Michael Schimmel
819 lines
26 KiB
ObjectPascal
819 lines
26 KiB
ObjectPascal
unit Myc.Trade.DataPoint.Impl;
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interface
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uses
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System.SysUtils,
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System.SyncObjs,
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Myc.Signals,
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Myc.Mutable,
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Myc.Core.Notifier,
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Myc.Trade.Types,
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Myc.Trade.DataArray,
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Myc.Trade.DataPoint;
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type
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// Abstract base class for data consumers.
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TMycProcessor<T> = class abstract(TInterfacedObject, IMycProcessor<T>)
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protected
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function Execute(const Value: T; const Proc: TConstFunc<T, TState>): TState;
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function ProcessData(const Value: T): TState; virtual; abstract;
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end;
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// Concrete data provider that manages a list of processors (listeners).
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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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constructor Create(const Controller: IInterface);
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destructor Destroy; override;
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// Notifies all linked processors.
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function Broadcast(const Value: T): TState;
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// Link a Processor
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function Link(const Processor: IMycProcessor<T>): TDataProvider<T>.TTag;
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// Unlink a linked strategy
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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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function Link(const Receiver: IMycProcessor<T>): TDataProvider<T>.TTag;
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procedure Unlink(Tag: TDataProvider<T>.TTag);
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end;
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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: 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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// Broadcasts the given data to all linked processors.
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function Broadcast(const Value: T): TState;
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public
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constructor Create;
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destructor Destroy; override;
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property Sender: TDataProvider<T>.IDataProvider read GetSender;
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end;
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// Null object implementation for IConverter.
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TNullConverter<S, T> = class(TInterfacedObject, TConverter<S, T>.IConverter)
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private
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function GetSender: TDataProvider<T>.IDataProvider;
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public
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function ProcessData(const Value: S): TState;
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end;
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// A generic converter that uses a function reference for the conversion logic.
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TMycGenericConverter<S, T> = class(TMycConverter<S, T>)
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private
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FFunc: TConstFunc<S, T>;
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protected
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function ProcessData(const Value: S): TState; override;
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public
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constructor Create(const AFunc: TConstFunc<S, T>);
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end;
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TMycGenericParallelConverter<S, T> = class(TMycConverter<S, T>)
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private
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FFunc: TConstFunc<S, T>;
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FQueue: TState;
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protected
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function ProcessData(const Value: S): TState; override;
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public
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constructor Create(const AFunc: TConstFunc<S, T>);
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end;
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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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function ProcessData(const Value: S): TState; override; final;
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function Calculate(const Value: S): T; virtual; abstract;
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end;
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// A converter that counts incoming data points and outputs the current count.
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TMycDataCounter<T> = class(TMycConverter<T, Int64>)
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private
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FCount: Int64;
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protected
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function ProcessData(const Value: T): TState; override;
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public
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constructor Create;
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end;
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// A converter that takes an array and broadcasts each element individually.
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TMycTicker<T> = class(TMycConverter<TArray<T>, T>)
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public
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function ProcessData(const Values: TArray<T>): TState; override;
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end;
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// A converter that reads a specific field from a record using RTTI.
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TMycRecordFieldReader<S, T> = class(TMycConverter<S, T>)
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private
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FOffset: Integer;
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public
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constructor Create(const AFieldName: String);
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function ProcessData(const Values: S): TState; override;
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end;
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// A generic processor implementation that uses a function reference.
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TMycGenericProcessor<T> = class(TMycProcessor<T>)
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private
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FProc: TConstFunc<T, TState>;
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protected
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function ProcessData(const Value: T): TState; override; final;
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public
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constructor Create(const AProc: TConstFunc<T, TState>);
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end;
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// A processor implementation that is owned by a controller.
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TMycContainedProcessor<T> = class(TContainedObject, IMycProcessor<T>)
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type
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TProc = function(const Value: T): TState of object;
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private
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FProc: TProc;
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function ProcessData(const Value: T): TState;
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public
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constructor Create(const Controller: IInterface; const AProc: TProc);
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end;
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// Endpoint that collects data into a series.
