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Add UCFG2 type definitions and lock file for QuanTAlib

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- Introduced type definitions for various classes in the QuanTAlib library, including Ema, EmaVector, EmaState, TSeries, CsvFeed, GBM, TBarSeries, TBar, and TValue.
- Added methods and properties for each class to enhance functionality and maintainability.
- Created a lock file to manage dependencies and ensure consistent builds.
This commit is contained in:
Miha Kralj
2025-11-29 16:43:52 -08:00
parent 8d8e60098e
commit 2b4e8e3fc3
70 changed files with 45335 additions and 49 deletions
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</RuleSet>
.sonarqube/conf/Sonar-cs.ruleset
+502
View File
@@ -0,0 +1,502 @@
<?xml version="1.0" encoding="utf-8"?>
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.sonarqube/conf/Sonar-vbnet-none.ruleset
+243
View File
@@ -0,0 +1,243 @@
<?xml version="1.0" encoding="utf-8"?>
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+279
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Equals(object?) QuanTAlib.TValue.Equals(object?)/
GetHashCode()QuanTAlib.TValue.GetHashCode()%
TValue()QuanTAlib.TValue.TValue()1
AsDateTime.getQuanTAlib.TValue.AsDateTime.get1
AsDateTime.setQuanTAlib.TValue.AsDateTime.setÅ
QuanTAlib.EmaStateSystem.ValueTypeobject+
EmaState()QuanTAlib.EmaState.EmaState()%
Ema.getQuanTAlib.EmaState.Ema.get%
Ema.setQuanTAlib.EmaState.Ema.set!
E.getQuanTAlib.EmaState.E.get!
E.setQuanTAlib.EmaState.E.set)
IsHot.getQuanTAlib.EmaState.IsHot.get)
IsHot.setQuanTAlib.EmaState.IsHot.setŠ
QuanTAlib.TBarSystem.ValueTypeobjectSystem.IEquatable<T>w
2TBar(long, double, double, double, double, double)AQuanTAlib.TBar.TBar(long, double, double, double, double, double)�
=TBar(System.DateTime, double, double, double, double, double)LQuanTAlib.TBar.TBar(System.DateTime, double, double, double, double, double)'
ToString()QuanTAlib.TBar.ToString()?
Equals(QuanTAlib.TBar)%QuanTAlib.TBar.Equals(QuanTAlib.TBar)1
Equals(object?)QuanTAlib.TBar.Equals(object?)-
GetHashCode()QuanTAlib.TBar.GetHashCode()
TBar()QuanTAlib.TBar.TBar()/
AsDateTime.getQuanTAlib.TBar.AsDateTime.get/
AsDateTime.setQuanTAlib.TBar.AsDateTime.set
O.getQuanTAlib.TBar.O.get
O.setQuanTAlib.TBar.O.set
H.getQuanTAlib.TBar.H.get
H.setQuanTAlib.TBar.H.set
L.getQuanTAlib.TBar.L.get
L.setQuanTAlib.TBar.L.set
C.getQuanTAlib.TBar.C.get
C.setQuanTAlib.TBar.C.set
V.getQuanTAlib.TBar.V.get
V.setQuanTAlib.TBar.V.set!
HL2.getQuanTAlib.TBar.HL2.get!
HL2.setQuanTAlib.TBar.HL2.set!
OC2.getQuanTAlib.TBar.OC2.get!
OC2.setQuanTAlib.TBar.OC2.set#
OHL3.getQuanTAlib.TBar.OHL3.get#
OHL3.setQuanTAlib.TBar.OHL3.set#
HLC3.getQuanTAlib.TBar.HLC3.get#
HLC3.setQuanTAlib.TBar.HLC3.set%
OHLC4.getQuanTAlib.TBar.OHLC4.get%
OHLC4.setQuanTAlib.TBar.OHLC4.set%
HLCC4.getQuanTAlib.TBar.HLCC4.get%
HLCC4.setQuanTAlib.TBar.HLCC4.set
.sonarqube/out/ucfg2/cs/1_4.ucfgs
BIN
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Binary file not shown.
