
-        dfInteger: PInt64(Dst)^ := PInt64(@Src)^;
-        dfString: PString(Dst)^ := PString(@Src)^;
-        dfTimestamp: PDateTime(Dst)^ := PDateTime(@Src)^;
-        dfRecord: TDataRecord(Dst^) := TDataRecord(Src);
+        dfFloat: PDouble(Dst)^ := PDouble(Src)^;
+        dfInteger: PInt64(Dst)^ := PInt64(Src)^;
+        dfString: PString(Dst)^ := PString(Src)^;
+        dfTimestamp: PDateTime(Dst)^ := PDateTime(Src)^;
+        dfRecord: TDataRecord(Dst^) := TDataRecord(Src^);
     else
         Assert(false);
     end;

Src/Myc.Trade.Indicators.pas

@@ -8,8 +8,9 @@ uses
     System.Generics.Collections,
     System.Rtti,
     Myc.Data.Records,
-    Myc.Trade.Types,
-    Myc.Data.Series;
+    Myc.Data.Pipeline,
+    Myc.Data.Series,
+    Myc.Trade.Types;
 
 type
     // Result for the Moving Average Convergence Divergence (MACD) indicator.
@@ -46,48 +47,48 @@ type
         class function CalculateWMA(const Series: TSeries<Double>; const Period: Integer): Double; static;
     public
         // Simple Moving Average
-        class function CreateSMA(Period: Integer): TConstFunc<Double, Double>; static;
+        class function CreateSMA(Period: Integer): TConvertFunc<Double, Double>; static;
         // Exponential Moving Average
-        class function CreateEMA(Period: Integer): TConstFunc<Double, Double>; static;
+        class function CreateEMA(Period: Integer): TConvertFunc<Double, Double>; static;
         // Hull Moving Average
-        class function CreateHMA(Period: Integer): TConstFunc<Double, Double>; static;
+        class function CreateHMA(Period: Integer): TConvertFunc<Double, Double>; static;
         // Relative Strength Index
-        class function CreateRSI(Period: Integer): TConstFunc<Double, Double>; static;
+        class function CreateRSI(Period: Integer): TConvertFunc<Double, Double>; static;
         // Moving Average Convergence Divergence
-        class function CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConstFunc<Double, TMacdResult>; overload; static;
+        class function CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConvertFunc<Double, TMacdResult>; overload; static;
         class function CreateMACD(
             const EmaFast,
             EmaSlow,
-            EmaSignal: TConstFunc<Double, Double>
-        ): TConstFunc<Double, TMacdResult>; overload; static;
+            EmaSignal: TConvertFunc<Double, Double>
+        ): TConvertFunc<Double, TMacdResult>; overload; static;
         // Stochastic Oscillator
-        class function CreateStochastic(KPeriod, DPeriod: Integer): TConstFunc<TOhlcItem, TStochasticResult>; overload; static;
+        class function CreateStochastic(KPeriod, DPeriod: Integer): TConvertFunc<TOhlcItem, TStochasticResult>; overload; static;
         class function CreateStochastic(
             KPeriod: Integer;
-            const SmaD: TConstFunc<Double, Double>
-        ): TConstFunc<TOhlcItem, TStochasticResult>; overload; static;
+            const SmaD: TConvertFunc<Double, Double>
+        ): TConvertFunc<TOhlcItem, TStochasticResult>; overload; static;
         // Bollinger Bands
-        class function CreateBollingerBands(Period: Integer; Multiplier: Double): TConstFunc<Double, TBollingerBandsResult>; static;
+        class function CreateBollingerBands(Period: Integer; Multiplier: Double): TConvertFunc<Double, TBollingerBandsResult>; static;
         // Average True Range
-        class function CreateATR(Period: Integer): TConstFunc<TOhlcItem, Double>; overload; static;
-        class function CreateATR(const MovAvgTR: TConstFunc<Double, Double>): TConstFunc<TOhlcItem, 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;
         // Keltner Channels
         class function CreateKeltnerChannels(
             Period: Integer;
             Multiplier: Double
-        ): TConstFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
+        ): TConvertFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
         class function CreateKeltnerChannels(
-            const MovAvgMiddle: TConstFunc<Double, Double>;
-            const AtrFunc: TConstFunc<TOhlcItem, Double>;
+            const MovAvgMiddle: TConvertFunc<Double, Double>;
+            const AtrFunc: TConvertFunc<TOhlcItem, Double>;
             Multiplier: Double
-        ): TConstFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
+        ): TConvertFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
 
