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Add TBar, TBarSeries, TSeries, TValue, and IFeed implementations with comprehensive documentation and examples
- Introduced TBar struct for efficient OHLCV data representation. - Implemented TBarSeries class for high-performance collection of TBar instances using Structure of Arrays (SoA) layout. - Added TSeries class for time-series data management with zero-copy access. - Created TValue struct for time-value pairs with implicit conversions. - Defined IFeed interface for consistent data feed implementations. - Developed CsvFeed class for loading historical OHLCV data from CSV files. - Implemented GBM class for generating synthetic financial data using Geometric Brownian Motion. - Added Quantower project files for Averages indicator with necessary dependencies and configurations. - Included extensive usage examples and notebooks for TBar, TBarSeries, TSeries, TValue, and feed implementations.
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#!meta
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{"kernelInfo":{"defaultKernelName":"csharp","items":[{"name":"csharp"},{"name":"fsharp","languageName":"F#","aliases":["f#","fs"]},{"name":"html","languageName":"HTML"},{"name":"http","languageName":"HTTP"},{"name":"javascript","languageName":"JavaScript","aliases":["js"]},{"name":"mermaid","languageName":"Mermaid"},{"name":"pwsh","languageName":"PowerShell","aliases":["powershell"]},{"name":"value"}]}}
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#!markdown
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# TSeries Examples
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This notebook demonstrates the usage of `TSeries`, the high-performance time series container in QuanTAlib.
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For detailed documentation, see [TSeries.md](TSeries.md).
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#!csharp
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// Reference the library
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#r "..\..\bin\QuanTAlib.dll"
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using System;
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using QuanTAlib;
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#!markdown
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## Creating and Adding Data
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`TSeries` supports adding data via `DateTime` or `ticks`.
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#!csharp
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var series = new TSeries();
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var now = DateTime.UtcNow;
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// Add new values
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series.Add(now, 10.0);
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series.Add(now.AddMinutes(1), 11.0);
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series.Add(now.AddMinutes(2), 12.0);
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Console.WriteLine($"Count: {series.Count}");
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Console.WriteLine($"Last Value: {series.Last.Value}");
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#!markdown
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## Streaming Updates (`isNew`)
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In real-time scenarios, you often receive updates for the *current* bar before it closes. `TSeries` handles this via the `isNew` parameter.
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#!csharp
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var streamSeries = new TSeries();
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long t = DateTime.UtcNow.Ticks;
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// 1. New Bar
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streamSeries.Add(t, 100.0, isNew: true);
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Console.WriteLine($"New Bar: Count={streamSeries.Count}, Last={streamSeries.Last.Value}");
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// 2. Update Current Bar (Price moves to 101.0)
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streamSeries.Add(t, 101.0, isNew: false);
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Console.WriteLine($"Update: Count={streamSeries.Count}, Last={streamSeries.Last.Value}");
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// 3. Update Current Bar (Price moves to 100.5)
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streamSeries.Add(t, 100.5, isNew: false);
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Console.WriteLine($"Update: Count={streamSeries.Count}, Last={streamSeries.Last.Value}");
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// 4. New Bar (Next minute)
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streamSeries.Add(t + TimeSpan.TicksPerMinute, 102.0, isNew: true);
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Console.WriteLine($"New Bar: Count={streamSeries.Count}, Last={streamSeries.Last.Value}");
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#!markdown
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## Zero-Copy Access (Spans)
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You can access the underlying data arrays directly as `ReadOnlySpan<T>` for high-performance processing.
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#!csharp
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// Access Values as Span
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Console.WriteLine("Values in Span:");
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foreach (var v in series.Values)
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{
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Console.Write($"{v} ");
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}
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Console.WriteLine();
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// Access Times as Span
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Console.WriteLine($"First Time: {new DateTime(series.Times[0])}");
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# TSeries: Time Series Data
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## Overview
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`TSeries` is a high-performance container for time-series data. Unlike a standard `List<TValue>`, it uses a **Structure of Arrays (SoA)** layout internally. This means it stores timestamps and values in separate contiguous arrays (`List<long>` and `List<double>`).
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This layout is critical for performance because it allows:
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1. **SIMD Optimization**: The `Values` property returns a `ReadOnlySpan<double>` that can be directly processed by CPU vector instructions (AVX/SSE).
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2. **Cache Locality**: Iterating over values doesn't load timestamps into the CPU cache, and vice versa.
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## Structure
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```csharp
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public class TSeries : IReadOnlyList<TValue>
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{
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// Internal SoA storage
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protected readonly List<long> _t;
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protected readonly List<double> _v;
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// Public accessors
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public ReadOnlySpan<double> Values => ...; // Zero-copy access
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public ReadOnlySpan<long> Times => ...; // Zero-copy access
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public TValue Last { get; }
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public int Count { get; }
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}
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```
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## Key Features
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* **SoA Layout**: Optimized for numerical computing and SIMD.
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* **Zero-Copy Access**: `Values` and `Times` properties expose internal storage as Spans without copying.
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* **Streaming Support**: The `Add` method supports `isNew` parameter to handle intra-bar updates (replacing the last value instead of appending).
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* **Event Publishing**: Optional `Pub` event for reactive pipelines.
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## Usage
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### Creating and Adding Data
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```csharp
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var series = new TSeries();
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series.Add(DateTime.Now, 100.0); // isNew=true by default
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```
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### Streaming Updates
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```csharp
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// New bar
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series.Add(time, 100.0, isNew: true);
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// Update current bar (e.g. price change within same minute)
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series.Add(time, 101.0, isNew: false);
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```
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### SIMD Processing
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```csharp
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// Calculate average using SIMD
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double avg = series.Values.AverageSIMD();
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