.sonarqube/out/ucfg2/cs/1_5.typedefs
+177
View File
@@ -0,0 +1,177 @@
ó
QuanTAlib.Emaobject"
Ema(int)QuanTAlib.Ema.Ema(int)(
Ema(double)QuanTAlib.Ema.Ema(double)<
GetValidValue(double)#QuanTAlib.Ema.GetValidValue(double)N
Update(QuanTAlib.TValue, bool),QuanTAlib.Ema.Update(QuanTAlib.TValue, bool)D
Update(QuanTAlib.TSeries)'QuanTAlib.Ema.Update(QuanTAlib.TSeries)
Reset()QuanTAlib.Ema.Reset()$
Value.getQuanTAlib.Ema.Value.get$
Value.setQuanTAlib.Ema.Value.set$
IsHot.getQuanTAlib.Ema.IsHot.get$
IsHot.setQuanTAlib.Ema.IsHot.set¹
QuanTAlib.EmaVectorobject8
EmaVector(int[])$QuanTAlib.EmaVector.EmaVector(int[])>
EmaVector(double[])'QuanTAlib.EmaVector.EmaVector(double[])0
ResetAt(int) QuanTAlib.EmaVector.ResetAt(int)B
GetValidValue(double))QuanTAlib.EmaVector.GetValidValue(double)&
Reset()QuanTAlib.EmaVector.Reset()T
Update(QuanTAlib.TValue, bool)2QuanTAlib.EmaVector.Update(QuanTAlib.TValue, bool)P
Calculate(QuanTAlib.TSeries)0QuanTAlib.EmaVector.Calculate(QuanTAlib.TSeries),
Values.getQuanTAlib.EmaVector.Values.get,
Values.setQuanTAlib.EmaVector.Values.setÅ
QuanTAlib.EmaStateSystem.ValueTypeobject+
EmaState()QuanTAlib.EmaState.EmaState()%
Ema.getQuanTAlib.EmaState.Ema.get%
Ema.setQuanTAlib.EmaState.Ema.set!
E.getQuanTAlib.EmaState.E.get!
E.setQuanTAlib.EmaState.E.set)
IsHot.getQuanTAlib.EmaState.IsHot.get)
IsHot.setQuanTAlib.EmaState.IsHot.setî
QuanTAlib.TSeriesobject+System.Collections.Generic.IReadOnlyList<T>$
Pub.addQuanTAlib.TSeries.Pub.add*
Pub.removeQuanTAlib.TSeries.Pub.remove(
TSeries()QuanTAlib.TSeries.TSeries().
TSeries(int)QuanTAlib.TSeries.TSeries(int)Ä
WTSeries(System.Collections.Generic.List<long>, System.Collections.Generic.List<double>)iQuanTAlib.TSeries.TSeries(System.Collections.Generic.List<long>, System.Collections.Generic.List<double>)d
Add(QuanTAlib.TValue, bool)ESystem.Collections.Generic.ICollection<T>.Add(QuanTAlib.TValue, bool)X
Add(QuanTAlib.TValue)?System.Collections.Generic.ICollection<T>.Add(QuanTAlib.TValue)\
Add(long, double, bool)ASystem.Collections.Generic.ICollection<T>.Add(long, double, bool)r
"Add(System.DateTime, double, bool)LSystem.Collections.Generic.ICollection<T>.Add(System.DateTime, double, bool)”
3Add(System.Collections.Generic.IEnumerable<double>)]System.Collections.Generic.ICollection<T>.Add(System.Collections.Generic.IEnumerable<double>)L
GetEnumerator()9System.Collections.Generic.ICollection<T>.GetEnumerator()r
.System.Collections.IEnumerable.GetEnumerator()@QuanTAlib.TSeries.System.Collections.IEnumerable.GetEnumerator()>
Name.get2System.Collections.Generic.ICollection<T>.Name.get>
Name.set2System.Collections.Generic.ICollection<T>.Name.set@
Count.get3System.Collections.Generic.ICollection<T>.Count.get@
Count.set3System.Collections.Generic.ICollection<T>.Count.setH
this[int].get7System.Collections.Generic.ICollection<T>.this[int].getH
this[int].set7System.Collections.Generic.ICollection<T>.this[int].set>
Last.get2System.Collections.Generic.ICollection<T>.Last.get>
Last.set2System.Collections.Generic.ICollection<T>.Last.setH
LastValue.get7System.Collections.Generic.ICollection<T>.LastValue.getH
LastValue.set7System.Collections.Generic.ICollection<T>.LastValue.setF
LastTime.get6System.Collections.Generic.ICollection<T>.LastTime.getF
LastTime.set6System.Collections.Generic.ICollection<T>.LastTime.setB
Values.get4System.Collections.Generic.ICollection<T>.Values.getB
Values.set4System.Collections.Generic.ICollection<T>.Values.set@
Times.get3System.Collections.Generic.ICollection<T>.Times.get@
Times.set3System.Collections.Generic.ICollection<T>.Times.setœ
QuanTAlib.CsvFeedobjectQuanTAlib.IFeed4
CsvFeed(string)!QuanTAlib.CsvFeed.CsvFeed(string)2
Next(ref bool) QuanTAlib.CsvFeed.Next(ref bool)*
Next(bool)QuanTAlib.CsvFeed.Next(bool)X
!Fetch(int, long, System.TimeSpan)3QuanTAlib.CsvFeed.Fetch(int, long, System.TimeSpan)ü
QuanTAlib.GBMobjectQuanTAlib.IFeedx
3GBM(double, double, double, System.TimeSpan?, int?)AQuanTAlib.GBM.GBM(double, double, double, System.TimeSpan?, int?)*
NextNormal()QuanTAlib.GBM.NextNormal().
