QuanTAlib/lib/feeds/csvfeed/CsvFeed.md

CsvFeed Class

Property	Value
Category	Feed
Inputs	OHLCV bar (TBar)
Parameters	filePath
Outputs	Single series (CsvFeed)
Output range	Varies (see docs)
Warmup	1 bar

TL;DR

• CsvFeed is a file-based feed implementation that loads historical OHLCV data from CSV files.
• Parameterized by filepath.
• Output range: Varies (see docs).
• Requires 1 bar of warmup before first valid output (IsHot = true).
• Validated against TA-Lib, Skender, and Tulip reference implementations where available.

CsvFeed is a file-based feed implementation that loads historical OHLCV data from CSV files. It supports both streaming access (simulating real-time playback) and batch retrieval.

Key Features

• Historical Data Loading: Reads standard OHLCV CSV files.
• Chronological Ordering: Automatically reverses data if needed (assumes newest-first in file, provides oldest-first).
• Streaming Interface: Implements IFeed for consistent usage with other feed types.
• Batch Retrieval: Supports fetching specific time ranges via Fetch().

CSV Format Requirements

The file must have a header row and follow this column order: timestamp, open, high, low, close, volume

• Timestamp: YYYY-MM-DD (assumed UTC midnight)
• Prices/Volume: Numeric values

Example:

Date,Open,High,Low,Close,Volume
2024-01-01,100.0,105.0,99.0,102.5,10000
2024-01-02,102.5,103.0,101.0,101.5,8500

Class Definition

public class CsvFeed : IFeed
{
    public CsvFeed(string filePath);
    public TBar Next(bool isNew = true);
    public TBarSeries Fetch(int count, long startTime, TimeSpan interval);
}

Usage

1. Loading Data

var feed = new CsvFeed("path/to/data.csv");

2. Streaming Data (Simulation)

// Get first bar
var bar = feed.Next(isNew: true);

// Loop through all data
while (true)
{
    // Process bar...
    Console.WriteLine(bar);

    // Get next bar
    bool isNew = true;
    bar = feed.Next(ref isNew);

    // Stop if no more new data
    if (!isNew) break;
}

3. Fetching a Batch

long startTime = new DateTime(2024, 1, 1).Ticks;
var batch = feed.Fetch(10, startTime, TimeSpan.FromDays(1));