Michael Schimmel
593 lines
20 KiB
ObjectPascal
593 lines
20 KiB
ObjectPascal
unit MainForm;
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interface
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uses
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System.SysUtils,
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System.Types,
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System.UITypes,
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System.Classes,
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System.Variants,
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System.DateUtils,
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System.Generics.Collections,
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System.Rtti,
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FMX.Types,
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FMX.Controls,
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FMX.Forms,
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FMX.Graphics,
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FMX.Dialogs,
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FMX.Controls.Presentation,
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FMX.StdCtrls,
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FMX.ListView.Types,
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FMX.ListView.Appearances,
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FMX.ListView.Adapters.Base,
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FMX.ListView,
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FMX.Memo.Types,
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FMX.ScrollBox,
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FMX.Memo,
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FMX.Objects,
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Myc.Futures,
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Myc.Trade.Types,
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Myc.Trade.DataStream,
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Myc.Trade.DataPoint,
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Myc.Signals,
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Myc.Mutable,
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Myc.Signals.FMX,
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Myc.TaskManager,
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Myc.Aura.Module,
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FMX.ListBox,
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FMX.Layouts,
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FMX.TreeView,
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FMX.TabControl,
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FMX.Menus,
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System.ImageList,
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FMX.ImgList,
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System.Actions,
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FMX.ActnList,
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DynamicFMXControl,
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FirstStrategy,
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Myc.FMX.Chart;
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type
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TForm1 = class(TForm)
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LogMemo: TMemo;
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MainPanel: TPanel;
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SymbolsComboBox: TComboBox;
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RandomBox: TCheckBox;
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LoadButton: TButton;
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RandomButton: TButton;
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ChartButton: TButton;
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StopButton: TButton;
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Splitter1: TSplitter;
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ActionList: TActionList;
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AddWorkspaceAction: TAction;
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WorkspacePanel: TPanel;
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TabControl: TTabControl;
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ToolBar: TToolBar;
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AddWorkspaceButton: TSpeedButton;
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ObjectsPanel: TPanel;
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ObjectsTabControl: TTabControl;
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ModulesTabItem: TTabItem;
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TreeView: TTreeView;
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TestButton: TSpeedButton;
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TestAction: TAction;
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TestPopup: TPopup;
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FlowLayout: TFlowLayout;
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StrategyButton: TSpeedButton;
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Strat2Button: TSpeedButton;
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procedure FormCreate(Sender: TObject);
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procedure FormDestroy(Sender: TObject);
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procedure StopButtonClick(Sender: TObject);
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procedure TreeViewDblClick(Sender: TObject);
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procedure AddWorkspaceActionExecute(Sender: TObject);
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procedure Strat2ButtonClick(Sender: TObject);
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procedure TestActionExecute(Sender: TObject);
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procedure StrategyButtonClick(Sender: TObject);
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private
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FOnEvent: TNotifyEvent;
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{ Private declarations }
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FServer: IDataServer<TAuraAskBidFileItem>;
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FSymbols: TFuture<TArray<String>>;
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FTerminate: TEvent;
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FProcessDone: TState;
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FApplication: IAuraApplication;
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FModulesItem: TTreeViewItem;
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function SelectedSymbol: String;
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function ExecuteStrategy(const Symbol: String; const Processor: IMycProcessor<TArray<TDataPoint<TAskBidItem>>>): TState;
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public
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procedure NewWorkspace;
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function CurrLayout<T: TControl>: T;
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procedure AlignControl(Control: TControl);
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published
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property OnEvent: TNotifyEvent read FOnEvent write FOnEvent;
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end;
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var
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Form1: TForm1;
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implementation
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uses
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TestModule,
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Myc.Trade.Indicators;
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{$R *.fmx}
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procedure TForm1.NewWorkspace;
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begin
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var ws: IAuraWorkspace := TMycAuraWorkspace.Create('New workspace', tmTesting);
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FApplication.Workspaces.Insert(-1, ws);
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var tab := TabControl.Add;
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tab.Text := ws.Caption;
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tab.Tag := NativeInt(ws);
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var scrollbox := TVertScrollBox.Create(Self);
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scrollbox.Parent := tab;
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scrollbox.Align := TAlignLayout.Client;
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tab.ProcessSignal(ws.Name.Changed, procedure begin tab.Text := ws.Caption; end);
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end;
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procedure TForm1.StopButtonClick(Sender: TObject);