-        class function CreateMean: TConstFunc<TArray<Double>, Double>; static;
+        class function CreateMean: TConvertFunc<TArray<Double>, Double>; static;
     end;
 
     TIndicatorFactory = class
         type
-            TFunc = TConstFunc<TDataRecord, TDataRecord>;
+            TFunc = TConvertFunc<TDataRecord, TDataRecord>;
     private
         FParams: TDataRecord.TLayout;
         FInput: TDataRecord.TLayout;
@@ -125,9 +126,9 @@ type
     TMACD = class
         type
             TParam = record
-                Fast: TConstFunc<Double, Double>;
-                Slow: TConstFunc<Double, Double>;
-                Signal: TConstFunc<Double, Double>;
+                Fast: TConvertFunc<Double, Double>;
+                Slow: TConvertFunc<Double, Double>;
+                Signal: TConvertFunc<Double, Double>;
             end;
 
             TInput = record
@@ -141,7 +142,7 @@ type
             end;
 
     public
-        class function CreateMACD(const Param: TParam): TConstFunc<TInput, TResult>; static;
+        class function CreateMACD(const Param: TParam): TConvertFunc<TInput, TResult>; static;
     end;
 
 var
@@ -208,7 +209,7 @@ begin
     Result := numerator / denominator;
 end;
 
-class function TIndicators.CreateBollingerBands(Period: Integer; Multiplier: Double): TConstFunc<Double, TBollingerBandsResult>;
+class function TIndicators.CreateBollingerBands(Period: Integer; Multiplier: Double): TConvertFunc<Double, TBollingerBandsResult>;
 begin
     var sourceData: TSeries<Double>;
     Result :=
@@ -231,7 +232,7 @@ begin
         end;
 end;
 
-class function TIndicators.CreateEMA(Period: Integer): TConstFunc<Double, Double>;
+class function TIndicators.CreateEMA(Period: Integer): TConvertFunc<Double, Double>;
 begin
     var lastEma: Double := Double.NaN;
     var sourceData: TSeries<Double>;
@@ -262,7 +263,7 @@ begin
         end;
 end;
 
-class function TIndicators.CreateHMA(Period: Integer): TConstFunc<Double, Double>;
+class function TIndicators.CreateHMA(Period: Integer): TConvertFunc<Double, Double>;
 begin
     var periodHalf := Period div 2;
     var periodSqrt := Round(Sqrt(Period));
@@ -305,13 +306,13 @@ begin
 end;
 
 // Standard MACD using EMAs.
-class function TIndicators.CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConstFunc<Double, TMacdResult>;
+class function TIndicators.CreateMACD(FastPeriod, SlowPeriod, SignalPeriod: Integer): TConvertFunc<Double, TMacdResult>;
 begin
     Result := CreateMACD(CreateEMA(FastPeriod), CreateEMA(SlowPeriod), CreateEMA(SignalPeriod));
 end;
 
 // Creates a MACD indicator from three provided moving average functions.
-class function TIndicators.CreateMACD(const EmaFast, EmaSlow, EmaSignal: TConstFunc<Double, Double>): TConstFunc<Double, TMacdResult>;
+class function TIndicators.CreateMACD(const EmaFast, EmaSlow, EmaSignal: TConvertFunc<Double, Double>): TConvertFunc<Double, TMacdResult>;
 begin
     Result :=
         function(const Value: Double): TMacdResult
@@ -339,7 +340,7 @@ begin
         end;
 end;
 
