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This commit is contained in:
Miha Kralj
2026-01-25 16:01:45 -08:00
parent 2836f253c4
commit e59665c8f0
399 changed files with 6892 additions and 1323 deletions
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lib/feeds/gbm/gbm.cs
+50 -6
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@@ -75,22 +75,30 @@ public sealed class GBM : IFeed
{
// Validate startPrice
if (startPrice <= 0 || !double.IsFinite(startPrice))
{
throw new ArgumentOutOfRangeException(nameof(startPrice), startPrice, "Start price must be positive and finite");
}
// Validate mu
if (!double.IsFinite(mu))
{
throw new ArgumentOutOfRangeException(nameof(mu), mu, "Drift (mu) must be finite");
}
// Validate sigma
if (sigma < 0 || !double.IsFinite(sigma))
{
throw new ArgumentOutOfRangeException(nameof(sigma), sigma, "Volatility (sigma) must be non-negative and finite");
}
// Use provided timeframe or default to 1 minute
var timeframe = defaultTimeframe ?? TimeSpan.FromMinutes(1);
// Validate timeframe
if (timeframe <= TimeSpan.Zero)
{
throw new ArgumentOutOfRangeException(nameof(defaultTimeframe), defaultTimeframe, "Timeframe must be positive");
}
_rnd = seed.HasValue ? new Random(seed.Value) : null;
StartPrice = startPrice;
@@ -170,7 +178,9 @@ public sealed class GBM : IFeed
// Guard against log(0) which produces -Infinity
if (u1 <= double.Epsilon)
{
u1 = double.Epsilon;
}
double mag = Math.Sqrt(-2.0 * Math.Log(u1));
double angle = 2.0 * Math.PI * u2;
@@ -200,7 +210,9 @@ public sealed class GBM : IFeed
// Ensure price stays positive and finite
if (!double.IsFinite(price) || price <= 0)
{
price = _lastPrice;
}
double volume = 1000 + NextDouble() * 1000;
@@ -232,7 +244,9 @@ public sealed class GBM : IFeed
// Ensure price stays positive and finite
if (!double.IsFinite(price) || price <= 0)
{
price = _lastPrice;
}
double additionalVolume = 1000 + NextDouble() * 1000;
@@ -274,9 +288,14 @@ public sealed class GBM : IFeed
public TBarSeries Fetch(int count, long startTime, TimeSpan interval)
{
if (count <= 0)
{
throw new ArgumentException("Count must be positive", nameof(count));
}
if (interval <= TimeSpan.Zero)
{
throw new ArgumentOutOfRangeException(nameof(interval), interval, "Interval must be positive");
}
var series = new TBarSeries(count);
@@ -333,12 +352,35 @@ public sealed class GBM : IFeed
}
finally
{
if (rentedT != null) ArrayPool<long>.Shared.Return(rentedT);
if (rentedO != null) ArrayPool<double>.Shared.Return(rentedO);
if (rentedH != null) ArrayPool<double>.Shared.Return(rentedH);
if (rentedL != null) ArrayPool<double>.Shared.Return(rentedL);
if (rentedC != null) ArrayPool<double>.Shared.Return(rentedC);
if (rentedV != null) ArrayPool<double>.Shared.Return(rentedV);
if (rentedT != null)
{
ArrayPool<long>.Shared.Return(rentedT);
}
if (rentedO != null)
{
ArrayPool<double>.Shared.Return(rentedO);
}
if (rentedH != null)
{
ArrayPool<double>.Shared.Return(rentedH);
}
if (rentedL != null)
{
ArrayPool<double>.Shared.Return(rentedL);
}
if (rentedC != null)
{
ArrayPool<double>.Shared.Return(rentedC);
}
if (rentedV != null)
{
ArrayPool<double>.Shared.Return(rentedV);
}
}
}
@@ -371,7 +413,9 @@ public sealed class GBM : IFeed
// Ensure price stays positive and finite
if (!double.IsFinite(price) || price <= 0)
{
price = currentPrice;
}
double open = currentPrice;
double close = price;