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begin
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FTerminate.Notify;
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end;
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procedure TForm1.TreeViewDblClick(Sender: TObject);
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begin
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var sel := TreeView.Selected as TTreeViewItem;
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var parent := sel.ParentItem;
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if parent = nil then
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exit;
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if parent = FModulesItem then
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begin
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if (TabControl.ActiveTab <> nil) and (TabControl.ActiveTab.Tag <> 0) then
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begin
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var ws := IAuraWorkspace(TabControl.ActiveTab.Tag);
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var module := FApplication.Modules[sel.TagString];
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if (ws <> nil) and (module <> nil) then
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module.SetupWorkspace(ws);
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end;
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end;
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end;
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procedure TForm1.FormCreate(Sender: TObject);
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begin
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FApplication := TMycAuraApplication.Create;
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FModulesItem := TTreeViewItem.Create(Self);
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FModulesItem.Text := 'Modules';
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const modName = 'Test_Module';
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FApplication.RegisterModule(modName, TTestModule.Create('Test-Module', 1));
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TreeView.AddObject(FModulesItem);
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FModulesItem.ProcessSignal(
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FApplication.ModuleNames.Changed,
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procedure
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begin
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FModulesItem.BeginUpdate;
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try
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while FModulesItem.Count > 0 do
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FModulesItem[0].Free;
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var mods := FApplication.ModuleNames.Value;
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for var i := 0 to High(mods) do
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begin
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var ModItem := TTreeViewItem.Create(Self);
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ModItem.Text := mods[i];
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ModItem.DragMode := TDragMode.dmAutomatic;
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ModItem.Text := 'Module-' + mods[i];
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ModItem.TagString := mods[i];
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FModulesItem.AddObject(ModItem);
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end;
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FModulesItem.ExpandAll;
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finally
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FModulesItem.EndUpdate;
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end;
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end
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);
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FTerminate := TEvent.CreateEvent;
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// Create an instance of the TAuraTABFileServer. The server can be reused for multiple stream creations. [364]
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FServer := TAuraTABFileServer.Create('\\COFFEE\TickData\Pepperstone');
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SymbolsComboBox.Enabled := false;
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ChartButton.Enabled := false;
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LoadButton.Enabled := false;
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FSymbols := FServer.EnumerateSymbols;
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SymbolsComboBox.ProcessSignal(
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FSymbols.Done.Signal,
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procedure
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begin
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SymbolsComboBox.BeginUpdate;
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try
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SymbolsComboBox.Items.Clear;
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SymbolsComboBox.Items.AddStrings(FSymbols.WaitFor);
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if SymbolsComboBox.Items.Count > 0 then
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begin
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if SymbolsComboBox.ItemIndex < 0 then
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SymbolsComboBox.ItemIndex := SymbolsComboBox.Items.IndexOf('GER40');
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SymbolsComboBox.Enabled := true;
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ChartButton.Enabled := true;
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LoadButton.Enabled := true;
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end;
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finally
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SymbolsComboBox.EndUpdate;
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end;
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end
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);
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NewWorkspace;
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end;
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procedure TForm1.FormDestroy(Sender: TObject);
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begin
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FSymbols.WaitFor;
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FTerminate.Notify;
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TaskManager.WaitFor(FProcessDone);
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end;
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procedure TForm1.TestActionExecute(Sender: TObject);
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begin
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TestPopup.IsOpen := TestAction.Checked;
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end;
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procedure TForm1.AddWorkspaceActionExecute(Sender: TObject);
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begin
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NewWorkspace;
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end;
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procedure TForm1.AlignControl(Control: TControl);
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begin
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var Layout := CurrLayout<TVertScrollBox>;
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if Layout = nil then
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exit;
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Control.Parent := Layout;
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Control.Width := Layout.Width;
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Control.Position.Y := Layout.ChildrenRect.Bottom + 1;
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Control.Anchors := [TAnchorKind.akLeft, TAnchorKind.akRight];
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Control.Align := TAlignLayout.Top;
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end;
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function TForm1.CurrLayout<T>: T;
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begin
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if TabControl.ActiveTab = nil then
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exit(nil);
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var Res: T := nil;
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TabControl.ActiveTab.EnumControls(
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function(Control: TControl): TEnumControlsResult
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begin
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Result := TEnumControlsResult.Continue;