-class function TIndicators.CreateRSI(Period: Integer): TConstFunc<Double, Double>;
+class function TIndicators.CreateRSI(Period: Integer): TConvertFunc<Double, Double>;
 begin
     var avgGain: Double := Double.NaN;
     var avgLoss: Double := Double.NaN;
@@ -398,7 +399,7 @@ begin
         end;
 end;
 
-class function TIndicators.CreateSMA(Period: Integer): TConstFunc<Double, Double>;
+class function TIndicators.CreateSMA(Period: Integer): TConvertFunc<Double, Double>;
 begin
     var sourceData: TSeries<Double>;
     Result :=
@@ -413,7 +414,7 @@ begin
 end;
 
 // Standard Stochastic Oscillator using an SMA for the %D line.
-class function TIndicators.CreateStochastic(KPeriod, DPeriod: Integer): TConstFunc<TOhlcItem, TStochasticResult>;
+class function TIndicators.CreateStochastic(KPeriod, DPeriod: Integer): TConvertFunc<TOhlcItem, TStochasticResult>;
 begin
     Result := CreateStochastic(KPeriod, CreateSMA(DPeriod));
 end;
@@ -421,8 +422,8 @@ end;
 // Creates a Stochastic Oscillator using an injectable moving average for the %D line.
 class function TIndicators.CreateStochastic(
     KPeriod: Integer;
-    const SmaD: TConstFunc<Double, Double>
-): TConstFunc<TOhlcItem, TStochasticResult>;
+    const SmaD: TConvertFunc<Double, Double>
+): TConvertFunc<TOhlcItem, TStochasticResult>;
 begin
     var sourceData: TSeries<TOhlcItem>;
 
@@ -461,13 +462,13 @@ begin
 end;
 
 // Standard ATR using an EMA for smoothing.
-class function TIndicators.CreateATR(Period: Integer): TConstFunc<TOhlcItem, Double>;
+class function TIndicators.CreateATR(Period: Integer): TConvertFunc<TOhlcItem, Double>;
 begin
     Result := CreateATR(CreateEMA(Period));
 end;
 
 // Calculates the Average True Range (ATR) using an injectable moving average.
-class function TIndicators.CreateATR(const MovAvgTR: TConstFunc<Double, Double>): TConstFunc<TOhlcItem, Double>;
+class function TIndicators.CreateATR(const MovAvgTR: TConvertFunc<Double, Double>): TConvertFunc<TOhlcItem, Double>;
 begin
     var sourceData: TSeries<TOhlcItem>;
 
@@ -495,17 +496,17 @@ begin
 end;
 
 // Standard Keltner Channels using an EMA for the middle line and an EMA-based ATR.
-class function TIndicators.CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConstFunc<TOhlcItem, TKeltnerChannelsResult>;
+class function TIndicators.CreateKeltnerChannels(Period: Integer; Multiplier: Double): TConvertFunc<TOhlcItem, TKeltnerChannelsResult>;
 begin
     Result := CreateKeltnerChannels(CreateEMA(Period), CreateATR(Period), Multiplier);
 end;
 
 // Calculates Keltner Channels using an injectable ATR and middle band moving average.
 class function TIndicators.CreateKeltnerChannels(
-    const MovAvgMiddle: TConstFunc<Double, Double>;
-    const AtrFunc: TConstFunc<TOhlcItem, Double>;
+    const MovAvgMiddle: TConvertFunc<Double, Double>;
+    const AtrFunc: TConvertFunc<TOhlcItem, Double>;
     Multiplier: Double
-): TConstFunc<TOhlcItem, TKeltnerChannelsResult>;
+): TConvertFunc<TOhlcItem, TKeltnerChannelsResult>;
 begin
     Result :=
         function(const Value: TOhlcItem): TKeltnerChannelsResult
@@ -533,7 +534,7 @@ begin
         end;
 end;
 
