QuanTAlib/lib/feeds/gbm/GBM.md

GBM Class

Property	Value
Category	Feed
Inputs	OHLCV bar (TBar)
Parameters	None
Outputs	Single series (GBM)
Output range	Varies (see docs)
Warmup	1 bar

• GBM (Geometric Brownian Motion) is a synthetic data generator that simulates realistic financial price movements.
• No configurable parameters; computation is stateless per bar.
• Validated against TA-Lib, Skender, and Tulip reference implementations where available.

GBM (Geometric Brownian Motion) is a synthetic data generator that simulates realistic financial price movements. It is useful for testing indicators, strategies, and system performance without relying on external data files.

Key Features

• Geometric Brownian Motion: Uses the standard mathematical model for asset price dynamics.
• Configurable Parameters: Control drift (trend) and volatility (noise).
• Stateless Design: Minimal memory footprint; only maintains state needed for continuity.
• Dual Modes: Supports both streaming (bar-by-bar) and batch generation.
• Intra-bar Updates: Can simulate real-time price updates within a single bar.

Mathematical Model

The price evolution follows the stochastic differential equation:

dS_t = \mu S_t dt + \sigma S_t dW_t

Where:

• S_t: Asset price at time t
• \mu: Drift (expected return)
• \sigma: Volatility (standard deviation of returns)
• W_t: Wiener process (Brownian motion)

Class Definition

public class GBM : IFeed
{
    public GBM(double startPrice = 100.0, double mu = 0.05, double sigma = 0.2, TimeSpan? defaultTimeframe = null);

    public TBar Next(bool isNew = true);
    public TBarSeries Fetch(int count, long startTime, TimeSpan interval);
}

Usage

1. Initialization

// Default: Start at 100, 5% drift, 20% volatility
var gbm = new GBM();

// Custom: Start at 50, 10% drift, 50% volatility
var volatileGbm = new GBM(startPrice: 50.0, mu: 0.10, sigma: 0.50);

2. Streaming Generation

// Generate a new bar
var bar = gbm.Next(isNew: true);

// Simulate intra-bar updates (e.g., real-time ticks)
for (int i = 0; i < 5; i++)
{
    var updatedBar = gbm.Next(isNew: false);
    Console.WriteLine($"Update: {updatedBar.Close}");
}

3. Batch Generation

long startTime = DateTime.UtcNow.Ticks;
var interval = TimeSpan.FromMinutes(1);

// Generate 1000 bars
var history = gbm.Fetch(1000, startTime, interval);