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.
This commit is contained in:
Miha Kralj
2025-11-27 19:51:43 -08:00
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# TSeries: Time Series Data
## Overview
`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>`).
This layout is critical for performance because it allows:
1. **SIMD Optimization**: The `Values` property returns a `ReadOnlySpan<double>` that can be directly processed by CPU vector instructions (AVX/SSE).
2. **Cache Locality**: Iterating over values doesn't load timestamps into the CPU cache, and vice versa.
## Structure
```csharp
public class TSeries : IReadOnlyList<TValue>
{
// Internal SoA storage
protected readonly List<long> _t;
protected readonly List<double> _v;
// Public accessors
public ReadOnlySpan<double> Values => ...; // Zero-copy access
public ReadOnlySpan<long> Times => ...; // Zero-copy access
public TValue Last { get; }
public int Count { get; }
}
```
## Key Features
* **SoA Layout**: Optimized for numerical computing and SIMD.
* **Zero-Copy Access**: `Values` and `Times` properties expose internal storage as Spans without copying.
* **Streaming Support**: The `Add` method supports `isNew` parameter to handle intra-bar updates (replacing the last value instead of appending).
* **Event Publishing**: Optional `Pub` event for reactive pipelines.
## Usage
### Creating and Adding Data
```csharp
var series = new TSeries();
series.Add(DateTime.Now, 100.0); // isNew=true by default
```
### Streaming Updates
```csharp
// New bar
series.Add(time, 100.0, isNew: true);
// Update current bar (e.g. price change within same minute)
series.Add(time, 101.0, isNew: false);
```
### SIMD Processing
```csharp
// Calculate average using SIMD
double avg = series.Values.AverageSIMD();