Indicator with new types
This commit is contained in:
@@ -8,7 +8,7 @@ uses
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TestModule in 'TestModule.pas',
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DynamicFMXControl in 'DynamicFMXControl.pas',
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Myc.Trade.Pipeline.Impl in '..\Src\Myc.Trade.Pipeline.Impl.pas',
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Myc.Trade.Indicators in '..\Src\Myc.Trade.Indicators.pas',
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Myc.Trade.Indicators_v2 in '..\Src\Myc.Trade.Indicators_v2.pas',
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Strategy2 in 'Strategy2.pas';
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{$R *.res}
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@@ -70,7 +70,7 @@
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<Icon_MainIcon>$(BDS)\bin\delphi_PROJECTICON.ico</Icon_MainIcon>
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<Icns_MainIcns>$(BDS)\bin\delphi_PROJECTICNS.icns</Icns_MainIcns>
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<SanitizedProjectName>AuraTrader</SanitizedProjectName>
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<DCC_UnitSearchPath>T:\Myc\Src;$(DCC_UnitSearchPath)</DCC_UnitSearchPath>
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<DCC_UnitSearchPath>T:\Myc\Src;T:\Myc\Src\Data;$(DCC_UnitSearchPath)</DCC_UnitSearchPath>
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<VerInfo_Locale>1031</VerInfo_Locale>
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<VerInfo_Keys>CompanyName=;FileDescription=$(MSBuildProjectName);FileVersion=1.0.0.0;InternalName=;LegalCopyright=;LegalTrademarks=;OriginalFilename=;ProgramID=com.embarcadero.$(MSBuildProjectName);ProductName=$(MSBuildProjectName);ProductVersion=1.0.0.0;Comments=</VerInfo_Keys>
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</PropertyGroup>
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@@ -138,7 +138,7 @@
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<DCCReference Include="TestModule.pas"/>
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<DCCReference Include="DynamicFMXControl.pas"/>
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<DCCReference Include="..\Src\Myc.Trade.Pipeline.Impl.pas"/>
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<DCCReference Include="..\Src\Myc.Trade.Indicators.pas"/>
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<DCCReference Include="..\Src\Myc.Trade.Indicators_v2.pas"/>
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<DCCReference Include="Strategy2.pas"/>
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<BuildConfiguration Include="Base">
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<Key>Base</Key>
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@@ -0,0 +1,626 @@
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unit Myc.Trade.Indicators_V2;
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interface
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{$M+}
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uses
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System.TypInfo,
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System.Rtti,
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Myc.Data.Pipeline,
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Myc.Data.Types,
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System.Classes;
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type
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TIndicatorFactoryProc<TParams, TArgs, TResult> = reference to function(const Params: TParams): TConvertFunc<TArgs, TResult>;
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(*
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Sample definition of an indicator template:
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type
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[IndicatorName('HMA', 'Hull Moving Average')]
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[IndicatorHint('A fast, smooth moving average that minimizes lag.')]
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THMA = class
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type
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TParams = record
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Period: Integer;
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end;
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TArgs = record
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Value: Double;
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end;
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TResult = record
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HMA: Double;
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end;
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[IndicatorFactory]
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class function CreateFactory: TIndicatorFactoryProc<TParams, TArgs, TResult>; static;
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// Hard coded version:
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class function CreateHMA( Period: Integer ): TConvertFunc<Double, Double>; static;
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end;
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*)
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IndicatorFactoryAttribute = class(TCustomAttribute);
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// Attribute to provide a short and a long name for an indicator.
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IndicatorNameAttribute = class(TCustomAttribute)
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private
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FName: string;
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FShortName: string;
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public
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constructor Create(const AShortName, AName: string);
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property ShortName: string read FShortName;
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property Name: string read FName;
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end;
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// Attribute to provide a descriptive hint for an indicator.
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IndicatorHintAttribute = class(TCustomAttribute)
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private
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FHint: string;
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public
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constructor Create(const AHint: string);
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property Hint: string read FHint;
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end;
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TFieldDef = record
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public
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Identifier: String;
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// Use the custom type system instead of PTypeInfo.
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DataType: IDataType;
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end;
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TFieldLayout = TArray<TFieldDef>;
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// Interface for creating an indicator instance. Only contains functional aspects.
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IIndicatorFactory = interface
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function GetParamType: IDataType;
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function GetArgType: IDataType;
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function GetResultType: IDataType;
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function CreateIndicator(const Params: IDataValue): TConvertFunc<IDataValue, IDataValue>;
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// Provides direct access to the type information of parameters, arguments, and results.