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if Control is T then
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begin
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Res := Control as T;
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Result := TEnumControlsResult.Stop;
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end;
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end
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);
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Result := Res;
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end;
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function TForm1.ExecuteStrategy(const Symbol: String; const Processor: IMycProcessor<TArray<TDataPoint<TAskBidItem>>>): TState;
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var
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dataProvider: TConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>;
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begin
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var terminated := TFlag.CreateObserver(FTerminate.Signal).State;
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dataProvider :=
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TConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>.CreateGeneric(
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function(const Values: TArray<TDataPoint<TAuraAskBidFileItem>>): TArray<TDataPoint<TAskBidItem>>
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begin
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SetLength(Result, Length(Values));
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for var i := 0 to High(Result) do
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begin
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Result[i].Time := Values[i].Time;
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Result[i].Data.Ask := Values[i].Data.Ask;
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Result[i].Data.Bid := Values[i].Data.Bid;
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end;
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end
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);
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dataProvider.Sender.Link(Processor);
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Result := FServer.ProcessData(Symbol, terminated, dataProvider);
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end;
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function TForm1.SelectedSymbol: String;
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begin
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Result := '';
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if RandomBox.IsChecked then
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Result := FSymbols.WaitFor[Random(Length(FSymbols.WaitFor))]
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else if SymbolsComboBox.ItemIndex >= 0 then
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Result := FSymbols.WaitFor[SymbolsComboBox.ItemIndex];
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end;
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procedure TForm1.StrategyButtonClick(Sender: TObject);
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begin
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var Layout := CurrLayout<TVertScrollBox>;
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if Layout = nil then
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exit;
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var Symbol := SelectedSymbol;
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if Symbol = '' then
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exit;
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var chart := TMycChart.Create(Self);
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AlignControl(chart);
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chart.Height := Layout.ChildrenRect.Width * 9 / 16;
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chart.Lookback.Value := 50000;
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/////
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var timeframe := TTimeframe.M15;
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var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
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var lastPrice :=
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ticker.Chain<TDataPoint<Double>>(
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function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
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begin
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Result.Time := Tick.Time;
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Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
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end
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);
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var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TTickAggregation.Create(timeframe));
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var Timestamps := OhlcPoint.Field<TDateTime>('Time');
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var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
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var Closes := Ohlc.Field<Double>('Close');
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var Hull := Closes.Chain<Double>(TIndicators.CreateHMA(150));
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var Sma := Closes.Chain<Double>(TIndicators.CreateSMA(50));
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var Ema := Closes.Chain<Double>(TIndicators.CreateEMA(21));
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var Boli := Closes.Chain<TBollingerBandsResult>(TIndicators.CreateBollingerBands(20, 2.0));
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var Rsi := Closes.Chain<Double>(TIndicators.CreateRSI(14));
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var Macd := Closes.Chain<TMacdResult>(TIndicators.CreateMACD(12, 26, 9));
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var Stoch := Ohlc.Chain<TStochasticResult>(TIndicators.CreateStochastic(14, 3));
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chart.SetXAxisSeries(timeframe, Timestamps.Sender);
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var Panel := chart.AddPanel;
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Panel.AddOhlcSeries(Ohlc.Sender);
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Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
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Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
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Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
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Panel.AddDoubleSeries(Boli.Field<Double>('UpperBand').Sender, TAlphaColors.Gray);
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Panel.AddDoubleSeries(Boli.Field<Double>('MiddleBand').Sender, TAlphaColors.Darkgray, 1.0);
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Panel.AddDoubleSeries(Boli.Field<Double>('LowerBand').Sender, TAlphaColors.Gray);
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Panel := chart.AddPanel;
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Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
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Panel := chart.AddPanel;
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Panel.AddDoubleSeries(Macd.Field<Double>('MacdLine').Sender, TAlphaColors.Orange);
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Panel.AddDoubleSeries(Macd.Field<Double>('SignalLine').Sender, TAlphaColors.Dodgerblue);
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Panel.AddDoubleSeries(Macd.Field<Double>('Histogram').Sender, TAlphaColors.Lightgreen);
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Panel := chart.AddPanel;
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Panel.AddDoubleSeries(Stoch.Field<Double>('K').Sender, TAlphaColors.Green);
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Panel.AddDoubleSeries(Stoch.Field<Double>('D').Sender, TAlphaColors.Red);
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/////
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{
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var tickChart := TMycChart.Create(Self);
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tickChart.Height := Layout.ChildrenRect.Width * 9 / 16;
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AlignControl(tickChart);
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tickChart.Lookback.Value := 1000000;
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var TickTime := ticker.Field<TDateTime>('Time');
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var TickData := ticker.Field<TAskBidItem>('Data');
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var TickAsk := TickData.Field<Double>('Ask');
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var TickBid := TickData.Field<Double>('Bid');