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TMycDataEndpoint<T> = class(TInterfacedObject, TMutable<TSeries<T>>.IMutable)
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type
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PItem = ^TItem;
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TItem = record
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Next: PItem;
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Value: T;
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end;
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private
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FProcessor: TMycContainedProcessor<T>;
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FTag: TDataProvider<T>.TTag;
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FDataProvider: TDataProvider<T>;
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FLookback: Int64;
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FData: TSeries<T>;
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FChanged: TEvent;
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FLock: TLightweightMREW;
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FFirst: PItem;
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function GetChanged: TSignal;
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function GetValue: TSeries<T>;
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function ProcessData(const Value: T): TState;
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public
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constructor Create(const ADataProvider: TDataProvider<T>; ALookback: Int64);
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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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TMycParallelConverter<T> = class(TMycConverter<T, T>)
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private
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FQueue: TState;
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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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TOhlcAggregation = class(TMycConverter<TDataPoint<TOhlcItem>, 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<TOhlcItem>): 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.DateUtils,
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System.Math,
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Myc.TaskManager;
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{ TMycProcessor<T> }
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function TMycProcessor<T>.Execute(const Value: T; const Proc: TConstFunc<T, TState>): TState;
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begin
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var cValue := Value;
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Result := TaskManager.RunTask(function: TState begin Result := Proc(cValue); end);
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end;
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{ TMycContainedDataProvider<T> }
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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 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 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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var item := FListeners.First;
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if item = nil then
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exit(TState.Null);
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var i := 1;
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while item.Next <> nil do
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begin
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inc(i);
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item := item.Next;
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end;
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var done := TLatch.CreateLatch(i);
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while item <> nil do
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begin
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item.Receiver.ProcessData(Value).Signal.Subscribe(done);
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item := item.Prev;
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end;
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Result := done.State;
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finally
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FListeners.Release;
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end;
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end;
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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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try
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Result := FListeners.Advise(Processor);
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finally
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FListeners.Release;
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end;
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end;
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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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FListeners.Unadvise(Tag);
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finally
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FListeners.Release;
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end;
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end;
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{ TNullDataProvider<T> }
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function TNullDataProvider<T>.Link(const Receiver: IMycProcessor<T>): TDataProvider<T>.TTag;
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begin
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Result := nil;
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end;
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procedure TNullDataProvider<T>.Unlink(Tag: TDataProvider<T>.TTag);
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begin
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// Do nothing in the null implementation.
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end;
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{ TMycConverter<S, T> }
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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 := TMycContainedDataProvider<T>.Create(Self);
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end;
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destructor TMycConverter<S, T>.Destroy;
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begin
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FSender.Free;
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inherited Destroy;
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end;
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function TMycConverter<S, T>.Broadcast(const Value: T): TState;
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begin
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Result := FSender.Broadcast(Value);
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end;
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function TMycConverter<S, T>.GetSender: TDataProvider<T>.IDataProvider;
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begin
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Result := FSender;
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end;
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{ TNullConverter<S, T> }
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function TNullConverter<S, T>.GetSender: TDataProvider<T>.IDataProvider;
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begin
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Result := TDataProvider<T>.Null;
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end;
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function TNullConverter<S, T>.ProcessData(const Value: S): TState;
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begin
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Result := TState.Null;
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end;
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{ TMycGenericConverter<S, T> }
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constructor TMycGenericConverter<S, T>.Create(const AFunc: TConstFunc<S, T>);
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begin
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inherited Create;
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FFunc := AFunc;
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end;
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function TMycGenericConverter<S, T>.ProcessData(const Value: S): TState;
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begin
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Result := Broadcast(FFunc(Value));
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end;
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{ TMycIndicator<S,T> }
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function TMycIndicator<S, T>.ProcessData(const Value: S): TState;
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begin
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Result := Execute(Value, function(const Value: S): TState begin Result := Broadcast(Calculate(Value)); end);
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end;
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{ TMycDataCounter<T> }
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constructor TMycDataCounter<T>.Create;
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begin
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inherited Create;
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FCount := 0;
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end;
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function TMycDataCounter<T>.ProcessData(const Value: T): TState;
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begin
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Result := Broadcast(FCount);
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inc(FCount);
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end;
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{ TMycTicker<T> }
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function TMycTicker<T>.ProcessData(const Values: TArray<T>): TState;
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begin
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var done := TLatch.CreateLatch(Length(Values));
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// Process each incoming data point
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for var i := 0 to High(Values) do
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Broadcast(Values[i]).Signal.Subscribe(done);
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Result := done.State;
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end;