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property ParamType: IDataType read GetParamType;
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property ArgType: IDataType read GetArgType;
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property ResultType: IDataType read GetResultType;
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end;
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TGenericIndicatorFactory = class(TInterfacedObject, IIndicatorFactory)
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private
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FFactoryProc: TIndicatorFactoryProc<IDataValue, IDataValue, IDataValue>;
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FName: String;
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FShortName: String;
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FHint: String;
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FParamType: IDataType;
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FArgType: IDataType;
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FResultType: IDataType;
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public
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constructor Create(
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const AFactoryProc: TIndicatorFactoryProc<IDataValue, IDataValue, IDataValue>;
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const AShortName, AName, AHint: String;
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const AParamType, AArgType, AResultType: IDataType
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);
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// IIndicatorFactory
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function GetParamType: IDataType;
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function GetArgType: IDataType;
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function GetResultType: IDataType;
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function CreateIndicator(const Params: IDataValue): TConvertFunc<IDataValue, IDataValue>; overload;
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class function CreateFromTemplate<T>: TGenericIndicatorFactory;
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function CreateIndicator<TParams, TArgs, TResult>(const Params: TParams): TConvertFunc<TArgs, TResult>; overload;
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property Name: String read FName;
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property ShortName: String read FShortName;
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property Hint: String read FHint;
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end;
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TIndicatorRegistry = class
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public
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// Represents a registered indicator, combining the factory with its metadata.
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type
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TItem = class
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private
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FFactory: IIndicatorFactory;
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FName: string;
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FShortName: string;
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FHint: string;
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public
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constructor Create(const AFactory: IIndicatorFactory; const AShortName, AName, AHint: string);
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function CreateIndicator<TParams, TArgs, TResult>(const Params: TParams): TConvertFunc<TArgs, TResult>; overload;
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property Factory: IIndicatorFactory read FFactory;
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property Name: string read FName;
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property ShortName: string read FShortName;
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property Hint: string read FHint;
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end;
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private
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FItems: TArray<TItem>;
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public
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constructor Create;
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destructor Destroy; override;
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// Writes the contents of the registry (just like the log)
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procedure LogRegistry(const Log: TStrings);
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// Register indicator from a template class
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procedure RegisterTemplate<TIndicatorTemplate>;
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// Register a pre-built indicator factory
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procedure RegisterIndicator(const Factory: IIndicatorFactory; const ShortName, Name, Hint: String);
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// Find a registered factory by its short name
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function Find(const ShortName: string): TItem;
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// Provides read-only access to the list of all registered indicator items
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property Items: TArray<TItem> read FItems;
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end;
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var
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IndicatorRegistry: TIndicatorRegistry;
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function DataValueFromTValue(const aValue: TValue): IDataValue;
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function DataTypeFromRttiType(const Ctx: TRttiContext; rttiType: TRttiType): TDataType;
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implementation
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uses
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System.SysUtils;
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// =================================================================================================
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// == Helper functions for type conversion
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// =================================================================================================
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// Converts an RTTI type object into an IDataType from the custom type system.
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function DataTypeFromRttiType(const Ctx: TRttiContext; rttiType: TRttiType): TDataType;
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begin
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if not Assigned(rttiType) then
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begin
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Result := nil;
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exit;
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end;
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case rttiType.TypeKind of
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tkInteger, tkInt64, tkEnumeration: Result := TDataType.Ordinal;
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tkFloat: Result := TDataType.Float;
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tkString, tkUString: Result := TDataType.Text;
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tkRecord:
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begin
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var rttiRecord := rttiType as TRttiRecordType;
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var recordFields := TArray<TRecordField>.Create();
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for var rttiField in rttiRecord.GetFields do
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begin
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var fieldType := DataTypeFromRttiType(Ctx, rttiField.FieldType);
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recordFields := recordFields + [TRecordField.Create(rttiField.Name, fieldType)];
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end;
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Result := TDataType.RecordOf(recordFields);
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end;
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else
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raise ENotSupportedException.CreateFmt(
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'Unsupported RTTI TypeKind "%s" for indicator templates.',
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[GetEnumName(TypeInfo(TTypeKind), Ord(rttiType.TypeKind))]);
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end;
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end;
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// Converts a TValue into an IDataValue. This is the bridge from RTTI to the custom type system.
