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Miha Kralj
2024-10-08 17:58:02 -07:00
parent 00b5bf3242
commit 14ec3cd2b0
11 changed files with 204 additions and 156 deletions
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lib/feeds/GbmFeed.cs
+15 -8
View File
@@ -1,11 +1,11 @@
using System.CommandLine.Rendering.Views;
using System.Security.Cryptography;
namespace QuanTAlib;
public class GbmFeed : TBarSeries
{
private readonly double _mu, _sigma;
private readonly Random _random;
private readonly RandomNumberGenerator _rng;
private double _lastClose, _lastHigh, _lastLow;
public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2)
@@ -13,7 +13,7 @@ public class GbmFeed : TBarSeries
_lastClose = _lastHigh = _lastLow = initialPrice;
_mu = mu;
_sigma = sigma;
_random = new Random((int)DateTime.Now.Ticks);
_rng = RandomNumberGenerator.Create();
this.Name = $"GBM({_sigma:F2})";
}
@@ -39,9 +39,9 @@ public class GbmFeed : TBarSeries
double newClose = _lastClose * Math.Exp(drift + diffusion);
double open = _lastClose;
double high = Math.Max(_lastHigh, Math.Max(open, newClose) * (1 + _random.NextDouble() * 0.01));
double low = Math.Min(_lastLow, Math.Min(open, newClose) * (1 - _random.NextDouble() * 0.01));
double volume = 1000 + _random.NextDouble() * 1000;
double high = Math.Max(_lastHigh, Math.Max(open, newClose) * (1 + GenerateRandomDouble() * 0.01));
double low = Math.Min(_lastLow, Math.Min(open, newClose) * (1 - GenerateRandomDouble() * 0.01));
double volume = 1000 + GenerateRandomDouble() * 1000;
if (isNew)
{
@@ -62,8 +62,15 @@ public class GbmFeed : TBarSeries
private double GenerateNormalRandom()
{
// Box-Muller transform to generate standard normal random variable
double u1 = 1.0 - _random.NextDouble(); // Uniform(0,1] random doubles
double u2 = 1.0 - _random.NextDouble();
double u1 = 1.0 - GenerateRandomDouble(); // Uniform(0,1] random doubles
double u2 = 1.0 - GenerateRandomDouble();
return Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
}
private double GenerateRandomDouble()
{
byte[] bytes = new byte[8];
_rng.GetBytes(bytes);
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
}
}