MycLib/Src/Myc.Trade.Core.DataPoint.pas

unit Myc.Trade.Core.DataPoint;

interface

uses
    Myc.Trade.DataPoint;

type
    // The implementation class for IDataSeries<T>.
    TDataArray<T> = class(TInterfacedObject, IDataSeries<T>, IDataSeriesWriter<T>)
        const
            ChunkSize = 1024;
        type
            TChunk = TArray<TDataPoint<T>>;
    private
        FChunks: TArray<TChunk>;
        FCount: Int64;
        FLookback: Int64;
        FTotalCount: Int64;

        function LogicalToPhysicalIndex(LogicalIndex: Int64): Int64; inline;
        function IsIndexInLimits(LogicalIndex: Int64): Boolean;
        procedure Trim;

        // IDataSeries<T> implementation
        function GetCount: Int64;
        function GetItems(Idx: Int64): TDataPoint<T>;
        function GetLookback: Int64;
        function GetTotalCount: Int64;
        function GetWriter: IDataSeriesWriter<T>;
    public
        constructor Create(ALookback: Int64);
        procedure Add(const Data: TDataPoint<T>); overload;
        procedure Add(const Data: array of TDataPoint<T>; NumToAdd: Integer = -1); overload;
        procedure Clear;
        function Immutable: IDataSeries<T>;
        property Lookback: Int64 read GetLookback;
    end;

    // Null object implementation for IDataSeries<T>
    TNullDataSeries<T> = class(TInterfacedObject, IDataSeries<T>)
    strict private
        class var
            FNull: IDataSeries<T>;
    private
        class constructor CreateClass;
        function GetWriter: IDataSeriesWriter<T>;
    public
        function GetCount: Int64;
        function GetItems(Idx: Int64): TDataPoint<T>;
        function GetTotalCount: Int64;
        function IndexOf(TimeStamp: TDateTime): Int64;
        function Immutable: IDataSeries<T>;
        class property Null: IDataSeries<T> read FNull;
    end;

    // The implementation class for IDataSeries<T>.
    TStaticDataSeries<T> = class(TInterfacedObject, IDataSeries<T>)
    private
        FChunks: TArray<TDataArray<T>.TChunk>;
        FCount: Int64;
        FLookback: Int64;
        FTotalCount: Int64;

        function LogicalToPhysicalIndex(LogicalIndex: Int64): Int64; inline;
        function IsIndexInLimits(LogicalIndex: Int64): Boolean;

        // IDataSeries<T> implementation
        function GetCount: Int64;
        function GetItems(Idx: Int64): TDataPoint<T>;
        function GetLookback: Int64;
        function GetTotalCount: Int64;
        function GetWriter: IDataSeriesWriter<T>;

    public
        constructor Create(const AChunks: TArray<TDataArray<T>.TChunk>; ACount, ALookback, ATotalCount: Int64);
        function Immutable: IDataSeries<T>;
        property Lookback: Int64 read GetLookback;
    end;

implementation

{ TDataArray<T> }

constructor TDataArray<T>.Create(ALookback: Int64);
begin
    inherited Create;
    FLookback := ALookback;
    FCount := 0;
    FTotalCount := 0;
    FChunks := nil;
end;

procedure TDataArray<T>.Add(const Data: TDataPoint<T>);
begin
    Assert((FCount = 0) or (Data.Time >= GetItems(0).Time), 'Time stamp older than last item');

    var ci := FCount div ChunkSize;
    var di := FCount mod ChunkSize;

    if (di = 0) then
    begin
        SetLength(FChunks, ci + 1);
        SetLength(FChunks[ci], ChunkSize);
    end;

    FChunks[ci][di] := Data;
    Inc(FCount);
    Inc(FTotalCount);

    Trim;
end;

procedure TDataArray<T>.Add(const Data: array of TDataPoint<T>; NumToAdd: Integer = -1);
var
    sourceIdx, itemsToCopy, spaceInChunk: Integer;
    ci, di: Int64;
    i: Integer;
    resolvedNumToAdd: Integer;
begin
    if NumToAdd < 0 then
        resolvedNumToAdd := Length(Data)
    else
        resolvedNumToAdd := NumToAdd;

    if resolvedNumToAdd = 0 then
        Exit;

    Assert(resolvedNumToAdd <= Length(Data), 'NumToAdd cannot be larger than the source array');

    for i := 1 to resolvedNumToAdd - 1 do
        Assert(Data[i].Time >= Data[i - 1].Time, 'Input array for Add is not chronologically sorted');

    Assert((FCount = 0) or (Data[0].Time >= GetItems(0).Time), 'First new item is older than last existing item');

    Inc(FTotalCount, resolvedNumToAdd);

    var newTotalCount := FCount + resolvedNumToAdd;
    var requiredChunks := (newTotalCount + ChunkSize - 1) div ChunkSize;
    if requiredChunks = 0 then
        requiredChunks := 1;

    if requiredChunks > Length(FChunks) then
        SetLength(FChunks, requiredChunks);

    sourceIdx := 0;
    while sourceIdx < resolvedNumToAdd do
    begin
        ci := FCount div ChunkSize;
        di := FCount mod ChunkSize;

        if di = 0 then
            SetLength(FChunks[ci], ChunkSize);

        spaceInChunk := ChunkSize - di;
        itemsToCopy := resolvedNumToAdd - sourceIdx;
        if spaceInChunk < itemsToCopy then
            itemsToCopy := spaceInChunk;