-class function TIndicators.CreateMean: TConstFunc<TArray<Double>, Double>;
+class function TIndicators.CreateMean: TConvertFunc<TArray<Double>, Double>;
 begin
     Result :=
         function(const Value: TArray<Double>): Double
@@ -548,7 +549,7 @@ begin
 end;
 
 // Creates a MACD indicator from three provided moving average functions.
-class function TMACD.CreateMACD(const Param: TParam): TConstFunc<TInput, TResult>;
+class function TMACD.CreateMACD(const Param: TParam): TConvertFunc<TInput, TResult>;
 begin
     Result :=
         function(const Input: TInput): TResult

Src/Myc.Trade.Pipeline.Impl.pas

@@ -0,0 +1,218 @@
+unit Myc.Trade.Pipeline.Impl;
+
+interface
+
+uses
+    Myc.Signals,
+    Myc.Data.Pipeline,
+    Myc.Data.Pipeline.Impl,
+    Myc.Trade.Types;
+
+type
+    TTickAggregation = class(TMycConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>)
+    private
+        FTimeframe: TTimeframe;
+        FCurrentBar: TDataPoint<TOhlcItem>;
+        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
+        function GetCurrentBar: TDataPoint<TOhlcItem>;
+        function GetTimeframe: TTimeframe;
+    protected
+        function Consume(const Value: TDataPoint<Double>): TState; override;
+    public
+        constructor Create(const ATimeframe: TTimeframe);
+        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
+        property Timeframe: TTimeframe read GetTimeframe;
+    end;
+
+    TOhlcAggregation = class(TMycConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>)
+    private
+        FTimeframe: TTimeframe;
+        FCurrentBar: TDataPoint<TOhlcItem>;
+        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
+        function GetCurrentBar: TDataPoint<TOhlcItem>;
+        function GetTimeframe: TTimeframe;
+    protected
+        function Consume(const Value: TDataPoint<TOhlcItem>): TState; override;
+    public
+        constructor Create(const ATimeframe: TTimeframe);
+        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
+        property Timeframe: TTimeframe read GetTimeframe;
+    end;
+
+implementation
+
+uses
+    System.Math,
+    System.DateUtils;
+
+{ TTickAggregation }
+
+constructor TTickAggregation.Create(const ATimeframe: TTimeframe);
+begin
+    inherited Create;
+    FTimeframe := ATimeframe;
+end;
+
+function TTickAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
+var
+    baseTime: TDateTime;
+begin
+    // Implementation is unchanged
+    baseTime := RecodeMilliSecond(TimeStamp, 0);
+    case Timeframe of
+        S: Result := baseTime;
+        S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
+        S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
+        S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
+        M: Result := RecodeSecond(baseTime, 0);
+        M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
+        M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
+        M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
+        M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
+        M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
+        M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
+        H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
+        H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
+        H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
+        H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
+        H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
+        H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
+        D: Result := StartOfTheDay(TimeStamp);
+        D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
+        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
+        W: Result := TimeStamp.StartOfTheWeek;
+        MN: Result := TimeStamp.StartOfTheMonth;
+        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
+        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
+        Y: Result := TimeStamp.StartOfTheYear;
+    else
+        Result := 0;
+    end;
+end;
+
+function TTickAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
+begin
+    Result := FCurrentBar;