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var TickSpread := TickData.Chain<Double>(function(const Tick: TAskBidItem): Double begin Result := Tick.Bid - Tick.Ask; end);
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tickChart.SetXAxisSeries(TTimeframe.S, TickTime.Sender);
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panel := tickChart.AddPanel;
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panel.AddDoubleSeries(TickAsk.Sender, TAlphaColors.Blue);
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panel.AddDoubleSeries(TickBid.Sender, TAlphaColors.Red);
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panel := tickChart.AddPanel;
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panel.AddDoubleSeries(TickSpread.Sender);
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}
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/////
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var done := ExecuteStrategy(Symbol, ticker);
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FProcessDone := TState.All([FProcessDone, done]);
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end;
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procedure TForm1.Strat2ButtonClick(Sender: TObject);
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begin
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var timeframe := TTimeframe.M15;
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var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
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var lastPrice :=
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ticker.Chain<TDataPoint<Double>>(
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function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
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begin
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Result.Time := Tick.Time;
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Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
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end
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);
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var OhlcPoint := TTickAggregation.Create(timeframe);
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lastPrice.Sender.Link(OhlcPoint);
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var Closes :=
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TConverter<TDataPoint<TOhlcItem>, Double>
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.CreateGeneric(function(const Ohlc: TDataPoint<TOhlcItem>): Double begin Result := Ohlc.Data.Close; end);
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var Hull := TConverter<Double, Double>.CreateGeneric(TIndicators.CreateHMA(150));
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var Timestamps :=
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TConverter<TDataPoint<TOhlcItem>, TDateTime>
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.CreateGeneric(function(const Ohlc: TDataPoint<TOhlcItem>): TDateTime begin Result := Ohlc.Time; end);
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OhlcPoint.Sender.Link(TimeStamps);
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var Layout := CurrLayout<TVertScrollBox>;
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if Layout = nil then
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exit;
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var Symbol := SelectedSymbol;
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if Symbol = '' then
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exit;
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var chart := TMycChart.Create(Self);
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AlignControl(chart);
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chart.Height := Layout.ChildrenRect.Width * 9 / 16;
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chart.Lookback.Value := 50000;
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/////
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{
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chart.SetXAxisSeries(timeframe, Timestamps.Sender);
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var Panel := chart.AddPanel;
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OhlcPoint.Sender.Link(Ohlc);
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Panel.AddOhlcSeries(Ohlc.Sender);
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Ohlc.Sender.Link(Closes);
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var Hull: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateHMA(150));
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Closes.Sender.Link(Hull);
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Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
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// Add SMA (Simple Moving Average)
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var Sma: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateSMA(50));
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Closes.Sender.Link(Sma);
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Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
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// Add EMA (Exponential Moving Average)
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var Ema: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateEMA(21));
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Closes.Sender.Link(Ema);
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Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
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// Add Bollinger Bands (20, 2.0)
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var Boli: IMycConverter<Double, TBollingerBandsResult> :=
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TGenericIndicator<Double, TBollingerBandsResult>.Create(TIndicators.CreateBollingerBands(20, 2.0));
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Closes.Sender.Link(Boli);
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var BoliUpper: IMycConverter<TBollingerBandsResult, Double> :=
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TMycGenericConverter<TBollingerBandsResult, Double>
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.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.UpperBand; end);
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Boli.Sender.Link(BoliUpper);
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Panel.AddDoubleSeries(BoliUpper.Sender, TAlphaColors.Gray);
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var BoliMiddle: IMycConverter<TBollingerBandsResult, Double> :=
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TMycGenericConverter<TBollingerBandsResult, Double>
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.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.MiddleBand; end);
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Boli.Sender.Link(BoliMiddle);
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Panel.AddDoubleSeries(BoliMiddle.Sender, TAlphaColors.Darkgray, 1.0);
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var BoliLower: IMycConverter<TBollingerBandsResult, Double> :=
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TMycGenericConverter<TBollingerBandsResult, Double>
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.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.LowerBand; end);
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Boli.Sender.Link(BoliLower);
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Panel.AddDoubleSeries(BoliLower.Sender, TAlphaColors.Gray);
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Panel := chart.AddPanel;
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// Add RSI (Relative Strength Index)
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var Rsi: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateRSI(14));
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Closes.Sender.Link(Rsi);
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Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
|
|
|
|
// Add MACD (12, 26, 9)
|
|
var Macd: IMycConverter<Double, TMacdResult> := TGenericIndicator<Double, TMacdResult>.Create(TIndicators.CreateMACD(12, 26, 9));
|
|
Closes.Sender.Link(Macd);
|
|
|
|
Panel := chart.AddPanel;
|
|
|
|
var MacdLine: IMycConverter<TMacdResult, Double> :=
|
|
TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.MacdLine; end);
|
|
Macd.Sender.Link(MacdLine);
|
|
Panel.AddDoubleSeries(MacdLine.Sender, TAlphaColors.Orange);
|
|
|
|
var MacdSignal: IMycConverter<TMacdResult, Double> :=
|
|
TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.SignalLine; end);
|
|
Macd.Sender.Link(MacdSignal);
|
|
Panel.AddDoubleSeries(MacdSignal.Sender, TAlphaColors.Dodgerblue);
|
|
|
|
var MacdHist: IMycConverter<TMacdResult, Double> :=
|
|
TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.Histogram; end);
|
|
Macd.Sender.Link(MacdHist);
|
|
Panel.AddDoubleSeries(MacdHist.Sender, TAlphaColors.Lightgreen, 1.0);
|
|
|
|
Panel := chart.AddPanel;
|
|
|
|
// Add Stochastic Oscillator (14, 3) - This needs OHLC data, not just Close prices.
