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
parent 1c8f514756
commit 74b49d2bb4
37 changed files with 1379 additions and 462 deletions
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#!meta
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#!csharp
// Reference the library
#r "..\..\bin\QuanTAlib.dll"
using QuanTAlib;
using System.IO;
// 1. Setup: Use existing CSV file
// CsvFeed expects a CSV with header: timestamp,open,high,low,close,volume
// Timestamp format: YYYY-MM-DD
string csvPath = "daily_IBM.csv";
Console.WriteLine($"Using CSV file: {csvPath}");
#!csharp
// 2. Initialize CsvFeed
// The feed loads the data and prepares it for streaming
var feed = new CsvFeed(csvPath);
Console.WriteLine("CsvFeed initialized.");
#!csharp
// 3. Streaming Data
// Simulate processing historical data bar by bar
Console.WriteLine("\nStreaming data (first 5 bars):");
int count = 0;
bool isNew = true;
// Get first bar
var bar = feed.Next(isNew: true);
while (isNew && count < 5)
{
count++;
Console.WriteLine($" Bar {count}: {bar}");
// Get next bar
bar = feed.Next(ref isNew);
}
Console.WriteLine($"Streamed {count} bars.");
#!csharp
// 4. Batch Fetching
// Retrieve a specific range of data
Console.WriteLine("\nBatch fetching:");
// Using a date range present in daily_IBM.csv (July 2025)
long startTime = new DateTime(2025, 7, 8).Ticks;
var interval = TimeSpan.FromDays(1);
// Fetch 3 bars starting from July 8th, 2025
var batch = feed.Fetch(5, startTime, interval);
Console.WriteLine($"Fetched {batch.Count} bars:");
foreach (var b in batch)
{
Console.WriteLine($" {b}");
}
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# CsvFeed Class
`CsvFeed` is a file-based feed implementation that loads historical OHLCV data from CSV files. It supports both streaming access (simulating real-time playback) and batch retrieval.
## Key Features
- **Historical Data Loading**: Reads standard OHLCV CSV files.
- **Chronological Ordering**: Automatically reverses data if needed (assumes newest-first in file, provides oldest-first).
- **Streaming Interface**: Implements `IFeed` for consistent usage with other feed types.
- **Batch Retrieval**: Supports fetching specific time ranges via `Fetch()`.
## CSV Format Requirements
The file must have a header row and follow this column order:
`timestamp, open, high, low, close, volume`
- **Timestamp**: `YYYY-MM-DD` (assumed UTC midnight)
- **Prices/Volume**: Numeric values
Example:
```csv
Date,Open,High,Low,Close,Volume
2024-01-01,100.0,105.0,99.0,102.5,10000
2024-01-02,102.5,103.0,101.0,101.5,8500
```
## Class Definition
```csharp
public class CsvFeed : IFeed
{
public CsvFeed(string filePath);
public TBar Next(bool isNew = true);
public TBarSeries Fetch(int count, long startTime, TimeSpan interval);
}
```
## Usage
### 1. Loading Data
```csharp
var feed = new CsvFeed("path/to/data.csv");
```
### 2. Streaming Data (Simulation)
```csharp
// Get first bar
var bar = feed.Next(isNew: true);
// Loop through all data
while (true)
{
// Process bar...
Console.WriteLine(bar);
// Get next bar
bool isNew = true;
bar = feed.Next(ref isNew);
// Stop if no more new data
if (!isNew) break;
}
```
### 3. Fetching a Batch
```csharp
long startTime = new DateTime(2024, 1, 1).Ticks;
var batch = feed.Fetch(10, startTime, TimeSpan.FromDays(1));