Work in Progress
This commit is contained in:
Michael Schimmel
@@ -19,7 +19,7 @@ type
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end;
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// Concrete data provider that manages a list of processors (listeners).
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TMycDataProvider<T> = class abstract(TContainedObject, TDataProvider<T>.IDataProvider)
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TMycContainedDataProvider<T> = class abstract(TContainedObject, TDataProvider<T>.IDataProvider)
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private
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FListeners: TMycNotifyList<IMycProcessor<T>>;
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public
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@@ -33,6 +33,19 @@ type
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procedure Unlink(Tag: TDataProvider<T>.TTag);
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end;
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TMycSequence<T> = class(TMycProcessor<T>, IMycDataSequence<T>)
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private
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FDataProviders: TArray<TMycContainedDataProvider<T>>;
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function GetCount: Integer;
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function GetDataProvider(Idx: Integer): TDataProvider<T>;
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protected
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function ProcessData(const Value: T): TState; override;
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function ProcessDataProvider(Idx: Integer; const Value: T): TState;
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public
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constructor Create(ACount: Integer);
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destructor Destroy; override;
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end;
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// Null object implementation for IDataProvider.
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TNullDataProvider<T> = class(TInterfacedObject, TDataProvider<T>.IDataProvider)
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public
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@@ -43,7 +56,7 @@ type
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// Abstract base class for components that process data of type S and provide data of type T.
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TMycConverter<S, T> = class abstract(TMycProcessor<S>, TConverter<S, T>.IConverter)
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private
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FSender: TMycDataProvider<T>;
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FSender: TMycContainedDataProvider<T>;
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function GetSender: TDataProvider<T>.IDataProvider;
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protected
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function ProcessData(const Value: S): TState; override; abstract;
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@@ -73,6 +86,12 @@ type
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constructor Create(const AFunc: TConstFunc<S, T>);
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end;
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// A converter specialized for calculating indicators.
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TMycIdentityConverter<T> = class(TMycConverter<T, T>)
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protected
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function ProcessData(const Value: T): TState; override; final;
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end;
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// A converter specialized for calculating indicators.
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TMycIndicator<S, T> = class(TMycConverter<S, T>)
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protected
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@@ -145,26 +164,43 @@ type
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destructor Destroy; override;
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end;
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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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public
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constructor Create(const ATimeframe: TTimeframe);
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function ProcessData(const Value: TDataPoint<Double>): TState; override;
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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.TypInfo,
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System.RTTI;
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System.RTTI,
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System.DateUtils,
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System.Math,
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Myc.TaskManager;
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{ TMycDataProvider<T> }
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{ TMycContainedDataProvider<T> }
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constructor TMycDataProvider<T>.Create(const Controller: IInterface);
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constructor TMycContainedDataProvider<T>.Create(const Controller: IInterface);
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begin
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inherited Create(Controller);
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end;
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destructor TMycDataProvider<T>.Destroy;
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destructor TMycContainedDataProvider<T>.Destroy;
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begin
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FListeners.Finalize;
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inherited Destroy;
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end;
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function TMycDataProvider<T>.Broadcast(const Value: T): TState;
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function TMycContainedDataProvider<T>.Broadcast(const Value: T): TState;
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begin
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FListeners.Lock;
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try
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@@ -192,7 +228,7 @@ begin
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end;
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end;
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function TMycDataProvider<T>.Link(const Processor: IMycProcessor<T>): TDataProvider<T>.TTag;
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function TMycContainedDataProvider<T>.Link(const Processor: IMycProcessor<T>): TDataProvider<T>.TTag;
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begin
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// Add the Processor to the notification list
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FListeners.Lock;
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@@ -203,7 +239,7 @@ begin
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end;
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end;
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procedure TMycDataProvider<T>.Unlink(Tag: TDataProvider<T>.TTag);
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procedure TMycContainedDataProvider<T>.Unlink(Tag: TDataProvider<T>.TTag);
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begin
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FListeners.Lock;
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try
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@@ -230,7 +266,7 @@ end;
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constructor TMycConverter<S, T>.Create;
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begin
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inherited Create;
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FSender := TMycDataProvider<T>.Create(Self);
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FSender := TMycContainedDataProvider<T>.Create(Self);
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end;
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destructor TMycConverter<S, T>.Destroy;
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@@ -411,4 +447,156 @@ begin
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FChanged.Notify;
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end;
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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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// Align the time grid to UTC 0:00 using functions from System.DateUtils
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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, D3 are uncommon; this is a simple modulo-based approach relative to TDateTime's epoch.
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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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// Quarter alignment
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MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
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// Half-year alignment
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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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// Fallback for any undefined timeframe
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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.ProcessData(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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// Update bar for the strategy's timeframe
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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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// A new bar starts, so the previous one is now complete.
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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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// Start a new bar, Volume is 1 because this is the first tick.
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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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// Update the currently aggregating bar
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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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// Volume is the number of ticks needed to build the complete bar.
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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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{ TMycSequence<T> }
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constructor TMycSequence<T>.Create(ACount: Integer);
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begin
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inherited Create;
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SetLength(FDataProviders, ACount);
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for var i := 0 to High(FDataProviders) do
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FDataProviders[i] := TMycContainedDataProvider<T>.Create(Self);
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end;
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destructor TMycSequence<T>.Destroy;
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begin
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for var i := High(FDataProviders) downto 0 do
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FDataProviders[i].Free;
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inherited;
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end;
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function TMycSequence<T>.GetCount: Integer;
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begin
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Result := Length(FDataProviders);
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end;
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function TMycSequence<T>.GetDataProvider(Idx: Integer): TDataProvider<T>;
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begin
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Result := FDataProviders[Idx];
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end;
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function TMycSequence<T>.ProcessData(const Value: T): TState;
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begin
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Result := ProcessDataProvider(0, Value);
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end;
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function TMycSequence<T>.ProcessDataProvider(Idx: Integer; const Value: T): TState;
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begin
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if Idx >= Length(FDataProviders) then
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exit;
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Result :=
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TaskManager
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.RunTask(FDataProviders[idx].Broadcast(Value), function: TState begin Result := ProcessDataProvider(1 + idx, Value); end);
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end;
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function TMycIdentityConverter<T>.ProcessData(const Value: T): TState;
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begin
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Result := Broadcast(Value);
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end;
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end.
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