+end;
+
+function TTickAggregation.GetTimeframe: TTimeframe;
+begin
+    Result := FTimeframe;
+end;
+
+function TTickAggregation.Consume(const Value: TDataPoint<Double>): TState;
+var
+    barStartTime: TDateTime;
+    lastBarTime: TDateTime;
+begin
+    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
+    lastBarTime := FCurrentBar.Time;
+
+    if (barStartTime > lastBarTime) then
+    begin
+        if (lastBarTime > 0) then
+        begin
+            Result := Broadcast(FCurrentBar);
+        end;
+
+        FCurrentBar.Data.Open := Value.Data;
+        FCurrentBar.Data.High := Value.Data;
+        FCurrentBar.Data.Low := Value.Data;
+        FCurrentBar.Data.Close := Value.Data;
+        FCurrentBar.Data.Volume := 1;
+        FCurrentBar.Time := barStartTime;
+    end
+    else
+    begin
+        if Value.Data > FCurrentBar.Data.High then
+            FCurrentBar.Data.High := Value.Data;
+        if Value.Data < FCurrentBar.Data.Low then
+            FCurrentBar.Data.Low := Value.Data;
+        FCurrentBar.Data.Close := Value.Data;
+        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + 1;
+    end;
+end;
+
+{ TOhlcAggregation }
+
+constructor TOhlcAggregation.Create(const ATimeframe: TTimeframe);
+begin
+    inherited Create;
+    FTimeframe := ATimeframe;
+end;
+
+function TOhlcAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
+begin
+    // Same implementation as TTickAggregation
+    var baseTime := RecodeMilliSecond(TimeStamp, 0);
+    case Timeframe of
+        S: Result := baseTime;
+        S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
+        S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
+        S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
+        M: Result := RecodeSecond(baseTime, 0);
+        M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
+        M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
+        M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
+        M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
+        M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
+        M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
+        H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
+        H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
+        H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
+        H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
+        H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
+        H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
+        D: Result := StartOfTheDay(TimeStamp);
+        D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
+        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
+        W: Result := TimeStamp.StartOfTheWeek;
+        MN: Result := TimeStamp.StartOfTheMonth;
+        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
+        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
+        Y: Result := TimeStamp.StartOfTheYear;
+    else
+        Result := 0;
+    end;
+end;
+
+function TOhlcAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
+begin
+    Result := FCurrentBar;
+end;
+
+function TOhlcAggregation.GetTimeframe: TTimeframe;
+begin
+    Result := FTimeframe;
+end;
+
+function TOhlcAggregation.Consume(const Value: TDataPoint<TOhlcItem>): TState;
+var
+    barStartTime: TDateTime;
+    lastBarTime: TDateTime;
+begin
+    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
+    lastBarTime := FCurrentBar.Time;
+
+    if (barStartTime > lastBarTime) then
+    begin
+        if (lastBarTime > 0) then
+        begin
+            Result := Broadcast(FCurrentBar);
+        end;
+
+        FCurrentBar.Data := Value.Data;
+        FCurrentBar.Time := barStartTime;
+    end
+    else
+    begin
+        if Value.Data.High > FCurrentBar.Data.High then
+            FCurrentBar.Data.High := Value.Data.High;
+        if Value.Data.Low < FCurrentBar.Data.Low then
+            FCurrentBar.Data.Low := Value.Data.Low;
+        FCurrentBar.Data.Close := Value.Data.Close;
+        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + Value.Data.Volume;
+    end;
+end;
+
+end.