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{ TMycRecordFieldReader<S, T> }
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constructor TMycRecordFieldReader<S, T>.Create(const AFieldName: String);
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begin
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inherited Create;
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var Context := TRttiContext.Create;
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var Field := Context.GetType(TypeInfo(S)).GetField(AFieldName);
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var TypeT := Context.GetType(TypeInfo(T));
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var Fields := Context.GetType(TypeInfo(S)).GetFields;
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var name := '';
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if AFieldName = 'Time' then
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for var i := 0 to High(Fields) do
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begin
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name := name + ' ' + Fields[i].Name;
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end;
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Assert(Assigned(Field), 'Field ' + AFieldName + ' not found');
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Assert(Field.FieldType.TypeKind = TypeT.TypeKind, 'Incorrect type');
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if Assigned(Field) and (Field.FieldType.TypeKind = TypeT.TypeKind) then
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FOffset := Field.Offset
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else
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FOffset := -1;
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end;
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function TMycRecordFieldReader<S, T>.ProcessData(const Values: S): TState;
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type
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PT = ^T;
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begin
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if FOffset < 0 then
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exit(TState.Null);
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var fieldPtr := PByte(@Values);
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inc(fieldPtr, FOffset);
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Result := Broadcast(PT(fieldPtr)^);
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end;
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{ TMycGenericProcessor<T> }
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constructor TMycGenericProcessor<T>.Create(const AProc: TConstFunc<T, TState>);
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begin
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inherited Create;
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FProc := AProc;
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end;
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function TMycGenericProcessor<T>.ProcessData(const Value: T): TState;
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begin
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Result := FProc(Value);
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end;
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{ TMycContainedProcessor<T> }
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constructor TMycContainedProcessor<T>.Create(const Controller: IInterface; const AProc: TProc);
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begin
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inherited Create(Controller);
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FProc := AProc;
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end;
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function TMycContainedProcessor<T>.ProcessData(const Value: T): TState;
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begin
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Result := FProc(Value);
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end;
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{ TMycDataEndpoint<T> }
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constructor TMycDataEndpoint<T>.Create(const ADataProvider: TDataProvider<T>; ALookback: Int64);
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begin
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inherited Create;
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FDataProvider := ADataProvider;
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FLookback := ALookback;
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FProcessor := TMycContainedProcessor<T>.Create(Self, ProcessData);
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FTag := FDataProvider.Link(FProcessor);
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end;
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destructor TMycDataEndpoint<T>.Destroy;
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begin
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FDataProvider.Unlink(FTag);
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FProcessor.Free;
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inherited;
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end;
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function TMycDataEndpoint<T>.GetChanged: TSignal;
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begin
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Result := FChanged.Signal;
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end;
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function TMycDataEndpoint<T>.GetValue: TSeries<T>;
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begin
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FLock.BeginWrite;
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try
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var cnt := 0;
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var tmp: PItem := nil;
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var item: PItem;
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while FFirst <> nil do
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begin
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item := FFirst;
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FFirst := item.Next;
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item.Next := tmp;
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tmp := item;
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inc(cnt);
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end;
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if cnt > 0 then
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begin
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var Arr: TArray<T>;
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SetLength(Arr, cnt);
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cnt := 0;
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while tmp <> nil do
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begin
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item := tmp;
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tmp := item.Next;
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Arr[cnt] := item.Value;
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inc(cnt);
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Dispose(item);
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end;
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FData := FData.Add(Arr, 0, cnt, FLookback);
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end;
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Result := FData;
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finally
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FLock.EndWrite;
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end;
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end;
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function TMycDataEndpoint<T>.ProcessData(const Value: T): TState;
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begin
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Result := TState.Null;
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FLock.BeginWrite;
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try
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var P: PItem;
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New(P);
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P.Next := FFirst;
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FFirst := P;
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P.Value := Value;
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// Add new data point, respecting the lookback period.
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// FData := FData.Add(Value, FLookback);
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finally
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FLock.EndWrite;
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end;
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FChanged.Notify;
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end;
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|
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{ TTickAggregation }
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|
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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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|
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function TTickAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
|
|
var
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baseTime: TDateTime;
|
|
begin
|
|
// Align the time grid to UTC 0:00 using functions from System.DateUtils
|
|
baseTime := RecodeMilliSecond(TimeStamp, 0);
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|
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case Timeframe of
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S: Result := baseTime;
|
|
S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
|
|
S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
|
|
S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
|
|
|
|
M: Result := RecodeSecond(baseTime, 0);
|
|
M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
|
|
M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
|
|
M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
|
|
M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
|
|
M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
|
|
M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
|
|
|
|
H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
|
|
H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
|
|
H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
|
|
H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
|
|
H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
|
|
H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
|
|
|
|
D: Result := StartOfTheDay(TimeStamp);
|
|
// D2, D3 are uncommon; this is a simple modulo-based approach relative to TDateTime's epoch.
