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Miha Kralj
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62 lines
2.6 KiB
Markdown
62 lines
2.6 KiB
Markdown
# IFeed Interface
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| Property | Value |
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| ---------------- | -------------------------------- |
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| **Category** | Feed |
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| **Inputs** | OHLCV bar (TBar) |
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| **Parameters** | None |
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| **Outputs** | Single series (IFeed) |
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| **Output range** | Varies (see docs) |
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| **Warmup** | 1 bar |
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- `IFeed` defines the standard contract for all data feeds in QuanTAlib, ensuring consistent behavior across different data sources (synthetic, file-...
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- No configurable parameters; computation is stateless per bar.
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- Output range: Varies (see docs).
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- Requires 1 bar of warmup before first valid output (IsHot = true).
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- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
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`IFeed` defines the standard contract for all data feeds in QuanTAlib, ensuring consistent behavior across different data sources (synthetic, file-based, or live API).
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## Key Concepts
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* **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`).
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* **Streaming**: Designed for bar-by-bar processing, simulating real-time data flow.
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* **Batching**: Supports fetching historical data ranges via `Fetch()`.
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## Interface Definition
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```csharp
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public interface IFeed
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{
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/// <summary>
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/// Gets the next bar with full control over new/update state.
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/// </summary>
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TBar Next(ref bool isNew);
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/// <summary>
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/// Convenience overload for simple next-bar requests.
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/// </summary>
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TBar Next(bool isNew = true);
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/// <summary>
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/// Retrieves a batch of historical bars.
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/// </summary>
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TBarSeries Fetch(int count, long startTime, TimeSpan interval);
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}
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```
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## Implementation Guidelines
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When implementing `IFeed`:
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1. **State Management**: Maintain the current position in the data source.
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2. **End of Data**: When data is exhausted, `Next` should return the last valid bar and set `isNew` to `false`.
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3. **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.
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4. **Thread Safety**: Implementations are generally not required to be thread-safe unless specified.
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## Implementations
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* **`GBM`**: Geometric Brownian Motion generator (Synthetic).
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* **`CsvFeed`**: Reads OHLCV data from CSV files (Historical).
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* **`AlphaVantage`**: Fetches OHLCV data from the Alpha Vantage REST API (Historical/Live).
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