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Refactor trend indicators to use record structs for state management

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This commit is contained in:
Miha Kralj
2025-12-10 21:58:45 -05:00
parent cfc54bf1f7
commit e6033638ad
17 changed files with 390 additions and 484 deletions
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lib/feeds/gbm/gbm.cs
+29 -11
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@@ -1,4 +1,5 @@
using System.Runtime.CompilerServices;
using System.Security.Cryptography;
namespace QuanTAlib;
@@ -13,7 +14,7 @@ namespace QuanTAlib;
public class GBM : IFeed
#pragma warning restore S101
{
private readonly Random _rnd;
private readonly Random? _rnd;
private double _lastPrice;
private long _lastTime;
@@ -52,7 +53,7 @@ public class GBM : IFeed
ArgumentOutOfRangeException.ThrowIfNegativeOrZero(startPrice);
ArgumentOutOfRangeException.ThrowIfNegative(sigma);
_rnd = seed.HasValue ? new Random(seed.Value) : new Random();
_rnd = seed.HasValue ? new Random(seed.Value) : null;
_lastPrice = startPrice;
_lastTime = DateTime.UtcNow.Ticks;
@@ -71,6 +72,23 @@ public class GBM : IFeed
_vol = sigma * Math.Sqrt(dt);
}
/// <summary>
/// Generates a random double in [0, 1) using either the seeded Random or RandomNumberGenerator.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double NextDouble()
{
if (_rnd != null)
{
return _rnd.NextDouble();
}
Span<byte> buffer = stackalloc byte[8];
RandomNumberGenerator.Fill(buffer);
ulong ul = BitConverter.ToUInt64(buffer);
return (ul >> 11) * (1.0 / (1ul << 53));
}
/// <summary>
/// Generates next standard normal using Box-Muller transform with caching.
/// </summary>
@@ -83,8 +101,8 @@ public class GBM : IFeed
return _cachedZ;
}
double u1 = 1.0 - _rnd.NextDouble(); // nosemgrep
double u2 = 1.0 - _rnd.NextDouble(); // nosemgrep
double u1 = 1.0 - NextDouble();
double u2 = 1.0 - NextDouble();
double mag = Math.Sqrt(-2.0 * Math.Log(u1));
double angle = 2.0 * Math.PI * u2;
@@ -110,12 +128,12 @@ public class GBM : IFeed
double z = NextNormal();
double price = _lastPrice * Math.Exp(_drift + _vol * z);
double volume = 1000 + _rnd.NextDouble() * 1000;
double volume = 1000 + NextDouble() * 1000;
double open = _lastPrice;
double close = price;
double high = Math.Max(open, close) * (1.0 + _rnd.NextDouble() * 0.01);
double low = Math.Min(open, close) * (1.0 - _rnd.NextDouble() * 0.01);
double high = Math.Max(open, close) * (1.0 + NextDouble() * 0.01);
double low = Math.Min(open, close) * (1.0 - NextDouble() * 0.01);
_currentBar = new TBar(currentTime, open, high, low, close, volume);
_hasCurrentBar = true;
@@ -128,7 +146,7 @@ public class GBM : IFeed
// Update current bar (intra-bar tick)
double z = NextNormal();
double price = _lastPrice * Math.Exp(_drift + _vol * z);
double additionalVolume = 1000 + _rnd.NextDouble() * 1000;
double additionalVolume = 1000 + NextDouble() * 1000;
var bar = _currentBar;
double newClose = price;
@@ -190,9 +208,9 @@ public class GBM : IFeed
double open = currentPrice;
double close = price;
double rnd1 = _rnd.NextDouble();
double rnd2 = _rnd.NextDouble();
double rnd3 = _rnd.NextDouble();
double rnd1 = NextDouble();
double rnd2 = NextDouble();
double rnd3 = NextDouble();
t[i] = currentTime;
o[i] = open;