Next(ref bool)QuanTAlib.GBM.Next(ref bool)&
Next(bool)QuanTAlib.GBM.Next(bool)T
!Fetch(int, long, System.TimeSpan)/QuanTAlib.GBM.Fetch(int, long, System.TimeSpan)
QuanTAlib.IFeedË
QuanTAlib.TBarSeriesobject+System.Collections.Generic.IReadOnlyList<T>'
Pub.addQuanTAlib.TBarSeries.Pub.add-
Pub.removeQuanTAlib.TBarSeries.Pub.remove1
TBarSeries()!QuanTAlib.TBarSeries.TBarSeries()7
TBarSeries(int)$QuanTAlib.TBarSeries.TBarSeries(int)`
Add(QuanTAlib.TBar, bool)CSystem.Collections.Generic.ICollection<T>.Add(QuanTAlib.TBar, bool)œ
7Add(long, double, double, double, double, double, bool)aSystem.Collections.Generic.ICollection<T>.Add(long, double, double, double, double, double, bool)²
BAdd(System.DateTime, double, double, double, double, double, bool)lSystem.Collections.Generic.ICollection<T>.Add(System.DateTime, double, double, double, double, double, bool)ò
¡Add(System.Collections.Generic.IEnumerable<long>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>)ËSystem.Collections.Generic.ICollection<T>.Add(System.Collections.Generic.IEnumerable<long>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>, System.Collections.Generic.IEnumerable<double>)L
GetEnumerator()9System.Collections.Generic.ICollection<T>.GetEnumerator()u
.System.Collections.IEnumerable.GetEnumerator()CQuanTAlib.TBarSeries.System.Collections.IEnumerable.GetEnumerator()>
Name.get2System.Collections.Generic.ICollection<T>.Name.get>
Name.set2System.Collections.Generic.ICollection<T>.Name.set>
Open.get2System.Collections.Generic.ICollection<T>.Open.get>
Open.set2System.Collections.Generic.ICollection<T>.Open.set>
High.get2System.Collections.Generic.ICollection<T>.High.get>
High.set2System.Collections.Generic.ICollection<T>.High.set<
Low.get1System.Collections.Generic.ICollection<T>.Low.get<
Low.set1System.Collections.Generic.ICollection<T>.Low.set@
Close.get3System.Collections.Generic.ICollection<T>.Close.get@
Close.set3System.Collections.Generic.ICollection<T>.Close.setB
Volume.get4System.Collections.Generic.ICollection<T>.Volume.getB
Volume.set4System.Collections.Generic.ICollection<T>.Volume.set8
O.get/System.Collections.Generic.ICollection<T>.O.get8
O.set/System.Collections.Generic.ICollection<T>.O.set8
H.get/System.Collections.Generic.ICollection<T>.H.get8
H.set/System.Collections.Generic.ICollection<T>.H.set8
L.get/System.Collections.Generic.ICollection<T>.L.get8
L.set/System.Collections.Generic.ICollection<T>.L.set8
C.get/System.Collections.Generic.ICollection<T>.C.get8
C.set/System.Collections.Generic.ICollection<T>.C.set8
V.get/System.Collections.Generic.ICollection<T>.V.get8
V.set/System.Collections.Generic.ICollection<T>.V.set@
Count.get3System.Collections.Generic.ICollection<T>.Count.get@
Count.set3System.Collections.Generic.ICollection<T>.Count.setH
this[int].get7System.Collections.Generic.ICollection<T>.this[int].getH
this[int].set7System.Collections.Generic.ICollection<T>.this[int].set>
Last.get2System.Collections.Generic.ICollection<T>.Last.get>
Last.set2System.Collections.Generic.ICollection<T>.Last.setF
