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