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function DataValueFromTValue(const aValue: TValue): IDataValue;
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var
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ctx: TRttiContext;
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begin
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if aValue.IsEmpty then
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begin
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Result := nil;
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exit;
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end;
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case aValue.Kind of
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tkInteger, tkInt64, tkEnumeration: Result := TDataValue.FromOrdinal(aValue.AsInt64);
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tkFloat: Result := TDataValue.FromFloat(aValue.AsExtended);
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tkString, tkUString: Result := TDataValue.FromText(aValue.AsString);
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tkRecord:
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begin
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ctx := TRttiContext.Create;
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var rttiRecordType := ctx.GetType(aValue.TypeInfo) as TRttiRecordType;
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var recordDataType := DataTypeFromRttiType(ctx, rttiRecordType);
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var items: TArray<IDataValue>;
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var fields := rttiRecordType.GetFields;
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SetLength(items, Length(fields));
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var dataPtr := aValue.GetReferenceToRawData;
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for var i := 0 to High(fields) do
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items[i] := DataValueFromTValue(fields[i].GetValue(dataPtr));
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Result := recordDataType.AsRecord.CreateValue(items);
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end;
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else
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raise ENotSupportedException
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.CreateFmt('Unsupported TValue Kind "%s" for indicator templates.', [GetEnumName(TypeInfo(TTypeKind), Ord(aValue.Kind))]);
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end;
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end;
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constructor IndicatorNameAttribute.Create(const AShortName, AName: string);
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begin
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inherited Create;
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FShortName := AShortName;
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FName := AName;
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end;
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constructor IndicatorHintAttribute.Create(const AHint: string);
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begin
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inherited Create;
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FHint := AHint;
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end;
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{ TGenericIndicatorFactory }
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constructor TGenericIndicatorFactory.Create(
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const AFactoryProc: TIndicatorFactoryProc<IDataValue, IDataValue, IDataValue>;
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const AShortName, AName, AHint: String;
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const AParamType, AArgType, AResultType: IDataType
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);
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begin
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inherited Create;
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FFactoryProc := AFactoryProc;
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FShortName := AShortName;
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FName := AName;
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FHint := AHint;
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FParamType := AParamType;
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FArgType := AArgType;
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FResultType := AResultType;
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end;
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class function TGenericIndicatorFactory.CreateFromTemplate<T>: TGenericIndicatorFactory;
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var
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Ctx: TRttiContext;
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rttiType: TRttiType;
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paramsDataType, argsDataType, resultDataType: IDataType;
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templateFactoryMethod: TRttiMethod;
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factoryProc: TIndicatorFactoryProc<IDataValue, IDataValue, IDataValue>;
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shortName, name, hint: string;
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begin
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// This function creates a generic factory from a template class.
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// It uses RTTI to find the necessary types by inspecting the factory method signature,
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// and then constructs a set of wrappers to adapt the specific types of the template
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// to the generic IDataValue used by this factory.
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Ctx := TRttiContext.Create;
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rttiType := Ctx.GetType(TypeInfo(T));
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// Find the static factory method marked with the [IndicatorFactory] attribute.
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templateFactoryMethod := nil;
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for var method in rttiType.GetMethods do
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begin
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if method.HasAttribute<IndicatorFactoryAttribute> then
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begin
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templateFactoryMethod := method;
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break;
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end;
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end;
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if not Assigned(templateFactoryMethod) then
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raise EArgumentException.CreateFmt('[IndicatorFactory] attribute not found on any method in "%s"', [rttiType.Name]);
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// Ensure the found method has the expected signature of a TIndicatorFactoryProc<>.
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// If any part of the signature check fails, raise an exception.
