MycLib/Src/Myc.Trade.Pipeline.Impl.pas

unit Myc.Trade.Pipeline.Impl;

interface

uses
    Myc.Signals,
    Myc.Data.Pipeline,
    Myc.Data.Pipeline.Impl,
    Myc.Trade.Types;

type
    TTickAggregation = class(TMycConverter<TDataPoint<Double>, TDataPoint<TOhlcItem>>)
    private
        FTimeframe: TTimeframe;
        FCurrentBar: TDataPoint<TOhlcItem>;
        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
        function GetCurrentBar: TDataPoint<TOhlcItem>;
        function GetTimeframe: TTimeframe;
    protected
        function Consume(const Value: TDataPoint<Double>): TState; override;
    public
        constructor Create(const ATimeframe: TTimeframe);
        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
        property Timeframe: TTimeframe read GetTimeframe;
    end;

    TOhlcAggregation = class(TMycConverter<TDataPoint<TOhlcItem>, TDataPoint<TOhlcItem>>)
    private
        FTimeframe: TTimeframe;
        FCurrentBar: TDataPoint<TOhlcItem>;
        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
        function GetCurrentBar: TDataPoint<TOhlcItem>;
        function GetTimeframe: TTimeframe;
    protected
        function Consume(const Value: TDataPoint<TOhlcItem>): TState; override;
    public
        constructor Create(const ATimeframe: TTimeframe);
        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
        property Timeframe: TTimeframe read GetTimeframe;
    end;

implementation

uses
    System.Math,
    System.DateUtils;

{ TTickAggregation }

constructor TTickAggregation.Create(const ATimeframe: TTimeframe);
begin
    inherited Create;
    FTimeframe := ATimeframe;
end;

function TTickAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
var
    baseTime: TDateTime;
begin
    // Implementation is unchanged
    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: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
        W: Result := TimeStamp.StartOfTheWeek;
        MN: Result := TimeStamp.StartOfTheMonth;
        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
        Y: Result := TimeStamp.StartOfTheYear;
    else
        Result := 0;
    end;
end;

function TTickAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
begin
    Result := FCurrentBar;
end;

function TTickAggregation.GetTimeframe: TTimeframe;
begin
    Result := FTimeframe;
end;

function TTickAggregation.Consume(const Value: TDataPoint<Double>): TState;
var
    barStartTime: TDateTime;
    lastBarTime: TDateTime;
begin
    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
    lastBarTime := FCurrentBar.Time;

    if (barStartTime > lastBarTime) then
    begin
        if (lastBarTime > 0) then
        begin
            Result := Broadcast(FCurrentBar);
        end;

        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
        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;
        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + 1;
    end;
end;

{ TOhlcAggregation }

constructor TOhlcAggregation.Create(const ATimeframe: TTimeframe);
begin
    inherited Create;
    FTimeframe := ATimeframe;
end;

function TOhlcAggregation.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
begin
    // Same implementation as TTickAggregation
    var 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: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
        D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
        W: Result := TimeStamp.StartOfTheWeek;
        MN: Result := TimeStamp.StartOfTheMonth;
        MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
        MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
        Y: Result := TimeStamp.StartOfTheYear;
    else
        Result := 0;
    end;
end;

function TOhlcAggregation.GetCurrentBar: TDataPoint<TOhlcItem>;
begin
    Result := FCurrentBar;
end;

function TOhlcAggregation.GetTimeframe: TTimeframe;
begin
    Result := FTimeframe;
end;

function TOhlcAggregation.Consume(const Value: TDataPoint<TOhlcItem>): TState;
var
    barStartTime: TDateTime;
    lastBarTime: TDateTime;
begin
    barStartTime := GetBarStartTime(Value.Time, FTimeframe);
    lastBarTime := FCurrentBar.Time;

    if (barStartTime > lastBarTime) then
    begin
        if (lastBarTime > 0) then
        begin
            Result := Broadcast(FCurrentBar);
        end;

        FCurrentBar.Data := Value.Data;
        FCurrentBar.Time := barStartTime;
    end
    else
    begin
        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;
        FCurrentBar.Data.Volume := FCurrentBar.Data.Volume + Value.Data.Volume;
    end;
end;

end.