mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-19 19:18:05 +00:00
updates from mac
This commit is contained in:
Miha Kralj
+196
-196
@@ -1,196 +1,196 @@
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using System.Globalization;
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// CSV file feed for loading historical OHLCV data.
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/// Loads data in constructor and streams through it with Next() or returns batches with Fetch().
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/// CSV format: timestamp,open,high,low,close,volume (header required)
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/// Timestamp format: YYYY-MM-DD (UTC midnight assumed)
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/// </summary>
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public class CsvFeed : IFeed
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{
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private readonly TBarSeries _data;
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// Streaming state
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private int _currentIndex;
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private TBar _currentBar;
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private bool _hasCurrentBar;
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/// <summary>
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/// Loads CSV file and prepares data for streaming.
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/// Data is reversed to chronological order (oldest first).
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/// </summary>
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/// <param name="filePath">Path to CSV file</param>
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public CsvFeed(string filePath)
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{
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if (string.IsNullOrWhiteSpace(filePath))
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throw new ArgumentException("File path cannot be null or empty", nameof(filePath));
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if (!File.Exists(filePath))
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throw new FileNotFoundException($"CSV file not found: {filePath}", filePath);
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_data = LoadFromCsv(filePath);
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_currentIndex = 0;
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}
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/// <summary>
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/// Parses CSV file into TBarSeries.
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/// Expected format: timestamp,open,high,low,close,volume
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/// </summary>
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private static TBarSeries LoadFromCsv(string filePath)
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{
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var lines = File.ReadAllLines(filePath);
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if (lines.Length == 0)
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throw new InvalidDataException("CSV file is empty");
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// Skip header, reverse to chronological order (oldest first)
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var dataLines = lines.Skip(1).Reverse().ToArray();
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if (dataLines.Length == 0)
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throw new InvalidDataException("CSV file contains only header, no data");
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var series = new TBarSeries(dataLines.Length);
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for (int i = 0; i < dataLines.Length; i++)
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{
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var line = dataLines[i];
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if (string.IsNullOrWhiteSpace(line))
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continue;
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var parts = line.Split(',');
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if (parts.Length != 6)
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throw new FormatException($"Invalid CSV format at line {i + 2}. Expected 6 columns, found {parts.Length}");
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try
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{
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// Parse timestamp (YYYY-MM-DD format, assume UTC midnight)
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var timestamp = DateTime.ParseExact(parts[0].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);
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// Parse OHLCV values
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double open = double.Parse(parts[1].Trim(), CultureInfo.InvariantCulture);
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double high = double.Parse(parts[2].Trim(), CultureInfo.InvariantCulture);
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double low = double.Parse(parts[3].Trim(), CultureInfo.InvariantCulture);
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double close = double.Parse(parts[4].Trim(), CultureInfo.InvariantCulture);
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double volume = double.Parse(parts[5].Trim(), CultureInfo.InvariantCulture);
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series.Add(timestamp, open, high, low, close, volume, isNew: true);
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}
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catch (Exception ex) when (ex is FormatException or OverflowException)
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{
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throw new FormatException($"Failed to parse CSV line {i + 2}: {line}", ex);
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}
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}
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return series;
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}
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/// <summary>
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/// Gets the next bar with full bidirectional control.
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/// When end of data reached, returns last bar and sets isNew=false.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TBar Next(ref bool isNew)
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{
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if (_data.Count == 0)
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{
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isNew = false;
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return default;
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}
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if (isNew || !_hasCurrentBar)
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{
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// Request for new bar
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if (_currentIndex >= _data.Count)
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{
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// End of data - return last bar and signal no more data
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isNew = false;
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return _currentBar;
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}
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_currentBar = _data[_currentIndex];
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_currentIndex++;
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_hasCurrentBar = true;
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}
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else
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{
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// Update current bar - CSV has no intra-bar updates, return same bar
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// No change to _currentBar or _currentIndex
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}
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return _currentBar;
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}
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/// <summary>
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/// Gets the next bar with simple control.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TBar Next(bool isNew = true)
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{
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return Next(ref isNew);
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}
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/// <summary>
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/// Returns a filtered subset of data matching the criteria.
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/// Resets streaming position to start of returned data.
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/// </summary>
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public TBarSeries Fetch(int count, long startTime, TimeSpan interval)
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{
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if (count <= 0)
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throw new ArgumentException("Count must be positive", nameof(count));
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var result = new TBarSeries(count);
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// Find starting index
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int startIndex = 0;
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for (int i = 0; i < _data.Count; i++)
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{
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if (_data[i].Time >= startTime)
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{
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startIndex = i;
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break;
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}
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}
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// Collect bars matching interval
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long expectedTime = startTime;
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int collected = 0;
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for (int i = startIndex; i < _data.Count && collected < count; i++)
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{
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var bar = _data[i];
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// Check if bar time matches expected time (within tolerance)
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long timeDiff = Math.Abs(bar.Time - expectedTime);
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long tolerance = interval.Ticks / 2; // Allow 50% tolerance
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if (timeDiff <= tolerance)
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{
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result.Add(bar, isNew: true);
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collected++;
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expectedTime += interval.Ticks;
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}
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else if (bar.Time > expectedTime)
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{
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// Gap in data - skip forward
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long gaps = (bar.Time - expectedTime) / interval.Ticks;
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expectedTime += (gaps + 1) * interval.Ticks;
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if (Math.Abs(bar.Time - expectedTime + interval.Ticks) <= tolerance)
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{
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result.Add(bar, isNew: true);
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collected++;
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expectedTime += interval.Ticks;
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}
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}
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}
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// Reset streaming to start of returned data
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_currentIndex = startIndex;
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_hasCurrentBar = false;
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return result;
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}
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}
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using System.Globalization;
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// CSV file feed for loading historical OHLCV data.
