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Miha Kralj 74b49d2bb4 Add TBar, TBarSeries, TSeries, TValue, and IFeed implementations with comprehensive documentation and examples

- Introduced TBar struct for efficient OHLCV data representation.
- Implemented TBarSeries class for high-performance collection of TBar instances using Structure of Arrays (SoA) layout.
- Added TSeries class for time-series data management with zero-copy access.
- Created TValue struct for time-value pairs with implicit conversions.
- Defined IFeed interface for consistent data feed implementations.
- Developed CsvFeed class for loading historical OHLCV data from CSV files.
- Implemented GBM class for generating synthetic financial data using Geometric Brownian Motion.
- Added Quantower project files for Averages indicator with necessary dependencies and configurations.
- Included extensive usage examples and notebooks for TBar, TBarSeries, TSeries, TValue, and feed implementations.

2025-11-27 19:51:43 -08:00

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IFeed Interface

IFeed defines the standard contract for all data feeds in QuanTAlib, ensuring consistent behavior across different data sources (synthetic, file-based, or live API).

Key Concepts

Bidirectional Control: The Next(ref bool isNew) method allows the consumer to request a new bar (isNew = true) or an update to the current bar (isNew = false).
Streaming: Designed for bar-by-bar processing, simulating real-time data flow.
Batching: Supports fetching historical data ranges via Fetch().

Interface Definition

public interface IFeed
{
    /// <summary>
    /// Gets the next bar with full control over new/update state.
    /// </summary>
    TBar Next(ref bool isNew);

    /// <summary>
    /// Convenience overload for simple next-bar requests.
    /// </summary>
    TBar Next(bool isNew = true);

    /// <summary>
    /// Retrieves a batch of historical bars.
    /// </summary>
    TBarSeries Fetch(int count, long startTime, TimeSpan interval);
}

Implementation Guidelines

When implementing IFeed:

State Management: Maintain the current position in the data source.
End of Data: When data is exhausted, Next should return the last valid bar and set isNew to false.
Intra-bar Updates: If the source supports it (e.g., live ticks), Next(isNew: false) should return the updated state of the current bar. If not supported (e.g., CSV), it should return the current bar unchanged.
Thread Safety: Implementations are generally not required to be thread-safe unless specified.

Implementations

GBM: Geometric Brownian Motion generator (Synthetic).
CsvFeed: Reads OHLCV data from CSV files (Historical).

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