|
|
D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
|
|
D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
|
|
|
|
W: Result := TimeStamp.StartOfTheWeek;
|
|
|
|
MN: Result := TimeStamp.StartOfTheMonth;
|
|
// Quarter alignment
|
|
MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
|
|
// Half-year alignment
|
|
MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
|
|
|
|
Y: Result := TimeStamp.StartOfTheYear;
|
|
else
|
|
// Fallback for any undefined timeframe
|
|
Result := 0;
|
|
end;
|
|
end;
|
|
|
|
function TTickAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
|
|
begin
|
|
Result := FCurrentBar;
|
|
end;
|
|
|
|
function TTickAggregation.GetTimeframe: TTimeframe;
|
|
begin
|
|
Result := FTimeframe;
|
|
end;
|
|
|
|
function TTickAggregation.ProcessData(const Value: TDataPoint<Double>): TState;
|
|
var
|
|
barStartTime: TDateTime;
|
|
lastBarTime: TDateTime;
|
|
begin
|
|
// Update bar for the strategy's timeframe
|
|
barStartTime := GetBarStartTime(Value.Time, FTimeframe);
|
|
lastBarTime := FCurrentBar.Time;
|
|
|
|
if (barStartTime > lastBarTime) then
|
|
begin
|
|
// A new bar starts, so the previous one is now complete.
|
|
if (lastBarTime > 0) then
|
|
begin
|
|
Result := Broadcast(FCurrentBar);
|
|
end;
|
|
|
|
// Start a new bar, Volume is 1 because this is the first tick.
|
|
FCurrentBar.Data.Open := Value.Data;
|
|
FCurrentBar.Data.High := Value.Data;
|
|
FCurrentBar.Data.Low := Value.Data;
|
|
FCurrentBar.Data.Close := Value.Data;
|
|
FCurrentBar.Data.Volume := 1;
|
|
FCurrentBar.Time := barStartTime;
|
|
end
|
|
else
|
|
begin
|
|
// Update the currently aggregating bar
|
|
if Value.Data > FCurrentBar.Data.High then
|
|
FCurrentBar.Data.High := Value.Data;
|
|
if Value.Data < FCurrentBar.Data.Low then
|
|
FCurrentBar.Data.Low := Value.Data;
|
|
FCurrentBar.Data.Close := Value.Data;
|
|
// Volume is the number of ticks needed to build the complete bar.
|
|
FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + 1;
|
|
end;
|
|
end;
|
|
|
|
{ TMycSequence<T> }
|
|
|
|
constructor TMycSequence<T>.Create(ACount: Integer);
|
|
begin
|
|
inherited Create;
|
|
|
|
SetLength(FDataProviders, ACount);
|
|
for var i := 0 to High(FDataProviders) do
|
|
FDataProviders[i] := TMycContainedDataProvider<T>.Create(Self);
|
|
end;
|
|
|
|
destructor TMycSequence<T>.Destroy;
|
|
begin
|
|
for var i := High(FDataProviders) downto 0 do
|
|
FDataProviders[i].Free;
|
|
inherited;
|
|
end;
|
|
|
|
function TMycSequence<T>.GetCount: Integer;
|
|
begin
|
|
Result := Length(FDataProviders);
|
|
end;
|
|
|
|
function TMycSequence<T>.GetDataProvider(Idx: Integer): TDataProvider<T>;
|
|
begin
|
|
Result := FDataProviders[Idx];
|
|
end;
|
|
|
|
function TMycSequence<T>.ProcessData(const Value: T): TState;
|
|
begin
|
|
Result := ProcessDataProvider(0, Value);
|
|
end;
|
|
|
|
function TMycSequence<T>.ProcessDataProvider(Idx: Integer; const Value: T): TState;
|
|
begin
|
|
if Idx >= Length(FDataProviders) then
|
|
exit;
|
|
|
|
Result :=
|
|
TaskManager
|
|
.RunTask(FDataProviders[idx].Broadcast(Value), function: TState begin Result := ProcessDataProvider(1 + idx, Value); end);
|
|
end;
|
|
|
|
function TMycIdentityConverter<T>.ProcessData(const Value: T): TState;
|
|
begin
|
|
Result := Broadcast(Value);
|
|
end;
|
|
|
|
{ TMycGenericParallelConverter<S, T> }
|
|
|
|
constructor TMycGenericParallelConverter<S, T>.Create(const AFunc: TConstFunc<S, T>);
|
|
begin
|
|
inherited Create;
|
|
FFunc := AFunc;
|
|
end;
|
|
|
|
function TMycGenericParallelConverter<S, T>.ProcessData(const Value: S): TState;
|
|
begin
|
|
var cValue := Value;
|
|
Result := TaskManager.RunTask(FQueue, function: TState begin Result := Broadcast(FFunc(cValue)); end);
|
|
|
|