LastTime.get6System.Collections.Generic.ICollection<T>.LastTime.getF
LastTime.set6System.Collections.Generic.ICollection<T>.LastTime.setF
LastOpen.get6System.Collections.Generic.ICollection<T>.LastOpen.getF
LastOpen.set6System.Collections.Generic.ICollection<T>.LastOpen.setF
LastHigh.get6System.Collections.Generic.ICollection<T>.LastHigh.getF
LastHigh.set6System.Collections.Generic.ICollection<T>.LastHigh.setD
LastLow.get5System.Collections.Generic.ICollection<T>.LastLow.getD
LastLow.set5System.Collections.Generic.ICollection<T>.LastLow.setH
LastClose.get7System.Collections.Generic.ICollection<T>.LastClose.getH
LastClose.set7System.Collections.Generic.ICollection<T>.LastClose.setJ
LastVolume.get8System.Collections.Generic.ICollection<T>.LastVolume.getJ
LastVolume.set8System.Collections.Generic.ICollection<T>.LastVolume.setŠ
QuanTAlib.TBarSystem.ValueTypeobjectSystem.IEquatable<T>w
2TBar(long, double, double, double, double, double)AQuanTAlib.TBar.TBar(long, double, double, double, double, double)�
=TBar(System.DateTime, double, double, double, double, double)LQuanTAlib.TBar.TBar(System.DateTime, double, double, double, double, double)'
ToString()QuanTAlib.TBar.ToString()?
Equals(QuanTAlib.TBar)%QuanTAlib.TBar.Equals(QuanTAlib.TBar)1
Equals(object?)QuanTAlib.TBar.Equals(object?)-
GetHashCode()QuanTAlib.TBar.GetHashCode()
TBar()QuanTAlib.TBar.TBar()/
AsDateTime.getQuanTAlib.TBar.AsDateTime.get/
AsDateTime.setQuanTAlib.TBar.AsDateTime.set
O.getQuanTAlib.TBar.O.get
O.setQuanTAlib.TBar.O.set
H.getQuanTAlib.TBar.H.get
H.setQuanTAlib.TBar.H.set
L.getQuanTAlib.TBar.L.get
L.setQuanTAlib.TBar.L.set
C.getQuanTAlib.TBar.C.get
C.setQuanTAlib.TBar.C.set
V.getQuanTAlib.TBar.V.get
V.setQuanTAlib.TBar.V.set!
HL2.getQuanTAlib.TBar.HL2.get!
HL2.setQuanTAlib.TBar.HL2.set!
OC2.getQuanTAlib.TBar.OC2.get!
OC2.setQuanTAlib.TBar.OC2.set#
OHL3.getQuanTAlib.TBar.OHL3.get#
OHL3.setQuanTAlib.TBar.OHL3.set#
HLC3.getQuanTAlib.TBar.HLC3.get#
HLC3.setQuanTAlib.TBar.HLC3.set%
OHLC4.getQuanTAlib.TBar.OHLC4.get%
OHLC4.setQuanTAlib.TBar.OHLC4.set%
HLCC4.getQuanTAlib.TBar.HLCC4.get%
HLCC4.setQuanTAlib.TBar.HLCC4.set»
QuanTAlib.TValueSystem.ValueTypeobjectSystem.IEquatable<T>=
TValue(long, double)%QuanTAlib.TValue.TValue(long, double)S
TValue(System.DateTime, double)0QuanTAlib.TValue.TValue(System.DateTime, double))
ToString()QuanTAlib.TValue.ToString()E
Equals(QuanTAlib.TValue))QuanTAlib.TValue.Equals(QuanTAlib.TValue)3
Equals(object?) QuanTAlib.TValue.Equals(object?)/
GetHashCode()QuanTAlib.TValue.GetHashCode()%
TValue()QuanTAlib.TValue.TValue()1
AsDateTime.getQuanTAlib.TValue.AsDateTime.get1
AsDateTime.setQuanTAlib.TValue.AsDateTime.set
.sonarqube/out/ucfg2/cs/A4F62BF9625D36CB6BAE782CF9ACF55793FBB6B7D5721F48358D1F50F8934252.lock
View File
lib/averages/ema/Ema.cs
+2 -2
View File
@@ -3,7 +3,7 @@ using System.Runtime.InteropServices;
namespace QuanTAlib;
public struct EmaState
internal struct EmaState
{
public double Ema { get; set; }
public double E { get; set; }
@@ -81,7 +81,7 @@ public class Ema
/// Assumes input has already been validated via GetValidValue().
