mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-24 05:28:05 +00:00
updates from mac
This commit is contained in:
Miha Kralj
+211
-211
@@ -1,211 +1,211 @@
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using System;
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// Geometric Brownian Motion (GBM) generator for simulating OHLCV data.
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/// Generates realistic price data for testing indicators and strategies.
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/// Stateless design - only maintains minimal state needed for price continuity.
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/// </summary>
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public class GBM : IFeed
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{
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private readonly Random _rnd = new();
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private double _lastPrice;
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private long _lastTime;
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private readonly double _mu;
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private readonly double _sigma;
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private readonly double _dt;
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// Precomputed GBM constants
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private readonly double _drift;
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private readonly double _vol;
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private readonly long _defaultTimeStep;
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// State for streaming bar formation (only when isNew=false)
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private TBar _currentBar;
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private bool _hasCurrentBar;
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// Box-Muller optimization: cache second normal
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private double _cachedZ;
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private bool _hasCachedZ;
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/// <summary>
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/// Creates a new GBM generator.
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/// </summary>
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/// <param name="startPrice">Initial price (default: 100.0)</param>
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/// <param name="mu">Annual drift/return rate (default: 0.05 = 5%)</param>
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/// <param name="sigma">Annual volatility (default: 0.2 = 20%)</param>
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/// <param name="defaultTimeframe">Default timeframe for bars (default: 1 minute)</param>
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public GBM(
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double startPrice = 100.0,
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double mu = 0.05,
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double sigma = 0.2,
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TimeSpan? defaultTimeframe = null)
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{
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_lastPrice = startPrice;
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_lastTime = DateTime.UtcNow.Ticks;
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_mu = mu;
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_sigma = sigma;
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// Use provided timeframe or default to 1 minute
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var timeframe = defaultTimeframe ?? TimeSpan.FromMinutes(1);
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_defaultTimeStep = timeframe.Ticks;
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// Calculate dt based on timeframe (assuming 252 trading days/year, 6.5 hours/day)
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double minutesPerYear = 252.0 * 6.5 * 60.0;
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_dt = timeframe.TotalMinutes / minutesPerYear;
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_drift = (mu - 0.5 * sigma * sigma) * _dt;
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_vol = sigma * Math.Sqrt(_dt);
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}
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/// <summary>
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/// Generates next standard normal using Box-Muller transform with caching.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private double NextNormal()
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{
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if (_hasCachedZ)
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{
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_hasCachedZ = false;
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return _cachedZ;
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}
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double u1 = 1.0 - _rnd.NextDouble();
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double u2 = 1.0 - _rnd.NextDouble();
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double mag = Math.Sqrt(-2.0 * Math.Log(u1));
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double angle = 2.0 * Math.PI * u2;
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_cachedZ = mag * Math.Sin(angle);
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_hasCachedZ = true;
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return mag * Math.Cos(angle);
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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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/// GBM always honors the request - isNew parameter unchanged on return.