FQueue := Result;
|
|
end;
|
|
|
|
function TMycParallelConverter<T>.ProcessData(const Value: T): TState;
|
|
begin
|
|
var cValue := Value;
|
|
Result := TaskManager.RunTask(FQueue, function: TState begin Result := Broadcast(cValue); end);
|
|
FQueue := Result;
|
|
end;
|
|
|
|
{ TOhlcAggregation }
|
|
|
|
constructor TOhlcAggregation.Create(const ATimeframe: TTimeframe);
|
|
begin
|
|
inherited Create;
|
|
FTimeframe := ATimeframe;
|
|
end;
|
|
|
|
function TOhlcAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
|
|
var
|
|
baseTime: TDateTime;
|
|
begin
|
|
// Align the time grid to UTC 0:00 using functions from System.DateUtils
|
|
baseTime := RecodeMilliSecond(TimeStamp, 0);
|
|
|
|
case Timeframe of
|
|
S: Result := baseTime;
|
|
S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
|
|
S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
|
|
S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
|
|
|
|
M: Result := RecodeSecond(baseTime, 0);
|
|
M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
|
|
M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
|
|
M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
|
|
M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
|
|
M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
|
|
M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
|
|
|
|
H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
|
|
H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
|
|
H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
|
|
H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
|
|
H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
|
|
H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
|
|
|
|
D: Result := StartOfTheDay(TimeStamp);
|
|
// D2, D3 are uncommon; this is a simple modulo-based approach relative to TDateTime's epoch.
|
|
D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
|
|
D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
|
|
|
|
W: Result := TimeStamp.StartOfTheWeek;
|
|
|
|
MN: Result := TimeStamp.StartOfTheMonth;
|
|
// Quarter alignment
|
|
MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
|
|
// Half-year alignment
|
|
MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
|
|
|
|
Y: Result := TimeStamp.StartOfTheYear;
|
|
else
|
|
// Fallback for any undefined timeframe
|
|
Result := 0;
|
|
end;
|
|
end;
|
|
|
|
function TOhlcAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
|
|
begin
|
|
Result := FCurrentBar;
|
|
end;
|
|
|
|
function TOhlcAggregation.GetTimeframe: TTimeframe;
|
|
begin
|
|
Result := FTimeframe;
|
|
end;
|
|
|
|
function TOhlcAggregation.ProcessData(const Value: TDataPoint<TOhlcItem>): TState;
|
|
var
|
|
barStartTime: TDateTime;
|
|
lastBarTime: TDateTime;
|
|
begin
|
|
// Update bar for the strategy's timeframe
|
|
barStartTime := GetBarStartTime(Value.Time, FTimeframe);
|
|
lastBarTime := FCurrentBar.Time;
|
|
|
|
if (barStartTime > lastBarTime) then
|
|
begin
|
|
// A new bar starts, so the previous one is now complete.
|
|
if (lastBarTime > 0) then
|
|
begin
|
|
Result := Broadcast(FCurrentBar);
|
|
end;
|
|
|
|
// Start a new bar, Volume is 1 because this is the first tick.
|
|
FCurrentBar.Data := Value.Data;
|
|
FCurrentBar.Time := barStartTime;
|
|
end
|
|
else
|
|
begin
|
|
// Update the currently aggregating bar
|
|
if Value.Data.High > FCurrentBar.Data.High then
|
|
FCurrentBar.Data.High := Value.Data.High;
|
|
if Value.Data.Low < FCurrentBar.Data.Low then
|
|
FCurrentBar.Data.Low := Value.Data.Low;
|
|
FCurrentBar.Data.Close := Value.Data.Close;
|
|
// Volume is the number of ticks needed to build the complete bar.
|
|
FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + Value.Data.Volume;
|
|
end;
|
|
end;
|
|
|
|
end.
|