        System.Move(Data[sourceIdx], FChunks[ci][di], itemsToCopy * SizeOf(TDataPoint<T>));

        Inc(FCount, itemsToCopy);
        Inc(sourceIdx, itemsToCopy);

        Trim;
    end;
end;

procedure TDataArray<T>.Clear;
begin
    FChunks := nil;
    FCount := 0;
    FTotalCount := 0;
end;

function TDataArray<T>.Immutable: IDataSeries<T>;
begin
    Result := TStaticDataSeries<T>.Create(FChunks, FCount, FLookback, FTotalCount);
end;

function TDataArray<T>.GetCount: Int64;
begin
    Result := FCount;
    if (FLookback > 0) and (Result > FLookback) then
        Result := FLookback;
end;

function TDataArray<T>.GetItems(Idx: Int64): TDataPoint<T>;
var
    physicalIndex: Int64;
begin
    Assert(IsIndexInLimits(Idx), 'Index is outside of the configured Lookback limits.');
    physicalIndex := LogicalToPhysicalIndex(Idx);
    Result := FChunks[physicalIndex div ChunkSize][physicalIndex mod ChunkSize];
end;

function TDataArray<T>.GetLookback: Int64;
begin
    Result := FLookback;
end;

function TDataArray<T>.GetTotalCount: Int64;
begin
    Result := FTotalCount;
end;

function TDataArray<T>.GetWriter: IDataSeriesWriter<T>;
begin
    Result := Self;
end;

function TDataArray<T>.IsIndexInLimits(LogicalIndex: Int64): Boolean;
begin
    Result := (FLookback <= 0) or (LogicalIndex < FLookback);
end;

function TDataArray<T>.LogicalToPhysicalIndex(LogicalIndex: Int64): Int64;
begin
    Assert((LogicalIndex >= 0) and (LogicalIndex < FCount), 'Logical index is out of bounds.');
    Result := FCount - LogicalIndex - 1;
end;

procedure TDataArray<T>.Trim;
var
    itemsToRemove, chunksToRemove: Int64;
begin
    if (FCount = 0) or (FLookback <= 0) then
        Exit;

    itemsToRemove := 0;
    if FCount > FLookback then
        itemsToRemove := FCount - FLookback;

    if itemsToRemove <= 0 then
        Exit;

    chunksToRemove := itemsToRemove div ChunkSize;

    if chunksToRemove > 0 then
    begin
        var itemsInFreedChunks := chunksToRemove * ChunkSize;
        FChunks := Copy(FChunks, chunksToRemove, Length(FChunks) - chunksToRemove);
        FCount := FCount - itemsInFreedChunks;
    end;
end;

{ TNullDataSeries<T> Interface Helper }

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

function TNullDataSeries<T>.Immutable: IDataSeries<T>;
begin
    Result := FNull;
end;

function TNullDataSeries<T>.GetCount: Int64;
begin
    Result := 0;
end;

function TNullDataSeries<T>.GetItems(Idx: Int64): TDataPoint<T>;
begin
    Assert(false, 'Index out of bounds.');
    Result := Default(TDataPoint<T>);
end;

function TNullDataSeries<T>.GetTotalCount: Int64;
begin
    Result := 0;
end;

function TNullDataSeries<T>.GetWriter: IDataSeriesWriter<T>;
begin
    Result := nil;
end;

function TNullDataSeries<T>.IndexOf(TimeStamp: TDateTime): Int64;
begin
    Result := -1;
end;

{ TStaticDataSeries<T> }

constructor TStaticDataSeries<T>.Create(const AChunks: TArray<TDataArray<T>.TChunk>; ACount, ALookback, ATotalCount: Int64);
begin
    inherited Create;
    FChunks := AChunks;
    FCount := ACount;
    FLookback := ALookback;
    FTotalCount := ATotalCount;
end;

function TStaticDataSeries<T>.Immutable: IDataSeries<T>;
begin
    Result := Self;
end;

function TStaticDataSeries<T>.GetCount: Int64;
begin
    Result := FCount;
    if (FLookback > 0) and (Result > FLookback) then
        Result := FLookback;
end;

function TStaticDataSeries<T>.GetItems(Idx: Int64): TDataPoint<T>;
var
    physicalIndex: Int64;
begin
    Assert(IsIndexInLimits(Idx), 'Index is outside of the configured Lookback limits.');
    physicalIndex := LogicalToPhysicalIndex(Idx);
    Result := FChunks[physicalIndex div TDataArray<T>.ChunkSize][physicalIndex mod TDataArray<T>.ChunkSize];
end;

function TStaticDataSeries<T>.GetLookback: Int64;
begin
    Result := FLookback;
end;

function TStaticDataSeries<T>.GetTotalCount: Int64;
begin
    Result := FTotalCount;
end;

function TStaticDataSeries<T>.GetWriter: IDataSeriesWriter<T>;
begin
    Result := nil;
end;

function TStaticDataSeries<T>.IsIndexInLimits(LogicalIndex: Int64): Boolean;
begin
    Result := (FLookback <= 0) or (LogicalIndex < FLookback);
end;

function TStaticDataSeries<T>.LogicalToPhysicalIndex(LogicalIndex: Int64): Int64;
begin
    Assert((LogicalIndex >= 0) and (LogicalIndex < FCount), 'Logical index is out of bounds.');
    Result := FCount - LogicalIndex - 1;
end;

end.