mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 02:28:05 +00:00
feat: add CSV feed and GBM examples
- Add CsvFeedExample console app demonstrating CSV data loading and streaming - Add GbmExample console app for geometric Brownian motion feed - Add CoreTypes example project - Include daily_IBM.csv test data file - Configure project files for .NET 10.0 with quantalib dependency
This commit is contained in:
Miha Kralj
@@ -0,0 +1,14 @@
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<Project Sdk="Microsoft.NET.Sdk">
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<ItemGroup>
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<ProjectReference Include="..\..\lib\quantalib.csproj" />
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</ItemGroup>
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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>net10.0</TargetFramework>
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<ImplicitUsings>enable</ImplicitUsings>
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<Nullable>enable</Nullable>
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</PropertyGroup>
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</Project>
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@@ -0,0 +1,119 @@
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using System;
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using QuanTAlib;
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namespace CoreTypesExample
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{
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class Program
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{
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static void Main(string[] args)
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{
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Console.WriteLine("QuanTAlib Core Types Example");
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Console.WriteLine("============================");
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// 1. TValue Example
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Console.WriteLine("\n1. TValue Usage");
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long now = DateTime.UtcNow.Ticks;
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var val1 = new TValue(now, 100.5);
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Console.WriteLine($"Created TValue: Time={val1.AsDateTime}, Value={val1.Value}");
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// 2. TSeries Example (Streaming)
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Console.WriteLine("\n2. TSeries Usage (Streaming)");
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var series = new TSeries();
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// Add new values
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series.Add(now, 10.0, isNew: true);
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Console.WriteLine($"Added 10.0 (New): Count={series.Count}, Last={series.Last.Value}");
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// Update last value (streaming update)
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series.Add(now, 11.0, isNew: false);
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Console.WriteLine($"Updated to 11.0 (Update): Count={series.Count}, Last={series.Last.Value}");
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// Add another new value
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series.Add(now + TimeSpan.TicksPerMinute, 12.0, isNew: true);
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Console.WriteLine($"Added 12.0 (New): Count={series.Count}, Last={series.Last.Value}");
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// 3. TBar Example
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Console.WriteLine("\n3. TBar Usage");
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var bar1 = new TBar(now, 100, 105, 95, 102, 1000);
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Console.WriteLine($"Created TBar: {bar1}");
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Console.WriteLine($"Computed HL2: {bar1.HL2}");
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Console.WriteLine($"TValue Access: O={bar1.O}, H={bar1.H}, L={bar1.L}, C={bar1.C}, V={bar1.V}");
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// 4. TBarSeries Example
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Console.WriteLine("\n4. TBarSeries Usage");
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var bars = new TBarSeries();
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// Add a bar
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bars.Add(bar1, isNew: true);
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Console.WriteLine($"Added Bar 1: Count={bars.Count}, Close={bars.Last.Close}");
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// Update the bar (e.g. price changed within the same minute)
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var bar1Update = new TBar(now, 100, 106, 95, 104, 1500);
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bars.Add(bar1Update, isNew: false);
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Console.WriteLine($"Updated Bar 1: Count={bars.Count}, Close={bars.Last.Close}, High={bars.Last.High}");
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// Accessing Views (Zero-Copy)
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Console.WriteLine("\n5. TBarSeries Views (Zero-Copy)");
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Console.WriteLine($"Bars Count: {bars.Count}");
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Console.WriteLine($"Close Series Count: {bars.Close.Count}");
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Console.WriteLine($"Close Series Last: {bars.Close.Last.Value}");
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// Verify view updates automatically