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var returnType := templateFactoryMethod.ReturnType;
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var rttiFactoryProcType, rttiIndicatorProcType: TRttiInterfaceType;
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var factoryInvoke, indicatorInvoke: TRttiMethod;
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try
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// Level 1: Factory method signature
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if not ((templateFactoryMethod.MethodKind in [mkFunction, mkClassFunction])
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and (Length(templateFactoryMethod.GetParameters) = 0)
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and Assigned(returnType)
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and (returnType.TypeKind = tkInterface)) then
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raise EArgumentException.Create('factory creator');
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// Level 2: Factory procedure signature
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rttiFactoryProcType := returnType as TRttiInterfaceType;
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factoryInvoke := rttiFactoryProcType.GetMethod('Invoke');
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if not (Assigned(factoryInvoke)
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and (Length(factoryInvoke.GetParameters) = 1)
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and (pfConst in factoryInvoke.GetParameters[0].Flags)
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and (factoryInvoke.GetParameters[0].ParamType.TypeKind = tkRecord)
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and Assigned(factoryInvoke.ReturnType)
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and (factoryInvoke.ReturnType.TypeKind = tkInterface)) then
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raise EArgumentException.Create('factory');
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// Level 3: Indicator procedure signature
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rttiIndicatorProcType := factoryInvoke.ReturnType as TRttiInterfaceType;
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indicatorInvoke := rttiIndicatorProcType.GetMethod('Invoke');
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if not (Assigned(indicatorInvoke)
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and (Length(indicatorInvoke.GetParameters) = 1)
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and (pfConst in indicatorInvoke.GetParameters[0].Flags)
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and (indicatorInvoke.GetParameters[0].ParamType.TypeKind = tkRecord)
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and Assigned(indicatorInvoke.ReturnType)
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and (indicatorInvoke.ReturnType.TypeKind = tkRecord)) then
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raise EArgumentException.Create('indicator');
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except
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on E: EArgumentException do
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raise EArgumentException.CreateFmt(
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'Method "%s" marked with [IndicatorFactory] has an invalid %s signature. It has to match TIndicatorFactoryProc<>.',
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[templateFactoryMethod.ToString, E.Message]);
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end;
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// Convert RTTI types to IDataType from our custom type system.
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paramsDataType := DataTypeFromRttiType(Ctx, factoryInvoke.GetParameters[0].ParamType);
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argsDataType := DataTypeFromRttiType(Ctx, indicatorInvoke.GetParameters[0].ParamType);
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resultDataType := DataTypeFromRttiType(Ctx, indicatorInvoke.ReturnType);
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// Extract metadata from attributes on the template type T.
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shortName := '';
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name := '';
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hint := '';
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for var attr in rttiType.GetAttributes do
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begin
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if attr is IndicatorNameAttribute then
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begin
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// Read properties from IndicatorNameAttribute.
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var nameAttr := attr as IndicatorNameAttribute;
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shortName := nameAttr.ShortName;
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name := nameAttr.Name;
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end
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else if attr is IndicatorHintAttribute then
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begin
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// Read property from IndicatorHintAttribute.
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var hintAttr := attr as IndicatorHintAttribute;
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hint := hintAttr.Hint;
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end;
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end;
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// Apply default value for ShortName if it wasn't provided via attribute.
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if shortName.IsEmpty then
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begin
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shortName := rttiType.Name;
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end;
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// Create the main factory procedure. This is a double-nested anonymous method
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// that wraps the template's specific factory and worker functions.
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factoryProc :=
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function(const Params: IDataValue): TConvertFunc<IDataValue, IDataValue>
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begin
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// Outer anonymous method: This is the factory proc.
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// It gets called with an IDataValue wrapping the parameters record.
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// 1. Invoke the template's static factory method (e.g., TMyWorker.CreateFactory)
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var factoryProcVal := templateFactoryMethod.Invoke(TValue.Empty, []);
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// 2. Invoke the factory proc itself to get the actual worker proc.
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var rttiFactoryProc := Ctx.GetType(factoryProcVal.TypeInfo) as TRttiInterfaceType;
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var currentFactoryInvoke := rttiFactoryProc.GetMethod('Invoke');
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// The parameter for this 'Invoke' call is the TParams record.
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// Convert incoming IDataValue 'Params' into a TValue for the call.
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var paramsAsTValue := Params.AsTValue;
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// This call returns the worker proc (e.g., a TConvertFunc<TArgs, TResult>) as a TValue.
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var workerProcVal := currentFactoryInvoke.Invoke(factoryProcVal, [paramsAsTValue]);
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// 3. Return a new anonymous method that wraps the worker proc.
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// This wrapper conforms to the generic TConvertFunc<IDataValue, IDataValue> signature.
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var rttiWorkerProc := Ctx.GetType(workerProcVal.TypeInfo);
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var currentIndicatorInvoke := rttiWorkerProc.GetMethod('Invoke');
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Result :=
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function(const Args: IDataValue): IDataValue
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begin
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// Inner anonymous method: This is the actual indicator proc wrapper.
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// Convert input from IDataValue to TValue.
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var argsAsTValue := Args.AsTValue;
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// Invoke the actual indicator proc.