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static double Compute(double input, double alpha, ref EmaState state)
internal static double Compute(double input, double alpha, ref EmaState state)
{
state.Ema += alpha * (input - state.Ema);
lib/averages/ema/EmaVector.cs
+23 -5
View File
@@ -1,5 +1,3 @@
using System;
using System.Collections.Generic;
using System.Numerics;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
@@ -11,11 +9,14 @@ namespace QuanTAlib;
/// Calculates multiple EMAs with different periods/alphas for the same input series in parallel.
/// Uses last-value substitution for invalid inputs (NaN/Infinity).
/// </summary>
[SkipLocalsInit]
public class EmaVector
{
private readonly double[] _alphas;
private readonly double[] _emas;
private readonly double[] _Es;
private readonly double[] _p_emas;
private readonly double[] _p_Es;
private readonly int _count;
private double _lastValidValue;
@@ -34,11 +35,13 @@ public class EmaVector
_alphas = new double[_count];
_emas = new double[_count];
_Es = new double[_count];
_p_emas = new double[_count];
_p_Es = new double[_count];
Values = new TValue[_count];
for (int i = 0; i < _count; i++)
{
if (periods[i] <= 0) throw new ArgumentException("Period must be greater than 0", nameof(periods));
ArgumentOutOfRangeException.ThrowIfLessThanOrEqual(periods[i], 0);
_alphas[i] = 2.0 / (periods[i] + 1);
ResetAt(i);
}
@@ -54,11 +57,14 @@ public class EmaVector
_alphas = new double[_count];
_emas = new double[_count];
_Es = new double[_count];
_p_emas = new double[_count];
_p_Es = new double[_count];
Values = new TValue[_count];
for (int i = 0; i < _count; i++)
{
if (alphas[i] <= 0 || alphas[i] > 1) throw new ArgumentException("Alpha must be between 0 and 1", nameof(alphas));
if (alphas[i] <= 0 || alphas[i] > 1)
throw new ArgumentOutOfRangeException(nameof(alphas), alphas[i], "Alpha must be between 0 (exclusive) and 1 (inclusive)");
_alphas[i] = alphas[i];
ResetAt(i);
}
@@ -103,10 +109,22 @@ public class EmaVector
/// the last known good value, providing continuity in the output series.
/// </summary>
/// <param name="input">Input value</param>
/// <param name="isNew">True for new bar, false for update to current bar (default: true)</param>
/// <returns>Array of compensated EMA values</returns>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue[] Update(TValue input)
public TValue[] Update(TValue input, bool isNew = true)
{
if (isNew)
{
Array.Copy(_emas, _p_emas, _count);
Array.Copy(_Es, _p_Es, _count);
}
else
{
Array.Copy(_p_emas, _emas, _count);
Array.Copy(_p_Es, _Es, _count);
}
// Last-value substitution: replace non-finite inputs with last valid value
double val = GetValidValue(input.Value);
lib/core/simd/SimdExtensions.cs
+15 -6
View File
@@ -82,6 +82,8 @@ public static class SimdExtensions
/// <summary>
/// Checks if span contains any non-finite values (NaN or Infinity).
/// Returns true if any non-finite value is found.