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Console.WriteLine("Adding new bar...");
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bars.Add(now + TimeSpan.TicksPerMinute, 104, 108, 103, 107, 2000, isNew: true);
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Console.WriteLine($"Bars Count: {bars.Count}");
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Console.WriteLine($"Close Series Count: {bars.Close.Count} (Should match Bars Count)");
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Console.WriteLine($"Close Series Last: {bars.Close.Last.Value} (Should be 107)");
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Console.WriteLine($"Alias Access: C.Last={bars.C.Last.Value}");
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Console.WriteLine($"Direct Last Access: LastClose={bars.LastClose}, LastTime={bars.LastTime}");
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// 6. GBM Generator Example
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Console.WriteLine("\n6. GBM Generator Usage");
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var gbm = new GBM(startPrice: 100.0);
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// 6a. Batch generation
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long startTime = DateTime.UtcNow.Ticks;
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var interval = TimeSpan.FromMinutes(1);
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var randomBars = gbm.Fetch(5, startTime, interval);
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Console.WriteLine($"Generated {randomBars.Count} bars in batch:");
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for (int i = 0; i < randomBars.Count; i++)
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Console.WriteLine($" Bar {i}: C={randomBars[i].Close:F2}");
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// 6b. Individual streaming bars
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Console.WriteLine("\n6b. Streaming individual bars:");
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var streamBar = gbm.Next(isNew: true);
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Console.WriteLine($" New bar: C={streamBar.Close:F2}");
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// Simulate 3 intra-bar updates
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for (int i = 0; i < 3; i++)
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{
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streamBar = gbm.Next(isNew: false);
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Console.WriteLine($" Update {i + 1}: C={streamBar.Close:F2}, H={streamBar.High:F2}, L={streamBar.Low:F2}");
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}
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// Finalize and start new bar
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streamBar = gbm.Next(isNew: true);
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Console.WriteLine($" New bar: C={streamBar.Close:F2}");
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// 6c. Manual streaming into TBarSeries
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Console.WriteLine("\n6c. Manual streaming into TBarSeries:");
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var streamSeries = new TBarSeries();
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var bar = gbm.Next(isNew: true);
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streamSeries.Add(bar, isNew: true);
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Console.WriteLine($" Added bar: Count={streamSeries.Count}, C={streamSeries.LastClose:F2}");
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for (int i = 0; i < 2; i++)
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{
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bar = gbm.Next(isNew: false);
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streamSeries.Add(bar, isNew: false);
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Console.WriteLine($" Update {i + 1}: Count={streamSeries.Count}, C={streamSeries.LastClose:F2}");
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}
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bar = gbm.Next(isNew: true);
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streamSeries.Add(bar, isNew: true);
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Console.WriteLine($" Added bar: Count={streamSeries.Count}, C={streamSeries.LastClose:F2}");
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Console.WriteLine("\nExample complete.");
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}
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}
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}
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@@ -0,0 +1,47 @@
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using QuanTAlib;
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// Example: Loading and streaming IBM daily data from CSV
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var csvPath = "daily_IBM.csv";
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// Create feed from CSV file
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var feed = new CsvFeed(csvPath);
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Console.WriteLine("=== CSV Feed Example: IBM Daily Data ===\n");
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// Example 1: Stream through first 5 bars
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Console.WriteLine("1. Streaming first 5 bars:");
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for (int i = 0; i < 5; i++)
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{
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var bar = feed.Next(isNew: true);
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Console.WriteLine($" {bar.AsDateTime:yyyy-MM-dd}: O={bar.Open:F2}, H={bar.High:F2}, L={bar.Low:F2}, C={bar.Close:F2}, V={bar.Volume:F0}");