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var resultAsTValue := currentIndicatorInvoke.Invoke(workerProcVal, [argsAsTValue]);
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// Convert result from TValue back to IDataValue.
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Result := DataValueFromTValue(resultAsTValue);
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end;
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end;
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// Create the final factory instance with all type handles and extracted metadata.
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Result := TGenericIndicatorFactory.Create(factoryProc, shortName, name, hint, paramsDataType, argsDataType, resultDataType);
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end;
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function TGenericIndicatorFactory.GetParamType: IDataType;
|
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begin
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Result := FParamType;
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end;
|
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|
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function TGenericIndicatorFactory.GetArgType: IDataType;
|
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begin
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Result := FArgType;
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end;
|
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|
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function TGenericIndicatorFactory.GetResultType: IDataType;
|
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begin
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Result := FResultType;
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end;
|
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|
||||
function TGenericIndicatorFactory.CreateIndicator(const Params: IDataValue): TConvertFunc<IDataValue, IDataValue>;
|
||||
begin
|
||||
Result := FFactoryProc(Params);
|
||||
end;
|
||||
|
||||
function TGenericIndicatorFactory.CreateIndicator<TParams, TArgs, TResult>(const Params: TParams): TConvertFunc<TArgs, TResult>;
|
||||
begin
|
||||
var paramsAsTValue := TValue.From<TParams>(Params);
|
||||
var paramsAsDataValue := DataValueFromTValue(paramsAsTValue);
|
||||
var cIndicator := FFactoryProc(paramsAsDataValue);
|
||||
|
||||
Result :=
|
||||
function(const Args: TArgs): TResult
|
||||
begin
|
||||
var argsAsTValue := TValue.From<TArgs>(Args);
|
||||
var argsAsDataValue := DataValueFromTValue(argsAsTValue);
|
||||
var resultAsDataValue := cIndicator(argsAsDataValue);
|
||||
var resultAsTValue := resultAsDataValue.AsTValue;
|
||||
Result := resultAsTValue.AsType<TResult>;
|
||||
end;
|
||||
end;
|
||||
|
||||
{ TIndicatorRegistry.TItem }
|
||||
|
||||
constructor TIndicatorRegistry.TItem.Create(const AFactory: IIndicatorFactory; const AShortName, AName, AHint: string);
|
||||
begin
|
||||
inherited Create;
|
||||
FFactory := AFactory;
|
||||
FShortName := AShortName;
|
||||
FName := AName;
|
||||
FHint := AHint;
|
||||
end;
|
||||
|
||||
function TIndicatorRegistry.TItem.CreateIndicator<TParams, TArgs, TResult>(const Params: TParams): TConvertFunc<TArgs, TResult>;
|
||||
begin
|
||||
// Convert typed params to IDataValue for the factory call.
|
||||
var paramsAsTValue := TValue.From<TParams>(Params);
|
||||
var paramsAsDataValue := DataValueFromTValue(paramsAsTValue);
|
||||
var cIndicator := FFactory.CreateIndicator(paramsAsDataValue);
|
||||
|
||||
// Return a wrapper that handles the conversion for args and result.
|
||||
Result :=
|
||||
function(const Args: TArgs): TResult
|
||||
begin
|
||||
var argsAsTValue := TValue.From<TArgs>(Args);
|
||||
var argsAsDataValue := DataValueFromTValue(argsAsTValue);
|
||||
var resultAsDataValue := cIndicator(argsAsDataValue);
|
||||
var resultAsTValue := resultAsDataValue.AsTValue;
|
||||
Result := resultAsTValue.AsType<TResult>;
|
||||
end;
|
||||
end;
|
||||
|
||||
{ TIndicatorRegistry }
|
||||
|
||||
constructor TIndicatorRegistry.Create;
|
||||
begin
|
||||
inherited;
|
||||
FItems := nil;
|
||||
end;
|
||||
|
||||
destructor TIndicatorRegistry.Destroy;
|
||||
var
|
||||
item: TItem;
|
||||
begin
|
||||
for item in FItems do
|
||||
item.Free;
|
||||
FItems := nil;
|
||||
inherited;
|
||||
end;
|
||||
|
||||
function TIndicatorRegistry.Find(const ShortName: string): TIndicatorRegistry.TItem;
|
||||
begin
|
||||
for var item in FItems do
|
||||
begin
|
||||
if SameText(item.ShortName, ShortName) then
|
||||
begin
|
||||
Result := item;
|
||||
exit;
|
||||
end;
|
||||
end;
|
||||
Result := nil;
|
||||
end;
|
||||
|
||||
procedure TIndicatorRegistry.LogRegistry(const Log: TStrings);
|
||||
var
|
||||
item: TItem;
|
||||
|
||||
// Generates a field layout from a data type.
