QuanTAlib/lib/feeds/GbmFeed.cs

using System.CommandLine.Rendering.Views;

namespace QuanTAlib;

public class GbmFeed : TBarSeries
{
	private readonly double _mu, _sigma;
	private readonly Random _random;
	private double _lastClose, _lastHigh, _lastLow;

	public GbmFeed(double initialPrice = 100.0, double mu = 0.05, double sigma = 0.2) : base()
	{
		_lastClose = _lastHigh = _lastLow = initialPrice;
		_mu = mu;
		_sigma = sigma;
		_random = new Random((int)DateTime.Now.Ticks);
		this.Name = $"GBM({_sigma:F2})";
	}

	public void Add(bool isNew = true) => Add(time: DateTime.Now, isNew: isNew);
	public void Add(DateTime time, bool isNew = true) => base.Add(Generate(time, isNew));
	public void Add(int count)
	{
		DateTime startTime = DateTime.UtcNow - TimeSpan.FromHours(count);
		TBar lastBar = new();
		for (int i = 0; i < count; i++)
		{
			Add(startTime, true);
			Add(startTime, false);
			Add(startTime, false);
			startTime = startTime.AddHours(1);
		}
	}

	public TBar Generate(DateTime time, bool isNew = true)
	{
		double dt = 1.0 / 252;
		double drift = (_mu - 0.5 * _sigma * _sigma) * dt;
		double diffusion = _sigma * Math.Sqrt(dt) * GenerateNormalRandom();
		double newClose = _lastClose * Math.Exp(drift + diffusion);

		double open = _lastClose;
		double high = Math.Max(_lastHigh, Math.Max(open, newClose) * (1 + _random.NextDouble() * 0.01));
		double low = Math.Min(_lastLow, Math.Min(open, newClose) * (1 - _random.NextDouble() * 0.01));
		double volume = 1000 + _random.NextDouble() * 1000;

		if (isNew)
		{
			_lastClose = newClose;
		}
		else
		{
			high = Math.Max(_lastHigh, high);
			low = Math.Min(_lastLow, low);
		}
		_lastHigh = high;
		_lastLow = low;

		TBar bar = new(time, open, high, low, newClose, volume, isNew);
		return bar;
	}

	private double GenerateNormalRandom()
	{
		// Box-Muller transform to generate standard normal random variable
		double u1 = 1.0 - _random.NextDouble(); // Uniform(0,1] random doubles
		double u2 = 1.0 - _random.NextDouble();
		return Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
	}
}