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}
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// Example 2: Fetch a specific date range
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Console.WriteLine("\n2. Fetching 10 bars starting from July 2025:");
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var startTime = new DateTime(2025, 7, 1, 0, 0, 0, DateTimeKind.Utc).Ticks;
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var series = feed.Fetch(10, startTime, TimeSpan.FromDays(1));
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Console.WriteLine($" Retrieved {series.Count} bars");
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foreach (var bar in series)
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{
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Console.WriteLine($" {bar.AsDateTime:yyyy-MM-dd}: Close={bar.Close:F2}");
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}
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// Example 3: Demonstrate isNew parameter
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Console.WriteLine("\n3. Demonstrating isNew parameter (new bar vs update):");
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var bar1 = feed.Next(isNew: true);
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Console.WriteLine($" New bar: {bar1.AsDateTime:yyyy-MM-dd} Close={bar1.Close:F2}");
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var bar1Update = feed.Next(isNew: false);
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Console.WriteLine($" Update (same bar): {bar1Update.AsDateTime:yyyy-MM-dd} Close={bar1Update.Close:F2}");
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var bar2 = feed.Next(isNew: true);
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Console.WriteLine($" Next bar: {bar2.AsDateTime:yyyy-MM-dd} Close={bar2.Close:F2}");
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// Example 4: Working with TBarSeries views
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Console.WriteLine("\n4. Accessing OHLCV components via TSeries:");
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var batch = feed.Fetch(5, startTime, TimeSpan.FromDays(1));
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Console.WriteLine($" Close prices: [{string.Join(", ", batch.Close.Take(5).Select(c => c.Value.ToString("F2")))}]");
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Console.WriteLine($" High prices: [{string.Join(", ", batch.High.Take(5).Select(h => h.Value.ToString("F2")))}]");
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Console.WriteLine($" Volumes: [{string.Join(", ", batch.Volume.Take(5).Select(v => v.Value.ToString("F0")))}]");
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Console.WriteLine("\n=== Example Complete ===");
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@@ -0,0 +1,20 @@
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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>net10.0</TargetFramework>
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<ImplicitUsings>enable</ImplicitUsings>
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<Nullable>enable</Nullable>
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</PropertyGroup>
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<ItemGroup>
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<ProjectReference Include="..\..\lib\quantalib.csproj" />
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</ItemGroup>
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<ItemGroup>
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<None Update="daily_IBM.csv">
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<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
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</None>
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</ItemGroup>
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</Project>
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@@ -0,0 +1,77 @@
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using System;
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using QuanTAlib;
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namespace FeedsExample;
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class GbmExample
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{
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static void Main(string[] args)
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{
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Console.WriteLine("QuanTAlib GBM Feed Example");
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Console.WriteLine("===========================\n");
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// Create GBM generator
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
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var series = new TBarSeries();
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// 1. Batch generation: 20 bars with 1-hour interval, starting 24 hours ago
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Console.WriteLine("1. Batch Generation (20 bars, 1-hour interval)");
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Console.WriteLine("------------------------------------------------");
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long startTime = DateTime.UtcNow.AddHours(-24).Ticks;
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var interval = TimeSpan.FromHours(1);
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var batchBars = gbm.Fetch(20, startTime, interval);
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// Add batch to series
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for (int i = 0; i < batchBars.Count; i++)
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{
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series.Add(batchBars[i], isNew: true);
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}