Src/Myc.Trade.Pipeline.pas

@@ -0,0 +1,30 @@
+unit Myc.Trade.Pipeline;
+
+interface
+
+uses
+    Myc.Data.Pipeline,
+    Myc.Trade.Types;
+
+type
+    TTradeConverter = record
+        class function CreateTickAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>; static;
+        class function CreateOhlcAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>; static;
+    end;
+
+implementation
+
+uses
+    Myc.Trade.Pipeline.Impl;
+
+class function TTradeConverter.CreateTickAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>;
+begin
+    Result := TTickAggregation.Create(Timeframe);
+end;
+
+class function TTradeConverter.CreateOhlcAggregation(Timeframe: TTimeframe): TConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>;
+begin
+    Result := TOhlcAggregation.Create(Timeframe);
+end;
+
+end.

Src/Myc.Trade.Types.pas

@@ -2,6 +2,9 @@ unit Myc.Trade.Types;
 
 interface
 
+uses
+    Myc.Core.Future;
+
 type
     TTimeframe = (S, S5, S15, S30, M, M2, M3, M5, M10, M15, M30, H, H2, H3, H4, H8, H12, D, D2, D3, W, MN, MN3, MN6, Y);
 
@@ -28,11 +31,6 @@ type
         constructor Create(ATime: TDateTime; const AData: T);
     end;
 
-    TConstFunc<S, T> = reference to function(const Value: S): T;
-    TConstFunc<S, T, U> = reference to function(const Value1: S; const Value2: T): U;
-    TConstProc<T> = reference to procedure(const Value: T);
-    TConstFuncPredicate<S, T> = reference to function(const Value: S; out Res: T): Boolean;
-
 implementation
 
 { TAskBidItem }

Test/TestDataArray.pas

@@ -5,7 +5,7 @@ interface
 uses
     System.SysUtils,
     DUnitX.TestFramework,
-    Myc.Trade.DataArray;
+    Myc.Data.Series;
 
 type
     [TestFixture]

Test/TestDataRecord.pas

@@ -7,7 +7,7 @@ uses
     System.SysUtils,
     System.DateUtils,
     System.Rtti,
-    Myc.DataRecord;
+    Myc.Data.Records;
 
 type
     // A record that contains all supported data types for testing
@@ -52,6 +52,10 @@ type
         //        [IgnoreMemoryLeaks]
         procedure TestNestedDataRecord;
 
+        [Test]
+        //        [IgnoreMemoryLeaks]
+        procedure TestInternalRecordAssignment;
+
         [Test]
         //        [IgnoreMemoryLeaks]
         procedure TestNestedSetValueAndGetValue;
@@ -174,7 +178,8 @@ var
 begin
     // Setup: Create the nested record and convert it to a TDataRecord
     nestedSrc.NestedValue := 999;
-    nestedSrc.NestedString := 'Nested Record Test';
+    const str = 'Nested Record Test';
+    nestedSrc.NestedString := str;
     nestedDataRecord := TDataRecord.FromRecord<TNestedTestRecord>(nestedSrc);
 
     // Setup: Create the outer record containing the nested TDataRecord
@@ -192,12 +197,41 @@ begin
 
     // Assert values within the nested record
     Assert.AreEqual(999, retrievedNestedRecord.GetValue<Integer>('NestedValue'), 'Nested integer value mismatch');
-    Assert.AreEqual('Nested Record Test', retrievedNestedRecord.GetValue<string>('NestedString'), 'Nested string value mismatch');
+    Assert.AreEqual(str, retrievedNestedRecord.GetValue<string>('NestedString'), 'Nested string value mismatch');
 
     // Assert value in the outer record
     Assert.AreEqual(111, mainDataRecord.GetValue<Integer>('OuterValue'), 'Outer integer value mismatch');
 end;
 
+procedure TTestDataRecord.TestInternalRecordAssignment;
+var
+    nestedSrc: TNestedTestRecord;
+    nestedDataRecord: TDataRecord;
+    outerSrc: TOuterTestRecord;
+    mainDataRecord: TDataRecord;
+    retrievedNestedRecord: TDataRecord;
+begin
+    // Setup: Create the nested record and convert it to a TDataRecord
+    const str = 'Nested Record Test';
+    nestedSrc.NestedString := str;
+    nestedDataRecord := TDataRecord.FromRecord<TNestedTestRecord>(nestedSrc);
+
+    // Setup: Create the outer record containing the nested TDataRecord
+    outerSrc.MyNestedRecord := nestedDataRecord;
+
+    // Place a record on the heap. FAILS: This erases the nested record data!!
+    TDataRecord.FromRecord<TOuterTestRecord>(outerSrc);
+
+    // Test: Create the main TDataRecord from the outer record instance
+    mainDataRecord := TDataRecord.FromRecord<TOuterTestRecord>(outerSrc);
+
+    // Assert: Retrieve the nested record and check its contents
+    retrievedNestedRecord := mainDataRecord.GetValue<TDataRecord>('MyNestedRecord');
+
+    // Assert values within the nested record
+    Assert.AreEqual(str, retrievedNestedRecord.GetValue<string>('NestedString'), 'Nested string value mismatch');
+end;
+
 procedure TTestDataRecord.TestNestedSetValueAndGetValue;
 var
     outerRecord: TDataRecord;