MycLib/AuraTrader/FirstStrategy.pas

unit FirstStrategy;

interface

uses
    System.Generics.Collections,
    Myc.Signals,
    Myc.Lazy,
    Myc.Trade.DataPoint,
    Myc.Trade.DataArray;

type
    TTimeframe = (M1, M5, H1, D);

    TMycGenericConverter<S, T> = class(TMycConverter<S, T>)
        type
            TConvertFunc = reference to function(const Value: S): T;
    private
        FFunc: TConvertFunc;
    protected
        function ProcessData(const Value: S): Boolean; override;
    public
        constructor Create(const AFunc: TConvertFunc);
    end;

    TTicksToTimeframe = class(TMycConverter<TArray<TDataPoint<TAskBidItem>>, TDataPoint<TOhlcItem>>)
    private
        FTimeframe: TTimeframe;
        // Stores the currently aggregating OHLC data.
        FCurrentBar: TDataPoint<TOhlcItem>;
        function GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
        function GetCurrentBar: TDataPoint<TOhlcItem>;
        function GetTimeframe: TTimeframe;
    public
        constructor Create(const ATimeframe: TTimeframe);

        // Process new data. This is called concurrently and must not have side effects out of the scope of this class!
        function ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>): Boolean; override;

        property CurrentBar: TDataPoint<TOhlcItem> read GetCurrentBar;
        property Timeframe: TTimeframe read GetTimeframe;
    end;

    // Implements the Hull Moving Average indicator.
    THullMovingAverage = class(TMycConverter<Double, Double>)
    private
        FPeriod: Integer;
        FPeriodHalf: Integer;
        FPeriodSqrt: Integer;
        // Source data for HMA calculation
        FSourceData: TMycDataArray<Double>;
        // Intermediate data series for HMA calculation (2*WMA(n/2) - WMA(n))
        FDiffSeries: TMycDataArray<Double>;
        // Calculates the Weighted Moving Average for the most recent data.
        function CalculateWMA(const Series: TMycDataArray<Double>; const Period: Integer): Double;
    protected
        function ProcessData(const Value: Double): Boolean; override;
    public
        constructor Create(const APeriod: Integer);
    end;

implementation

uses
    System.SysUtils,
    System.DateUtils,
    System.Math;

{ TTicksToTimeframe }

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

function TTicksToTimeframe.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
begin
    // Align the time grid to UTC 0:00 using functions from System.DateUtils
    case Timeframe of
        M1: Result := RecodeSecond(RecodeMilliSecond(TimeStamp, 0), 0);
        M5: Result := RecodeMinute(RecodeSecond(RecodeMilliSecond(TimeStamp, 0), 0), MinuteOf(TimeStamp) - MinuteOf(TimeStamp) mod 5);
        H1: Result := RecodeMinute(RecodeSecond(RecodeMilliSecond(TimeStamp, 0), 0), 0);
        D: Result := StartOfTheDay(TimeStamp);
    else
        Result := 0;
    end;
end;

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

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

function TTicksToTimeframe.ProcessData(const Values: TArray<TDataPoint<TAskBidItem>>): Boolean;
var
    point: TDataPoint<TAskBidItem>;
    midPrice: Single;
    barStartTime: TDateTime;
    lastBarTime: TDateTime;
    currentBar: TOhlcItem;
begin
    Result := true;

    // Process each incoming data point
    for point in Values do
    begin
        midPrice := (point.Data.Ask + point.Data.Bid) / 2;

        // Update bar for the strategy's timeframe
        barStartTime := GetBarStartTime(point.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
                Broadcast(FCurrentBar);
            end;

            // Start a new bar, Volume is 1 because this is the first tick.
            currentBar := TOhlcItem.Create(midPrice, midPrice, midPrice, midPrice, 1);
            FCurrentBar.Data := currentBar;
            FCurrentBar.Time := barStartTime;
        end
        else
        begin
            // Update the currently aggregating bar
            currentBar := FCurrentBar.Data;
            currentBar.High := Max(currentBar.High, midPrice);
            currentBar.Low := Min(currentBar.Low, midPrice);
            currentBar.Close := midPrice;
            // Volume is the number of ticks needed to build the complete bar.
            currentBar.Volume := currentBar.Volume + 1;
            FCurrentBar.Data := currentBar;
        end;
    end;
end;

{ THullMovingAverage }

constructor THullMovingAverage.Create(const APeriod: Integer);
begin
    inherited Create;
    FPeriod := APeriod;
    FPeriodHalf := APeriod div 2;
    FPeriodSqrt := Round(Sqrt(APeriod));

    // Initialize data arrays.
    FSourceData := TMycDataArray<Double>.CreateEmpty;
    FDiffSeries := TMycDataArray<Double>.CreateEmpty;
end;

function THullMovingAverage.CalculateWMA(const Series: TMycDataArray<Double>; const Period: Integer): Double;
var
    i: Integer;
    numerator: Double;
    denominator: Int64;
begin
    // Ensure there is enough data to calculate the WMA
    if (Series.Count < Period) or (Period <= 0) then
        Exit(0.0);

    numerator := 0;
    // The sum of weights (1 + 2 + ... + Period)
    denominator := Period * (Period + 1) div 2;

    if (denominator = 0) then
        Exit(0.0);

    for i := 0 to Period - 1 do
    begin
        // Newest data (index 0) gets the highest weight (Period)
        numerator := numerator + Series[i] * (Period - i);
    end;

    Result := numerator / denominator;
end;

function THullMovingAverage.ProcessData(const Value: Double): Boolean;
var
    price: Double;
    wmaHalf, wmaFull, diff: Double;
    hma: Double;
begin
    Result := true;

    price := Value;

    // Default HMA to NaN for the warm-up period.
    hma := Double.NaN;

    // Add new price to the source data array, respecting the lookback period.
    FSourceData := FSourceData.Add(price, FPeriod);

    // Check if there is enough data to start the first stage of calculation.
    if (FSourceData.Count >= FPeriod) then
    begin
        // Calculate the two WMAs for the first step.
        wmaHalf := CalculateWMA(FSourceData, FPeriodHalf);
        wmaFull := CalculateWMA(FSourceData, FPeriod);

        // Calculate the difference and add to the intermediate series.
        diff := 2 * wmaHalf - wmaFull;
        FDiffSeries := FDiffSeries.Add(diff, FPeriodSqrt);

        // Check if there is enough intermediate data for the final calculation.
        if (FDiffSeries.Count >= FPeriodSqrt) then
        begin
            // Calculate the final HMA value, overwriting the default 0.0.
            hma := CalculateWMA(FDiffSeries, FPeriodSqrt);
        end;
    end;

    // Broadcast the result
    Broadcast(hma);
end;

{ TMycGenericConverter<S, T> }

constructor TMycGenericConverter<S, T>.Create(const AFunc: TConvertFunc);
begin
    inherited Create;
    FFunc := AFunc;
end;

function TMycGenericConverter<S, T>.ProcessData(const Value: S): Boolean;
begin
    Result := true;
    Broadcast(FFunc(Value));
end;

end.