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Console.WriteLine($"Generated {batchBars.Count} bars");
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Console.WriteLine($"First bar: Time={new DateTime(batchBars[0].Time):yyyy-MM-dd HH:mm:ss}, Close={batchBars[0].Close:F2}");
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Console.WriteLine($"Last bar: Time={new DateTime(batchBars[19].Time):yyyy-MM-dd HH:mm:ss}, Close={batchBars[19].Close:F2}");
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Console.WriteLine($"Series has {series.Count} bars\n");
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// 2. Streaming: Add 4 more bars (1 new + 3 intra-bar updates each)
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Console.WriteLine("2. Streaming Generation (4 new bars with intra-bar updates)");
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Console.WriteLine("------------------------------------------------------------");
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for (int barNum = 1; barNum <= 4; barNum++)
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{
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Console.WriteLine($"\nBar #{barNum + 20}:");
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// New bar
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var bar = gbm.Next(isNew: true);
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series.Add(bar, isNew: true);
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Console.WriteLine($" New: Time={new DateTime(bar.Time):HH:mm:ss}, O={bar.Open:F2}, H={bar.High:F2}, L={bar.Low:F2}, C={bar.Close:F2}");
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// Three intra-bar updates
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for (int update = 1; update <= 3; update++)
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{
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bar = gbm.Next(isNew: false);
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series.Add(bar, isNew: false);
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Console.WriteLine($" Update {update}: Time={new DateTime(bar.Time):HH:mm:ss}, O={bar.Open:F2}, H={bar.High:F2}, L={bar.Low:F2}, C={bar.Close:F2}");
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}
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}
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// 3. Summary
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Console.WriteLine("\n3. Final Summary");
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Console.WriteLine("----------------");
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Console.WriteLine($"Total bars in series: {series.Count}");
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Console.WriteLine($"Expected: 24 bars (20 batch + 4 streaming)");
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Console.WriteLine($"\nFirst bar: Time={series[0].AsDateTime:yyyy-MM-dd HH:mm:ss}, Close={series[0].Close:F2}");
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Console.WriteLine($"Last bar: Time={series.Last.AsDateTime:yyyy-MM-dd HH:mm:ss}, Close={series.Last.Close:F2}");
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Console.WriteLine($"\nPrice change: {series.Last.Close - series[0].Close:F2} ({(series.Last.Close / series[0].Close - 1) * 100:F2}%)");
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// Statistics using SIMD
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var closeValues = series.Close.Values;
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Console.WriteLine($"\nStatistics (Close prices):");
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Console.WriteLine($" Average: {closeValues.AverageSIMD():F2}");
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Console.WriteLine($" Min: {closeValues.MinSIMD():F2}");
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Console.WriteLine($" Max: {closeValues.MaxSIMD():F2}");
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Console.WriteLine($" StdDev: {closeValues.StdDevSIMD():F2}");
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Console.WriteLine("\nExample complete.");
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}
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}
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@@ -0,0 +1,15 @@
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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<OutputType>Exe</OutputType>
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<TargetFramework>net10.0</TargetFramework>
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<ImplicitUsings>enable</ImplicitUsings>
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<Nullable>enable</Nullable>
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<UserSecretsId>73a533c9-b5d2-4762-9ac9-5017fcffa8d1</UserSecretsId>
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</PropertyGroup>
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<ItemGroup>
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<ProjectReference Include="..\..\lib\quantalib.csproj" />
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</ItemGroup>
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</Project>
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@@ -0,0 +1,101 @@
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timestamp,open,high,low,close,volume
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2025-11-25,304.1250,306.0000,297.0600,304.4800,2825322
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2025-11-24,299.1800,307.1800,297.5100,304.1200,6050640
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2025-11-21,293.4800,300.4800,291.8900,297.4400,5710903
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2025-11-20,294.6400,300.7100,290.1600,290.4000,5597028
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2025-11-19,290.5000,291.1099,288.0700,288.5300,3595912
