MycLib/Src/Myc.Trade.DataPoint.pas

unit Myc.Trade.DataPoint;

interface

type
    // A data record for an Ask/Bid price pair.
    TAskBidItem = packed record
        Ask: Single;
        Bid: Single;
        constructor Create(AAsk, ABid: Single);
    end;

    // Represents a time-stamped data point in a series.
    TDataPoint<T> = record
        Time: TDateTime;
        Data: T;
        constructor Create(ATime: TDateTime; const AData: T);
    end;

    // A time-ordered series of data points, optimized for chronological additions.
    // The most recently added element has the logical index 0.
    IDataSeries<T> = interface
        function GetCount: Int64;
        function GetItems(Idx: Int64): TDataPoint<T>;
        function GetTotalCount: Int64;
        property Count: Int64 read GetCount;
        // Accesses data points by their logical index.
        // Index 0 is the newest element, Index (Count - 1) is the oldest.
        property Items[Idx: Int64]: TDataPoint<T> read GetItems; default;
        // The total number of items ever added to the series.
        property TotalCount: Int64 read GetTotalCount;
    end;

    IDataArray<T> = interface(IDataSeries<T>)
        procedure Add(const Data: TDataPoint<T>); overload;
        procedure Add(const Data: array of TDataPoint<T>; NumToAdd: Integer = -1); overload;
        procedure Clear;
    end;

    // Interface Helper for IDataSeries<T>.
    // Provides a safe, value-type-like wrapper around the interface.
    TDataSeries<T> = record
    strict private
        class var
            FNull: IDataSeries<T>;
    private
        FDataSeries: IDataSeries<T>;
        FMaxLookback: Int64;
        class constructor CreateClass;
        function GetCount: Int64;
        function GetItems(Idx: Int64): TDataPoint<T>;
        function GetData(Idx: Int64): T;
        function GetTime(Idx: Int64): TDateTime;
        function GetMaxLookback: Int64;
        function GetTotalCount: Int64;
    public
        constructor Create(ADataSeries: IDataSeries<T>);

        class operator Initialize(out Dest: TDataSeries<T>);
        class operator Finalize(var Dest: TDataSeries<T>);

        class operator Implicit(const A: TDataSeries<T>): IDataSeries<T>;
        class operator Implicit(const A: IDataSeries<T>): TDataSeries<T>;

        class function CreateArray(MaxLookback: Int64): IDataArray<T>; static;

        // Searches for a data point by its timestamp.
        // Returns the logical index of the matching item.
        // If no exact match, returns the index of the item immediately preceding the timestamp.
        // Returns -1 if the timestamp is before the oldest item in the series.
        function IndexOf(TimeStamp: TDateTime): Int64;

        class property Null: IDataSeries<T> read FNull;
        property Count: Int64 read GetCount;
        property Items[Idx: Int64]: TDataPoint<T> read GetItems; default;
        property Data[Idx: Int64]: T read GetData;
        property Time[Idx: Int64]: TDateTime read GetTime;
        property MaxLookback: Int64 read GetMaxLookback;
        property TotalCount: Int64 read GetTotalCount;
    end;

implementation

uses
    Myc.Trade.Core.DataPoint;

{ TAskBidItem }

constructor TAskBidItem.Create(AAsk, ABid: Single);
begin
    Ask := AAsk;
    Bid := ABid;
end;

{ TDataPoint<T> }

constructor TDataPoint<T>.Create(ATime: TDateTime; const AData: T);
begin
    Time := ATime;
    Data := AData;
end;

{ TDataSeries<T> Interface Helper }

class constructor TDataSeries<T>.CreateClass;
begin
    FNull := TNullDataSeries<T>.Create;
end;

constructor TDataSeries<T>.Create(ADataSeries: IDataSeries<T>);
begin
    if Assigned(ADataSeries) then
        FDataSeries := ADataSeries
    else
        FDataSeries := FNull;
end;

class function TDataSeries<T>.CreateArray(MaxLookback: Int64): IDataArray<T>;
begin
    Result := TDataArray<T>.Create(MaxLookback);
end;

class operator TDataSeries<T>.Finalize(var Dest: TDataSeries<T>);
begin
    Dest.FDataSeries := nil;
end;

class operator TDataSeries<T>.Initialize(out Dest: TDataSeries<T>);
begin
    Dest.FDataSeries := FNull;
end;

class operator TDataSeries<T>.Implicit(const A: TDataSeries<T>): IDataSeries<T>;
begin
    Result := A.FDataSeries;
end;

class operator TDataSeries<T>.Implicit(const A: IDataSeries<T>): TDataSeries<T>;
begin
    Result.Create(A);
end;

function TDataSeries<T>.GetCount: Int64;
begin
    Result := FDataSeries.GetCount;
end;

function TDataSeries<T>.GetItems(Idx: Int64): TDataPoint<T>;
begin
    Result := FDataSeries[Idx];
end;

function TDataSeries<T>.GetData(Idx: Int64): T;
begin
    Result := FDataSeries[Idx].Data;
end;

function TDataSeries<T>.GetTime(Idx: Int64): TDateTime;
begin
    Result := FDataSeries[Idx].Time;
end;

function TDataSeries<T>.GetMaxLookback: Int64;
begin
    Result := FMaxLookback;
end;

function TDataSeries<T>.GetTotalCount: Int64;
begin
    Result := FDataSeries.GetTotalCount;
end;

function TDataSeries<T>.IndexOf(TimeStamp: TDateTime): Int64;
var
    low, high, mid: Int64;
    dataPointTime: TDateTime;
begin
    Result := -1;
    if Count = 0 then
        Exit;

    low := 0;
    high := Count - 1;

    while (low <= high) do
    begin
        mid := low + (high - low) div 2;
        dataPointTime := GetItems(mid).Time; // Use GetItems to stay within the class

        if (dataPointTime = TimeStamp) then
        begin
            Result := mid;
            break;
        end
        else if (dataPointTime < TimeStamp) then
        begin
            Result := mid;
            high := mid - 1;
        end
        else
        begin
            low := mid + 1;
        end;
    end;
end;

end.