|
|
var Stoch: IMycConverter<TOhlcItem, TStochasticResult> :=
|
|
TGenericIndicator<TOhlcItem, TStochasticResult>.Create(TIndicators.CreateStochastic(14, 3));
|
|
Ohlc.Sender.Link(Stoch);
|
|
|
|
var StochK: IMycConverter<TStochasticResult, Double> :=
|
|
TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.K; end);
|
|
Stoch.Sender.Link(StochK);
|
|
Panel.AddDoubleSeries(StochK.Sender, TAlphaColors.Green);
|
|
|
|
var StochD: IMycConverter<TStochasticResult, Double> :=
|
|
TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.D; end);
|
|
Stoch.Sender.Link(StochD);
|
|
Panel.AddDoubleSeries(StochD.Sender, TAlphaColors.Red);
|
|
|
|
/////
|
|
|
|
var tickChart := TMycChart.Create(Self);
|
|
tickChart.Height := Layout.ChildrenRect.Width * 9 / 16;
|
|
AlignControl(tickChart);
|
|
tickChart.Lookback.Value := 1000000;
|
|
|
|
var TickTime: IMycConverter<TDataPoint<TAskBidItem>, TDateTime> :=
|
|
TMycGenericConverter<TDataPoint<TAskBidItem>, TDateTime>
|
|
.Create(function(const Tick: TDataPoint<TAskBidItem>): TDateTime begin Result := Tick.Time; end);
|
|
|
|
var TickAsk: IMycConverter<TDataPoint<TAskBidItem>, Double> :=
|
|
TMycGenericConverter<TDataPoint<TAskBidItem>, Double>
|
|
.Create(function(const Tick: TDataPoint<TAskBidItem>): Double begin Result := Tick.Data.Ask; end);
|
|
|
|
var TickBid: IMycConverter<TDataPoint<TAskBidItem>, Double> :=
|
|
TMycGenericConverter<TDataPoint<TAskBidItem>, Double>
|
|
.Create(function(const Tick: TDataPoint<TAskBidItem>): Double begin Result := Tick.Data.Bid; end);
|
|
|
|
var TickSpread: IMycConverter<TDataPoint<TAskBidItem>, Double> :=
|
|
TMycGenericConverter<TDataPoint<TAskBidItem>, Double>
|
|
.Create(function(const Tick: TDataPoint<TAskBidItem>): Double begin Result := Tick.Data.Bid-Tick.Data.Ask; end);
|
|
|
|
ticker.Sender.Link( TickTime );
|
|
ticker.Sender.Link( TickAsk );
|
|
ticker.Sender.Link( TickBid );
|
|
ticker.Sender.Link( TickSpread );
|
|
|
|
tickChart.SetXAxisSeries( TTimeframe.S, TickTime.Sender );
|
|
panel := tickChart.AddPanel;
|
|
panel.AddDoubleSeries(TickAsk.Sender, TAlphaColors.Blue);
|
|
panel.AddDoubleSeries(TickBid.Sender, TAlphaColors.Red);
|
|
panel := tickChart.AddPanel;
|
|
panel.AddDoubleSeries(TickSpread.Sender);
|
|
|
|
/////
|
|
|
|
var done := ExecuteStrategy(Symbol, ticker);
|
|
FProcessDone := TState.All([FProcessDone, done]);
|
|
}
|
|
end;
|
|
|
|
end.
|