/// Uses SIMD: NaN detected via v != v (NaN is the only value where this is true),
/// Infinity detected via |v| > MaxValue comparison.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static bool ContainsNonFinite(this ReadOnlySpan<double> span)
@@ -92,18 +94,25 @@ public static class SimdExtensions
{
int vectorSize = Vector<double>.Count;
int i = 0;
var maxValue = new Vector<double>(double.MaxValue);
for (; i <= span.Length - vectorSize; i += vectorSize)
{
var vector = new Vector<double>(span.Slice(i, vectorSize));
for (int j = 0; j < vectorSize; j++)
{
if (!double.IsFinite(vector[j]))
return true;
}
// NaN check: NaN != NaN, so Vector.Equals(v, v) will be false for NaN lanes
var nanCheck = Vector.Equals(vector, vector);
if (!nanCheck.Equals(Vector<long>.AllBitsSet))
return true;
// Infinity check: |v| > MaxValue (Infinity has magnitude > MaxValue)
var absVec = Vector.Abs(vector);
var infCheck = Vector.GreaterThan(absVec, maxValue);
if (!infCheck.Equals(Vector<long>.Zero))
return true;
}
// Check remaining elements
// Check remaining elements with scalar
for (; i < span.Length; i++)
{
if (!double.IsFinite(span[i]))
lib/core/tbarseries/tbarseries.cs
+20 -6
View File
@@ -127,12 +127,26 @@ public class TBarSeries : IReadOnlyList<TBar>
public void Add(IEnumerable<long> t, IEnumerable<double> o, IEnumerable<double> h, IEnumerable<double> l, IEnumerable<double> c, IEnumerable<double> v)
{
_t.AddRange(t);
_o.AddRange(o);
_h.AddRange(h);
_l.AddRange(l);
_c.AddRange(c);
_v.AddRange(v);
var tArr = t as long[] ?? t.ToArray();
var oArr = o as double[] ?? o.ToArray();
var hArr = h as double[] ?? h.ToArray();
var lArr = l as double[] ?? l.ToArray();
var cArr = c as double[] ?? c.ToArray();
var vArr = v as double[] ?? v.ToArray();
if (tArr.Length != oArr.Length || oArr.Length != hArr.Length ||
hArr.Length != lArr.Length || lArr.Length != cArr.Length ||
cArr.Length != vArr.Length)
{
throw new ArgumentException("All arrays must have the same length");
}
_t.AddRange(tArr);
_o.AddRange(oArr);
_h.AddRange(hArr);
_l.AddRange(lArr);
_c.AddRange(cArr);
_v.AddRange(vArr);
}
public IEnumerator<TBar> GetEnumerator()
lib/feeds/csv/CsvFeed.cs
+28 -19
View File
@@ -12,7 +12,7 @@ namespace QuanTAlib;
public class CsvFeed : IFeed
{
private readonly TBarSeries _data;
// Streaming state
private int _currentIndex;
private TBar _currentBar;
@@ -38,27 +38,36 @@ public class CsvFeed : IFeed
/// <summary>
/// Parses CSV file into TBarSeries.
/// Expected format: timestamp,open,high,low,close,volume
/// Memory-efficient: reads lines into list, reverses in-place (no LINQ allocations).
/// </summary>
private static TBarSeries LoadFromCsv(string filePath)
{
var lines = File.ReadAllLines(filePath);
if (lines.Length == 0)
throw new InvalidDataException("CSV file is empty");
var dataLines = new List<string>();
using (var reader = new StreamReader(filePath))
{
var header = reader.ReadLine();
if (header is null)
throw new InvalidDataException("CSV file is empty");
// Skip header, reverse to chronological order (oldest first)
var dataLines = lines.Skip(1).Reverse().ToArray();
if (dataLines.Length == 0)
while (!reader.EndOfStream)
{
var line = reader.ReadLine();
if (!string.IsNullOrWhiteSpace(line))
dataLines.Add(line);
}
}
if (dataLines.Count == 0)
throw new InvalidDataException("CSV file contains only header, no data");
var series = new TBarSeries(dataLines.Length);
// Reverse in-place to chronological order (oldest first)
dataLines.Reverse();
for (int i = 0; i < dataLines.Length; i++)
var series = new TBarSeries(dataLines.Count);
for (int i = 0; i < dataLines.Count; i++)
{
var line = dataLines[i];
if (string.IsNullOrWhiteSpace(line))
continue;
var parts = line.Split(',');
if (parts.Length != 6)
@@ -68,7 +77,7 @@ public class CsvFeed : IFeed
{
// Parse timestamp (YYYY-MM-DD format, assume UTC midnight)