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2025-11-18,297.0000,297.0000,289.9200,289.9500,4861928
|
||||
2025-11-17,305.5900,306.0000,296.5100,297.1700,3909741
|
||||
2025-11-14,300.0000,307.7200,297.5900,305.6900,3592455
|
||||
2025-11-13,312.2900,314.6000,303.6800,304.8600,5310150
|
||||
2025-11-12,319.8900,324.9000,314.5324,314.9800,6042686
|
||||
2025-11-11,309.0000,317.9100,308.4300,313.7200,4381913
|
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2025-11-10,306.8200,309.9400,304.2300,309.1300,2975188
|
||||
2025-11-07,309.6800,310.0000,302.6301,306.3800,5070773
|
||||
2025-11-06,306.7500,315.4400,301.0900,312.4200,6818521
|
||||
2025-11-05,301.3800,307.2000,299.7100,306.7700,4633195
|
||||
2025-11-04,300.0000,303.1700,296.0000,300.8500,5677330
|
||||
2025-11-03,308.0000,312.1411,304.2300,304.7300,4957958
|
||||
2025-10-31,312.0000,313.5000,301.6300,307.4100,7697499
|
||||
2025-10-30,306.6500,313.7500,305.0200,310.0600,4694275
|
||||
2025-10-29,312.7900,314.3300,307.5200,308.2100,4135948
|
||||
2025-10-28,312.6000,319.3500,311.4100,312.5700,6044770
|
||||
2025-10-27,307.8000,313.5000,302.8800,313.0900,9868151
|
||||
2025-10-24,283.7700,310.7500,282.2100,307.4600,16914243
|
||||
2025-10-23,264.9500,285.5791,263.5623,285.0000,16676394
|
||||
2025-10-22,281.9900,289.1700,281.3500,287.5100,10538480
|
||||
2025-10-21,283.3100,285.3100,281.6000,282.0500,4080981
|
||||
2025-10-20,281.2500,285.5000,280.9600,283.6500,3494336
|
||||
2025-10-17,276.1500,283.4000,275.3500,281.2800,5309565
|
||||
2025-10-16,281.1100,282.5600,275.6000,275.9700,2956923
|
||||
2025-10-15,278.3800,285.4500,277.0000,280.7500,3346753
|
||||
2025-10-14,275.5200,277.5300,272.5469,276.1500,3058149
|
||||
2025-10-13,279.7900,282.4399,274.6400,277.2200,4333836
|
||||
2025-10-10,288.9700,290.3850,277.5000,277.8200,4508506
|
||||
2025-10-09,289.8200,290.1300,283.3200,288.2300,4912375
|
||||
2025-10-08,294.1600,294.2000,286.4730,289.4600,5297030
|
||||
2025-10-07,295.5500,301.0425,293.2850,293.8700,7190126
|
||||
2025-10-06,288.6100,291.4500,287.8000,289.4200,2881947
|
||||
2025-10-03,287.5000,293.3200,287.3000,288.3700,4375082
|
||||
2025-10-02,285.7900,288.5400,282.7900,286.7200,3814232
|
||||
2025-10-01,280.2000,286.5900,280.1500,286.4900,4381338
|
||||
2025-09-30,280.8800,286.0250,280.5200,282.1600,5926924
|
||||
2025-09-29,286.0000,286.0000,279.6600,279.8000,6022125
|
||||
2025-09-26,280.5100,288.8500,280.1100,284.3100,9063938
|
||||
2025-09-25,272.9350,284.2300,271.1480,281.4400,11506192
|
||||
2025-09-24,272.6200,273.6499,267.3000,267.5300,3159924
|
||||
2025-09-23,272.7000,273.2962,269.2650,272.2400,5394121
|
||||
2025-09-22,266.6200,272.3100,266.0000,271.3700,5030540
|
||||
2025-09-19,266.0500,267.8700,263.6400,266.4000,9858112
|
||||
2025-09-18,258.8600,265.2300,256.8004,265.0000,4988421
|
||||
2025-09-17,257.4950,260.9644,257.0100,259.0800,3974785
|
||||
2025-09-16,256.2600,258.0000,254.4100,257.5200,2719918
|
||||
2025-09-15,254.0200,259.0500,254.0000,256.2400,4028365
|
||||
2025-09-12,256.9500,257.2500,252.4250,253.4400,3433300
|
||||
2025-09-11,257.5600,258.5450,255.6550,257.0100,3576048
|
||||
2025-09-10,259.6500,260.0800,254.5600,256.8800,5185420
|
||||
2025-09-09,256.1200,260.6600,254.8800,259.1100,4931105
|
||||
2025-09-08,248.6300,257.1500,247.0200,256.0900,6940270
|
||||
2025-09-05,248.2300,249.0300,245.4500,248.5300,3147478
|
||||
2025-09-04,245.4200,249.2800,242.8500,247.1800,4765087
|
||||
2025-09-03,240.0200,244.2500,239.4100,244.1000,3156289
|
||||
2025-09-02,240.9000,241.5500,238.2500,241.5000,3469501
|
||||
2025-08-29,245.2300,245.4599,241.7200,243.4900,2967558
|
||||
2025-08-28,245.4300,245.8800,243.3600,245.7300,2820817
|
||||
2025-08-27,242.8700,245.9600,242.0000,244.8400,3698372
|
||||
2025-08-26,241.0200,244.9800,240.3800,242.6300,5386582
|
||||
2025-08-25,242.5650,242.5650,239.4300,239.4300,3513327
|
||||
2025-08-22,240.7400,243.6800,240.2200,242.0900,3134882
|
||||
2025-08-21,242.2100,242.5000,238.6500,239.4000,2991902
|
||||
2025-08-20,242.1100,242.8800,240.3400,242.5500,3240064
|
||||
2025-08-19,240.0000,242.8300,239.4900,241.2800,3328305
|
||||
2025-08-18,239.5700,241.4200,239.1158,239.4500,3569594
|
||||
2025-08-15,237.6100,240.6200,236.7700,239.7200,4344322
|
||||
2025-08-14,238.2500,239.0000,235.6200,237.1100,4556725
|
||||
2025-08-13,236.2000,240.8411,236.2000,240.0700,5663562
|
||||
2025-08-12,236.5300,237.9600,233.3600,234.7700,8800597
|
||||
2025-08-11,242.2400,243.1500,234.7000,236.3000,9381960
|
||||
2025-08-08,248.8800,249.4800,241.6500,242.2700,6828390
|
||||
2025-08-07,252.8100,255.0000,248.8750,250.1600,6251285
|
||||
2025-08-06,251.5300,254.3200,249.2800,252.2800,3692105
|
||||
2025-08-05,252.0000,252.8000,248.9950,250.6700,5823016
|
||||
2025-08-04,251.0500,252.0800,248.1100,251.9800,5280588
|
||||
2025-08-01,251.4050,251.4791,245.6100,250.0500,9683404
|
||||
2025-07-31,259.5700,259.9900,252.2200,253.1500,6739092
|
||||
2025-07-30,261.6000,262.0000,258.9000,260.2600,3718290
|
||||
2025-07-29,264.3000,265.7999,261.0200,262.4100,4627265
|
||||
2025-07-28,260.3000,264.0000,259.6100,263.2100,5192516
|
||||
2025-07-25,260.0200,260.8000,256.3500,259.7200,7758653
|
||||
2025-07-24,261.2500,262.0486,252.7500,260.5100,22647720
|
||||
2025-07-23,284.3000,288.0800,281.4400,282.0100,8105906
|
||||
2025-07-22,284.7400,284.8800,281.2500,281.9600,4824219
|
||||
2025-07-21,286.2900,287.7300,284.3800,284.7100,3051791
|
||||
2025-07-18,283.3800,287.1600,282.2200,285.8700,4478165
|
||||
2025-07-17,281.5000,283.4566,280.9000,282.0000,3337168
|
||||
2025-07-16,282.7500,283.8700,279.8700,281.9200,2804831
|
||||
2025-07-15,283.7700,284.1550,280.7301,282.7000,2864106
|
||||
2025-07-14,282.8300,284.9250,281.7100,283.7900,2857401
|
||||
2025-07-11,285.0100,287.4300,282.9200,283.5900,3790679
|
||||
2025-07-10,288.9000,288.9000,282.2100,287.4300,3489068
|
||||
2025-07-09,291.3900,291.6000,288.6300,290.1400,2971309
|
||||
2025-07-08,293.1000,295.6100,289.4900,290.4200,2925329
|
||||
|
Reference in New Issue
Block a user