QuanTAlib/Source/Feeds/GBM_Feed.cs

namespace QuanTAlib;
using System;

/* <summary>
GBM - Geometric Brownian Motion is a random simulator of market movement, returning List<Quote>
    GBM can be used for testing indicators, validation and Monte Carlo simulations of strategies.

    Sample usage:
    GBM-Random data = new(); // generates 1 year (252) list of bars
    GBM-Random data = new(Bars: 1000); // generates 1,000 bars
    GBM-Random data = new(Bars: 252, Volatility: 0.05, Drift: 0.0005, Seed: 100.0)

    Parameters
    Bars:       number of bars (quotes) requested
    Volatility: how dymamic/volatile the series should be; default is 1
    Drift:      incremental drift due to annual interest rate; default is 5%
    Seed:       starting value of the random series; should not be 0

</summary> */

public class GBM_Feed : TBars
{
    private double seed;
    readonly double drift, volatility;
    readonly int precision;
    public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0, int Precision = 2) {
        this.seed = Seed;
        volatility = Volatility*0.01;
        drift = Drift*0.01;
        precision = Precision;
        for (int i = 0; i <Bars; i++) {
            DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
            this.Add(Timestamp);
        }
    }

    public void Add(DateTime timestamp, bool update = false) {
        double Open = GBM_value(seed, volatility*volatility, drift, precision);
        double Close = GBM_value(Open, volatility, drift, precision);

        double OCMax = Math.Max(Open,Close);
        double High = (GBM_value(seed, volatility*0.5, 0, precision));
        High = (High<OCMax)? (2 * OCMax) - High : High;

        double OCMin = Math.Min(Open,Close);
        double Low = (GBM_value(seed, volatility*0.5, 0, precision));
        Low = (Low>OCMin)? (2 * OCMin) - Low : Low;

        double Volume = GBM_value(seed*10, volatility*2, Drift:0, precision: 1);

        base.Add((timestamp, Open, High, Low, Close, Volume), update);
        seed = Close;
    }

    private static double GBM_value(double Seed, double Volatility, double Drift, int precision) {
        Random rnd = new();
        double U1 = 1.0-rnd.NextDouble();
        double U2 = 1.0-rnd.NextDouble();
        double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
        return Math.Round(Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + (Volatility * Z)), digits: precision);
    }
}