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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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// GBM always honors request - parameter unchanged
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if (isNew || !_hasCurrentBar)
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{
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// Generate new bar
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long currentTime = _lastTime + _defaultTimeStep;
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double z = NextNormal();
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double price = _lastPrice * Math.Exp(_drift + _vol * z);
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double volume = 1000 + _rnd.NextDouble() * 1000;
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double open = _lastPrice;
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double close = price;
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double high = Math.Max(open, close) * (1.0 + _rnd.NextDouble() * 0.01);
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double low = Math.Min(open, close) * (1.0 - _rnd.NextDouble() * 0.01);
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_currentBar = new TBar(currentTime, open, high, low, close, volume);
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_hasCurrentBar = true;
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_lastPrice = close;
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_lastTime = currentTime;
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}
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else
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{
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// Update current bar (intra-bar tick)
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double z = NextNormal();
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double price = _lastPrice * Math.Exp(_drift + _vol * z);
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double volume = 1000 + _rnd.NextDouble() * 1000;
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var bar = _currentBar;
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double newClose = price;
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double newHigh = Math.Max(bar.High, newClose);
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double newLow = Math.Min(bar.Low, newClose);
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_currentBar = new TBar(bar.Time, bar.Open, newHigh, newLow, newClose, volume);
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_lastPrice = newClose;
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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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// Delegate to ref version
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return Next(ref isNew);
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}
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/// <summary>
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/// Generates a batch of bars using optimized batch processing with explicit time parameters.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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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 series = new TBarSeries(count);
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// Pre-allocate arrays for SoA layout
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long[] t = new long[count];
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double[] o = new double[count];
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double[] h = new double[count];
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double[] l = new double[count];
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double[] c = new double[count];
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double[] v = new double[count];
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// Calculate dt for this specific interval
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double minutesPerYear = 252.0 * 6.5 * 60.0;
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double dt = interval.TotalMinutes / minutesPerYear;
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double drift = (_mu - 0.5 * _sigma * _sigma) * dt;
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double vol = _sigma * Math.Sqrt(dt);
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long timeStep = interval.Ticks;
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double currentPrice = _lastPrice;
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long currentTime = startTime;
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for (int i = 0; i < count; i++)
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{
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double z = NextNormal();
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double price = currentPrice * Math.Exp(drift + vol * z);
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double open = currentPrice;
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double close = price;
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double rnd1 = _rnd.NextDouble();
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double rnd2 = _rnd.NextDouble();
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double rnd3 = _rnd.NextDouble();
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t[i] = currentTime;
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o[i] = open;
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c[i] = close;
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h[i] = Math.Max(open, close) * (1.0 + rnd1 * 0.01);
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l[i] = Math.Min(open, close) * (1.0 - rnd2 * 0.01);
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v[i] = 1000 + rnd3 * 1000;
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currentPrice = price;
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currentTime += timeStep;
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}
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// Update internal state to continue from end of batch
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_lastPrice = currentPrice;
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_lastTime = currentTime - timeStep; // Last bar time, not next bar time
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// Bulk add to series
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series.Add(t, o, h, l, c, v);
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// Reset streaming state after batch
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_hasCurrentBar = false;
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return series;
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}
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}
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using System;
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// Geometric Brownian Motion (GBM) generator for simulating OHLCV data.
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/// Generates realistic price data for testing indicators and strategies.
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/// Stateless design - only maintains minimal state needed for price continuity.
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/// </summary>
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public class GBM : IFeed
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{
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private readonly Random _rnd = new();
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private double _lastPrice;
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private long _lastTime;
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private readonly double _mu;
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private readonly double _sigma;
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private readonly double _dt;
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// Precomputed GBM constants
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private readonly double _drift;
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private readonly double _vol;
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private readonly long _defaultTimeStep;
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// State for streaming bar formation (only when isNew=false)
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private TBar _currentBar;
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private bool _hasCurrentBar;
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// Box-Muller optimization: cache second normal
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private double _cachedZ;
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private bool _hasCachedZ;
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/// <summary>
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/// Creates a new GBM generator.
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/// </summary>
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/// <param name="startPrice">Initial price (default: 100.0)</param>
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/// <param name="mu">Annual drift/return rate (default: 0.05 = 5%)</param>
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/// <param name="sigma">Annual volatility (default: 0.2 = 20%)</param>
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/// <param name="defaultTimeframe">Default timeframe for bars (default: 1 minute)</param>
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public GBM(
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double startPrice = 100.0,
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double mu = 0.05,
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double sigma = 0.2,
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TimeSpan? defaultTimeframe = null)
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{
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_lastPrice = startPrice;
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_lastTime = DateTime.UtcNow.Ticks;
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_mu = mu;
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_sigma = sigma;
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// Use provided timeframe or default to 1 minute
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var timeframe = defaultTimeframe ?? TimeSpan.FromMinutes(1);
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_defaultTimeStep = timeframe.Ticks;
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// Calculate dt based on timeframe (assuming 252 trading days/year, 6.5 hours/day)
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double minutesPerYear = 252.0 * 6.5 * 60.0;
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_dt = timeframe.TotalMinutes / minutesPerYear;
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_drift = (mu - 0.5 * sigma * sigma) * _dt;
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_vol = sigma * Math.Sqrt(_dt);
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}
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/// <summary>
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/// Generates next standard normal using Box-Muller transform with caching.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private double NextNormal()
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{
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if (_hasCachedZ)
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{
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_hasCachedZ = false;
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return _cachedZ;
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}
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double u1 = 1.0 - _rnd.NextDouble();
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double u2 = 1.0 - _rnd.NextDouble();
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double mag = Math.Sqrt(-2.0 * Math.Log(u1));
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double angle = 2.0 * Math.PI * u2;
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_cachedZ = mag * Math.Sin(angle);
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_hasCachedZ = true;
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return mag * Math.Cos(angle);
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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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/// GBM always honors the request - isNew parameter unchanged on return.
