QuanTAlib/lib/feeds/gbm/GBM.Notebook.dib

#!meta

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#!csharp

// Reference the library
#r "..\..\bin\QuanTAlib.dll"

using QuanTAlib;

// 1. Initialize GBM Generator
// GBM simulates price movements using Geometric Brownian Motion
// Parameters: Start Price, Drift (mu), Volatility (sigma)

var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
Console.WriteLine("GBM Generator initialized (Start=100, Drift=5%, Vol=20%)");

#!csharp

// 2. Batch Generation
// Generate a sequence of bars at once
// Useful for backtesting or initializing indicators

long startTime = DateTime.UtcNow.Ticks;
var interval = TimeSpan.FromMinutes(1);

var history = gbm.Fetch(10, startTime, interval);

Console.WriteLine($"Generated {history.Count} bars:");
for (int i = 0; i < history.Count; i++)
{
    Console.WriteLine($"  Bar {i}: Time={history[i].AsDateTime:HH:mm}, Close={history[i].Close:F2}");
}

#!csharp

// 3. Streaming Generation
// Simulate real-time data feed bar by bar

Console.WriteLine("\nStreaming new bars:");
for (int i = 0; i < 3; i++)
{
    var bar = gbm.Next(isNew: true);
    Console.WriteLine($"  New Bar: {bar.Close:F2}");
}

#!csharp

// 4. Intra-bar Updates
// Simulate real-time price ticks within a single bar
// The High/Low will expand, and Close will update

Console.WriteLine("\nSimulating intra-bar updates:");

// Start a new bar
var liveBar = gbm.Next(isNew: true);
Console.WriteLine($"  Open: {liveBar.Open:F2}, Close: {liveBar.Close:F2}");

// Simulate 5 ticks
for (int i = 1; i <= 5; i++)
{
    liveBar = gbm.Next(isNew: false);
    Console.WriteLine($"  Tick {i}: Close={liveBar.Close:F2}, High={liveBar.High:F2}, Low={liveBar.Low:F2}");
}

// Finalize bar
liveBar = gbm.Next(isNew: true);
Console.WriteLine($"  Finalized Previous, Started New: {liveBar.Open:F2}");