var timestamp = DateTime.ParseExact(parts[0].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);
// Parse OHLCV values
double open = double.Parse(parts[1].Trim(), CultureInfo.InvariantCulture);
double high = double.Parse(parts[2].Trim(), CultureInfo.InvariantCulture);
@@ -142,7 +151,7 @@ public class CsvFeed : IFeed
throw new ArgumentException("Count must be positive", nameof(count));
var result = new TBarSeries(count);
// Find starting index
int startIndex = 0;
for (int i = 0; i < _data.Count; i++)
@@ -157,15 +166,15 @@ public class CsvFeed : IFeed
// Collect bars matching interval
long expectedTime = startTime;
int collected = 0;
for (int i = startIndex; i < _data.Count && collected < count; i++)
{
var bar = _data[i];
// Check if bar time matches expected time (within tolerance)
long timeDiff = Math.Abs(bar.Time - expectedTime);
long tolerance = interval.Ticks / 2; // Allow 50% tolerance
if (timeDiff <= tolerance)
{
result.Add(bar, isNew: true);
@@ -177,7 +186,7 @@ public class CsvFeed : IFeed
// Gap in data - skip forward
long gaps = (bar.Time - expectedTime) / interval.Ticks;
expectedTime += (gaps + 1) * interval.Ticks;
if (Math.Abs(bar.Time - expectedTime + interval.Ticks) <= tolerance)
{
result.Add(bar, isNew: true);
lib/feeds/gbm/gbm.cs
+17 -11
View File
@@ -1,4 +1,3 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
@@ -8,9 +7,10 @@ namespace QuanTAlib;
/// Generates realistic price data for testing indicators and strategies.
/// Stateless design - only maintains minimal state needed for price continuity.
/// </summary>
[SkipLocalsInit]
public class GBM : IFeed
{
private readonly Random _rnd = new();
private readonly Random _rnd;
private double _lastPrice;
private long _lastTime;
@@ -35,26 +35,32 @@ public class GBM : IFeed
/// <summary>
/// Creates a new GBM generator.
/// </summary>
/// <param name="startPrice">Initial price (default: 100.0)</param>
/// <param name="startPrice">Initial price (default: 100.0, must be positive)</param>
/// <param name="mu">Annual drift/return rate (default: 0.05 = 5%)</param>
/// <param name="sigma">Annual volatility (default: 0.2 = 20%)</param>
/// <param name="sigma">Annual volatility (default: 0.2 = 20%, must be non-negative)</param>
/// <param name="defaultTimeframe">Default timeframe for bars (default: 1 minute)</param>
/// <param name="seed">Optional random seed for reproducibility (default: null for non-deterministic)</param>
public GBM(
double startPrice = 100.0,
double mu = 0.05,
double sigma = 0.2,
TimeSpan? defaultTimeframe = null)
TimeSpan? defaultTimeframe = null,
int? seed = null)
{
ArgumentOutOfRangeException.ThrowIfNegativeOrZero(startPrice);
ArgumentOutOfRangeException.ThrowIfNegative(sigma);
_rnd = seed.HasValue ? new Random(seed.Value) : new Random();
_lastPrice = startPrice;
_lastTime = DateTime.UtcNow.Ticks;
_mu = mu;
_sigma = sigma;
// Use provided timeframe or default to 1 minute
var timeframe = defaultTimeframe ?? TimeSpan.FromMinutes(1);
_defaultTimeStep = timeframe.Ticks;
// Calculate dt based on timeframe (assuming 252 trading days/year, 6.5 hours/day)
double minutesPerYear = 252.0 * 6.5 * 60.0;
_dt = timeframe.TotalMinutes / minutesPerYear;
@@ -94,12 +100,12 @@ public class GBM : IFeed
public TBar Next(ref bool isNew)
{
// GBM always honors request - parameter unchanged
if (isNew || !_hasCurrentBar)
{
// Generate new bar
long currentTime = _lastTime + _defaultTimeStep;
double z = NextNormal();
double price = _lastPrice * Math.Exp(_drift + _vol * z);
double volume = 1000 + _rnd.NextDouble() * 1000;
@@ -199,10 +205,10 @@ public class GBM : IFeed
// Update internal state to continue from end of batch
_lastPrice = currentPrice;
_lastTime = currentTime - timeStep; // Last bar time, not next bar time
// Bulk add to series
series.Add(t, o, h, l, c, v);
// Reset streaming state after batch
_hasCurrentBar = false;