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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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// GBM always honors request - parameter unchanged
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if (isNew || !_hasCurrentBar)
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{
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// Generate new bar
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long currentTime = _lastTime + _defaultTimeStep;
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double z = NextNormal();
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double price = _lastPrice * Math.Exp(_drift + _vol * z);
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double volume = 1000 + _rnd.NextDouble() * 1000;
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double open = _lastPrice;
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double close = price;
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double high = Math.Max(open, close) * (1.0 + _rnd.NextDouble() * 0.01);
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double low = Math.Min(open, close) * (1.0 - _rnd.NextDouble() * 0.01);
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_currentBar = new TBar(currentTime, open, high, low, close, volume);
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_hasCurrentBar = true;
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_lastPrice = close;
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_lastTime = currentTime;
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}
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else
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{
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// Update current bar (intra-bar tick)
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double z = NextNormal();
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double price = _lastPrice * Math.Exp(_drift + _vol * z);
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double volume = 1000 + _rnd.NextDouble() * 1000;
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var bar = _currentBar;
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double newClose = price;
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double newHigh = Math.Max(bar.High, newClose);
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double newLow = Math.Min(bar.Low, newClose);
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_currentBar = new TBar(bar.Time, bar.Open, newHigh, newLow, newClose, volume);
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_lastPrice = newClose;
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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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// Delegate to ref version
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return Next(ref isNew);
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}
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/// <summary>
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/// Generates a batch of bars using optimized batch processing with explicit time parameters.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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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 series = new TBarSeries(count);
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// Pre-allocate arrays for SoA layout
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long[] t = new long[count];
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double[] o = new double[count];
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double[] h = new double[count];
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double[] l = new double[count];
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double[] c = new double[count];
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double[] v = new double[count];
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// Calculate dt for this specific interval
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double minutesPerYear = 252.0 * 6.5 * 60.0;
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double dt = interval.TotalMinutes / minutesPerYear;
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double drift = (_mu - 0.5 * _sigma * _sigma) * dt;
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double vol = _sigma * Math.Sqrt(dt);
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long timeStep = interval.Ticks;
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double currentPrice = _lastPrice;
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long currentTime = startTime;
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for (int i = 0; i < count; i++)
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{
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double z = NextNormal();
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double price = currentPrice * Math.Exp(drift + vol * z);
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double open = currentPrice;
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double close = price;
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double rnd1 = _rnd.NextDouble();
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double rnd2 = _rnd.NextDouble();
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double rnd3 = _rnd.NextDouble();
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t[i] = currentTime;
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o[i] = open;
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c[i] = close;
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h[i] = Math.Max(open, close) * (1.0 + rnd1 * 0.01);
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l[i] = Math.Min(open, close) * (1.0 - rnd2 * 0.01);
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v[i] = 1000 + rnd3 * 1000;
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currentPrice = price;
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currentTime += timeStep;
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}
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// Update internal state to continue from end of batch
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_lastPrice = currentPrice;
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_lastTime = currentTime - timeStep; // Last bar time, not next bar time
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// Bulk add to series
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series.Add(t, o, h, l, c, v);
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// Reset streaming state after batch
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_hasCurrentBar = false;
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return series;
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}
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}
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Reference in New Issue
Block a user