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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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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;