Refactoring DataFlow, 1st Generic Data records working

Src/Myc.Trade.Indicators.pas

@@ -5,6 +5,9 @@ interface
 uses
     System.SysUtils,
     System.Math,
+    System.Generics.Collections,
+    System.Rtti,
+    Myc.DataRecord,
     Myc.Trade.Types,
     Myc.Trade.DataArray;
 
@@ -78,8 +81,72 @@ type
             const AtrFunc: TConstFunc<TOhlcItem, Double>;
             Multiplier: Double
         ): TConstFunc<TOhlcItem, TKeltnerChannelsResult>; overload; static;
+
+        class function CreateMean: TConstFunc<TArray<Double>, Double>; static;
     end;
 
+    TIndicatorFactory = class
+        type
+            TFunc = TConstFunc<TDataRecord, TDataRecord>;
+    private
+        FParams: TDataRecord.TLayout;
+        FInput: TDataRecord.TLayout;
+        FOutput: TDataRecord.TLayout;
+
+    public
+        constructor Create(const AParams, AInput, AOutput: TDataRecord.TLayout);
+
+        function CreateIndicator(const Params: TDataRecord): TFunc; virtual; abstract;
+
+        property Params: TDataRecord.TLayout read FParams;
+        property Input: TDataRecord.TLayout read FInput;
+        property Output: TDataRecord.TLayout read FOutput;
+    end;
+
+    TEMA = class(TIndicatorFactory)
+        type
+            TParam = record
+                Period: Integer;
+            end;
+
+            TInput = record
+                Price: Double;
+            end;
+
+            TResult = record
+                MA: Double;
+            end;
+
+    public
+        constructor Create;
+        function CreateIndicator(const Params: TDataRecord): TIndicatorFactory.TFunc; override;
+    end;
+
+    TMACD = class
+        type
+            TParam = record
+                Fast: TConstFunc<Double, Double>;
+                Slow: TConstFunc<Double, Double>;
+                Signal: TConstFunc<Double, Double>;
+            end;
+
+            TInput = record
+                Price: Double;
+            end;
+
+            TResult = record
+                MacdLine: Double;
+                SignalLine: Double;
+                Histogram: Double;
+            end;
+
+    public
+        class function CreateMACD(const Param: TParam): TConstFunc<TInput, TResult>; static;
+    end;
+
+var
+    Registry: TList<TIndicatorFactory>;
+
 implementation
 
 { TIndicators }
@@ -466,4 +533,93 @@ begin
         end;
 end;
 
+class function TIndicators.CreateMean: TConstFunc<TArray<Double>, Double>;
+begin
+    Result :=
+        function(const Value: TArray<Double>): Double
+        begin
+            if Length(Value) = 0 then
+                exit(NaN);
+            Result := Value[0];
+            for var i := 1 to High(Value) do
+                Result := Result + Value[i];
+            Result := Result / Length(Value);
+        end;
+end;
+
+// Creates a MACD indicator from three provided moving average functions.
+class function TMACD.CreateMACD(const Param: TParam): TConstFunc<TInput, TResult>;
+begin
+    Result :=
+        function(const Input: TInput): TResult
+        var
+            fastVal, slowVal: Double;
+        begin
+            fastVal := Param.Fast(Input.Price);
+            slowVal := Param.Slow(Input.Price);
+
+            if IsNan(slowVal) then // slowVal will be the last one to become non-NaN
+            begin
+                Result.MacdLine := Double.NaN;
+                Result.SignalLine := Double.NaN;
+                Result.Histogram := Double.NaN;
+            end
+            else
+            begin
+                Result.MacdLine := fastVal - slowVal;
+                Result.SignalLine := Param.Signal(Result.MacdLine);
+                if not IsNan(Result.SignalLine) then
+                    Result.Histogram := Result.MacdLine - Result.SignalLine
+                else
+                    Result.Histogram := Double.NaN;
+            end;
+        end;
+end;
+
+constructor TEMA.Create;
+begin
+    inherited
+        Create(TDataRecord.TLayout.CreateFrom<TParam>, TDataRecord.TLayout.CreateFrom<TInput>, TDataRecord.TLayout.CreateFrom<TResult>)
+end;
+
+function TEMA.CreateIndicator(const Params: TDataRecord): TIndicatorFactory.TFunc;
+begin
+    var Period := Params.GetValue<Integer>('Period');
+
+    var Input := TDataRecord.TLayout.CreateFrom<TInput>;
+    var inPrice := Input.IndexOf('Price');
+
+    var Output := TDataRecord.TLayout.CreateFrom<TResult>;
+    var outMA := Output.IndexOf('MA');
+
+    var CalcEMA := TIndicators.CreateEMA(Period);
+
+    Result :=
+        function(const Input: TDataRecord): TDataRecord
+        begin
+            var Price: Double;
+            Input.GetValue(inPrice, Price);
+
+            var MA := CalcEMA(Price);
+
+            Result := TDataRecord.CreateFrom(Output);
+            Result.SetValue(outMA, MA);
+        end;
+end;
+
+constructor TIndicatorFactory.Create(const AParams, AInput, AOutput: TDataRecord.TLayout);
+begin
+    inherited Create;
+    FParams := AParams;
+    FInput := AInput;
+    FOutput := AOutput;
+end;
+
+initialization
+    Registry := TList<TIndicatorFactory>.Create;
+    Registry.Add(TEMA.Create);
+
+finalization
+    Registry.Free;
+
 end.