MycLib/Src/Myc.Trade.DataProvider.pas

unit Myc.Trade.DataProvider;

interface

uses
    Myc.Signals,
    Myc.Lazy,
    Myc.Trade.DataPoint,
    Myc.Trade.DataStream;

type
    TDataStreamProvider<T> = class(TInterfacedObject, TMutable<TDataSeries<T>>.IMutable)
    private
        FStream: IDataStream<T>;
        FDataSeries: TDataSeries<T>;
        FNewDataAvailable: TFlag;
        FChunk: TArray<TDataPoint<T>>;
        FLookback: Int64;
        function GetChanged: TSignal;
        function GetValue: TDataSeries<T>;
    public
        constructor Create(ALookback, AMaxChunkSize: Int64; const AStream: IDataStream<T>);
        destructor Destroy; override;
    end;

    TDataStreamProvider = record
        class function Create<T>(Lookback, MaxChunkSize: Int64; const Stream: IDataStream<T>): TMutable<TDataSeries<T>>; static;
    end;

implementation

{ TDataStreamProvider<T> }

constructor TDataStreamProvider<T>.Create(ALookback, AMaxChunkSize: Int64; const AStream: IDataStream<T>);
begin
    inherited Create;
    FLookback := ALookback;
    SetLength(FChunk, AMaxChunkSize);
    FStream := AStream;
    FNewDataAvailable := TFlag.CreateObserver(FStream.HasData);
    FDataSeries := TDataSeries<T>.CreateDataSeries(ALookback);
end;

destructor TDataStreamProvider<T>.Destroy;
begin
    inherited;
end;

function TDataStreamProvider<T>.GetChanged: TSignal;
begin
    Result := FStream.HasData;
end;

function TDataStreamProvider<T>.GetValue: TDataSeries<T>;
begin
    if FNewDataAvailable.Reset then
    begin
        var cnt := FStream.GetChunk(FChunk);
        if cnt > 0 then
            FDataSeries := FDataSeries.Add(FChunk, 0, cnt);
    end;
    Result := FDataSeries;
end;

{ TDataStreamProvider }

class function TDataStreamProvider.Create<T>(Lookback, MaxChunkSize: Int64; const Stream: IDataStream<T>): TMutable<TDataSeries<T>>;
begin
    Result := TDataStreamProvider<T>.Create(Lookback, MaxChunkSize, Stream);
end;

end.