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/// Loads data in constructor and streams through it with Next() or returns batches with Fetch().
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/// CSV format: timestamp,open,high,low,close,volume (header required)
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/// Timestamp format: YYYY-MM-DD (UTC midnight assumed)
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/// </summary>
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public class CsvFeed : IFeed
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{
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private readonly TBarSeries _data;
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// Streaming state
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private int _currentIndex;
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private TBar _currentBar;
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private bool _hasCurrentBar;
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/// <summary>
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/// Loads CSV file and prepares data for streaming.
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/// Data is reversed to chronological order (oldest first).
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/// </summary>
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/// <param name="filePath">Path to CSV file</param>
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public CsvFeed(string filePath)
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{
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if (string.IsNullOrWhiteSpace(filePath))
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throw new ArgumentException("File path cannot be null or empty", nameof(filePath));
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if (!File.Exists(filePath))
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throw new FileNotFoundException($"CSV file not found: {filePath}", filePath);
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_data = LoadFromCsv(filePath);
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_currentIndex = 0;
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}
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/// <summary>
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/// Parses CSV file into TBarSeries.
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/// Expected format: timestamp,open,high,low,close,volume
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/// </summary>
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private static TBarSeries LoadFromCsv(string filePath)
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{
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var lines = File.ReadAllLines(filePath);
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if (lines.Length == 0)
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throw new InvalidDataException("CSV file is empty");
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// Skip header, reverse to chronological order (oldest first)
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var dataLines = lines.Skip(1).Reverse().ToArray();
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if (dataLines.Length == 0)
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throw new InvalidDataException("CSV file contains only header, no data");
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var series = new TBarSeries(dataLines.Length);
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for (int i = 0; i < dataLines.Length; i++)
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{
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var line = dataLines[i];
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if (string.IsNullOrWhiteSpace(line))
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continue;
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var parts = line.Split(',');
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if (parts.Length != 6)
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throw new FormatException($"Invalid CSV format at line {i + 2}. Expected 6 columns, found {parts.Length}");
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try
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{
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// Parse timestamp (YYYY-MM-DD format, assume UTC midnight)
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var timestamp = DateTime.ParseExact(parts[0].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);
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// Parse OHLCV values
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double open = double.Parse(parts[1].Trim(), CultureInfo.InvariantCulture);
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double high = double.Parse(parts[2].Trim(), CultureInfo.InvariantCulture);
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double low = double.Parse(parts[3].Trim(), CultureInfo.InvariantCulture);
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double close = double.Parse(parts[4].Trim(), CultureInfo.InvariantCulture);
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double volume = double.Parse(parts[5].Trim(), CultureInfo.InvariantCulture);
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series.Add(timestamp, open, high, low, close, volume, isNew: true);
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}
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catch (Exception ex) when (ex is FormatException or OverflowException)
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{
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throw new FormatException($"Failed to parse CSV line {i + 2}: {line}", ex);
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}
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}
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return series;
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}
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/// <summary>
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/// Gets the next bar with full bidirectional control.
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/// When end of data reached, returns last bar and sets isNew=false.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TBar Next(ref bool isNew)
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{
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if (_data.Count == 0)
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{
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isNew = false;
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return default;
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}
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if (isNew || !_hasCurrentBar)
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{
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// Request for new bar
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if (_currentIndex >= _data.Count)
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{
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// End of data - return last bar and signal no more data
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isNew = false;
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return _currentBar;
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}
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_currentBar = _data[_currentIndex];
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_currentIndex++;
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_hasCurrentBar = true;
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}
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else
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{
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// Update current bar - CSV has no intra-bar updates, return same bar
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// No change to _currentBar or _currentIndex
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}
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return _currentBar;
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}
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/// <summary>
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/// Gets the next bar with simple control.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TBar Next(bool isNew = true)
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{
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return Next(ref isNew);
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}
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/// <summary>
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/// Returns a filtered subset of data matching the criteria.
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/// Resets streaming position to start of returned data.
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/// </summary>
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public TBarSeries Fetch(int count, long startTime, TimeSpan interval)
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{
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if (count <= 0)
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throw new ArgumentException("Count must be positive", nameof(count));
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var result = new TBarSeries(count);
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// Find starting index
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int startIndex = 0;
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for (int i = 0; i < _data.Count; i++)
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{
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if (_data[i].Time >= startTime)
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{
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startIndex = i;
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break;
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}
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}
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// Collect bars matching interval
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long expectedTime = startTime;
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int collected = 0;
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for (int i = startIndex; i < _data.Count && collected < count; i++)
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{
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var bar = _data[i];
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// Check if bar time matches expected time (within tolerance)
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long timeDiff = Math.Abs(bar.Time - expectedTime);
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long tolerance = interval.Ticks / 2; // Allow 50% tolerance
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if (timeDiff <= tolerance)
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{
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result.Add(bar, isNew: true);
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collected++;
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expectedTime += interval.Ticks;
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}
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else if (bar.Time > expectedTime)
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{
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// Gap in data - skip forward
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long gaps = (bar.Time - expectedTime) / interval.Ticks;
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expectedTime += (gaps + 1) * interval.Ticks;
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if (Math.Abs(bar.Time - expectedTime + interval.Ticks) <= tolerance)
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{
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result.Add(bar, isNew: true);
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collected++;
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expectedTime += interval.Ticks;
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}
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}
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}
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// Reset streaming to start of returned data
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_currentIndex = startIndex;
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_hasCurrentBar = false;
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return result;
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}
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}
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