|
||||
function LayoutFromDataType(DataType: IDataType): TFieldLayout;
|
||||
var
|
||||
recordType: IDataRecordType;
|
||||
begin
|
||||
if (not Assigned(DataType)) or (DataType.Kind <> TDataKind.dkRecord) then
|
||||
begin
|
||||
SetLength(Result, 0);
|
||||
exit;
|
||||
end;
|
||||
|
||||
recordType := TDataType.Create(DataType).AsRecord;
|
||||
SetLength(Result, recordType.FieldCount);
|
||||
for var i := 0 to recordType.FieldCount - 1 do
|
||||
begin
|
||||
Result[i].Identifier := recordType[i].Name;
|
||||
Result[i].DataType := recordType[i].DataType;
|
||||
end;
|
||||
end;
|
||||
|
||||
procedure DoLog(const Txt: String);
|
||||
begin
|
||||
Log.Add(Txt);
|
||||
end;
|
||||
|
||||
procedure LogLayout(const LayoutName: string; const Layout: TFieldLayout);
|
||||
var
|
||||
field: TFieldDef;
|
||||
begin
|
||||
DoLog(Format(' %s:', [LayoutName]));
|
||||
if Length(Layout) = 0 then
|
||||
begin
|
||||
DoLog(' (none)');
|
||||
end
|
||||
else
|
||||
begin
|
||||
for field in Layout do
|
||||
DoLog(Format(' - %s: %s', [field.Identifier, field.DataType.Name]));
|
||||
end;
|
||||
end;
|
||||
|
||||
begin
|
||||
if not Assigned(Log) then
|
||||
exit;
|
||||
|
||||
Log.Clear;
|
||||
DoLog(Format('Indicator Registry Content (%d items)', [Length(FItems)]));
|
||||
DoLog('==========================================');
|
||||
DoLog('');
|
||||
|
||||
if Length(FItems) = 0 then
|
||||
begin
|
||||
DoLog('(Registry is empty)');
|
||||
exit;
|
||||
end;
|
||||
|
||||
for item in FItems do
|
||||
begin
|
||||
DoLog(Format('Indicator "%s" (%s)', [item.Name, item.ShortName]));
|
||||
if not item.Hint.IsEmpty then
|
||||
DoLog(Format(' Hint: %s', [item.Hint]));
|
||||
|
||||
// Generate layouts on-the-fly from the factory's type info.
|
||||
LogLayout('Params', LayoutFromDataType(item.Factory.ParamType));
|
||||
LogLayout('Args', LayoutFromDataType(item.Factory.ArgType));
|
||||
LogLayout('Result', LayoutFromDataType(item.Factory.ResultType));
|
||||
DoLog('');
|
||||
end;
|
||||
end;
|
||||
|
||||
procedure TIndicatorRegistry.RegisterIndicator(const Factory: IIndicatorFactory; const ShortName, Name, Hint: String);
|
||||
var
|
||||
item: TItem;
|
||||
begin
|
||||
if Assigned(Find(ShortName)) then
|
||||
raise EArgumentException.CreateFmt('Indicator with ShortName "%s" is already registered.', [ShortName]);
|
||||
|
||||
// Create the registry item and add it to the list.
|
||||
item := TItem.Create(Factory, ShortName, Name, Hint);
|
||||
var i := Length(FItems);
|
||||
SetLength(FItems, i + 1);
|
||||
FItems[i] := item;
|
||||
end;
|
||||
|
||||
procedure TIndicatorRegistry.RegisterTemplate<TIndicatorTemplate>;
|
||||
begin
|
||||
// Create the factory object, which holds both the factory interface and the metadata properties.
|
||||
var factory := TGenericIndicatorFactory.CreateFromTemplate<TIndicatorTemplate>;
|
||||
// Pass the factory interface and the metadata properties to the core registration method.
|
||||
RegisterIndicator(factory, factory.ShortName, factory.Name, factory.Hint);
|
||||
end;
|
||||
|
||||
initialization
|
||||
IndicatorRegistry := TIndicatorRegistry.Create;
|
||||
|
||||
finalization
|
||||
IndicatorRegistry.Free;
|
||||
|
||||
end.
|
||||
Reference in New Issue
Block a user