GBM_Feed fix

docs/QuanTAlib_Indicators.dib

@@ -3,7 +3,52 @@
 #r "nuget:QuanTAlib;"
 using QuanTAlib;
 
-YAHOO_Feed tqqq = new(30,"TQQQ");
+#!csharp
+
+public class GBM1_Feed : TBars
+{
+    static double seed;
+    readonly double drift, volatility;
+    public GBM1_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
+        seed = Seed;
+        volatility = Volatility*0.01;
+        drift = Drift*0.01;
+        for (int i = 0; i <Bars; i++) {
+            DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
+            this.Add(Timestamp);
+        }
+    }
+
+    public void Add(DateTime timestamp, bool update = false) {
+        double Open = GBM_value(seed, volatility*volatility, drift);
+        double Close = GBM_value(Open, volatility, drift);
+
+        double OCMax = Math.Max(Open,Close);
+        double High = (GBM_value(seed, volatility*0.5, 0));
+        High = (High<OCMax)? 2*OCMax-High : High;
+
+        double OCMin = Math.Min(Open,Close);
+        double Low = (GBM_value(seed, volatility*0.5, 0));
+        Low = (Low>OCMin)? 2*OCMin-Low : Low;
+
+        double Volume = GBM_value(seed*10, volatility*2, Drift:0);
+
+        base.Add((timestamp, Open, High, Low, Close, Volume), update);
+        seed = Close;
+    }
+
+    private static double GBM_value (double Seed, double Volatility, double Drift) {
+        Random rnd = new((int)(DateTime.UtcNow.Ticks));
+        double U1 = 1.0-rnd.NextDouble();
+        double U2 = 1.0-rnd.NextDouble();
+        double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
+        return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z);
+    }
+}
+
+#!csharp
+
+GBM1_Feed tqqq = new(30);
 TSeries data = tqqq.Close;
 SMA_Series sma = new(data, 5, false);
 MED_Series med = new(data, 5);