feat: Incremental & streaming quotes, v3.0.0

[DaveSkender]

v3.0.0: Streaming indicators (in-progress)

This is a collection of progressive and volatile pre-release features to produce streaming indicators and support for ingestion of price quotes from WebSockets and other active and incremental quote sources.

Note
Please provide comments and feedback in our discussion for v3.0.0 preview | Streaming features (feedback)

Notable scope

• create core quote provider, handling
• prototype with EMA and SMA indicators
• prototype with basic .Use(..) chain
• release 3.0.0-preview.1014.15, streaming preview: initial baseline #824
• release 3.0.0-preview.1014.12 (newer than .15)
• get initial feedback
• release 3.0.0-preview.1014.25 (maintenance update only)
• feat: Full chain streaming prototypes #1092
  • handle out-of-sequence late-arrival quotes #1094 on EMA/SMA base cases only
  • performance tuning and usability testing
• test: Isolate integration, external tests #1156
• test: Culture and date settings #1211
• refactor: Add inline comments, remove info.xml #1155
• feat: Buffer-style ADX incremental #1271 and EMA as experimental alternate buffer style incrementors
• refactor: Naming standardization #1273, like IndexOf(), avoid “Get” overuses
• auto-prune in-memory stream data #1095 on EMA/SMA base cases only - @elpht
• get feedback
• implement widely for most common moving average indicators
• implement widely for most common other indicators
• feat: ToStringOut() for series #1150
• increment base documentation
  • see project notes for other options, experiments
  • feat: DocFX baseline (experiment) #1251
• incorporate private project notes
• get and incorporate final feedback
• publish initial stable v3 release
• plan to implement remaining indicators, incrementally

Deferred to v3.1

• add standalone buffer-style increment methods #1091 for all indicators - @martonb
• replace List with [] in static series, then covert at end return (it’s faster) #1259

[DaveSkender]

Renaming to do or consider

• change ISeries.Date to Timestamp to avoid conflict with .NET reserved name
• change Quote to Bar or Candle to allow future path to consuming bid/ask quotes with proper nomenclature. Confirm potential use of Tick as individual trade information.
• change BasicData to QuotePart since we're using this in new contexts for streaming
• Streaming classes as “EmaHub”. These are really hubs that are both observers and obervables

Related migration documentation

• Ensure maximum backwards compatibility
  • [Obsolete] IQuote as base to IBar
  • with Timestamp => Date (or some form of graceful transition)
• update documentation, migration notes, [Obsolete] transitions, where possible

[DaveSkender]

Additional testing to do, or to consider

• add comprehensive manual test project to v2, to exercise all public interfaces; but, also to identify all breaking changes to ensure max use of [Obsolete] transitions and complete migration documentation.
  • use this as base for Observer.Streaming project (in v3 branch)
  • similarly update missing public use cases to Tests.Other project

[DaveSkender]

Documentation to do, or to consider for previews

• add temporary dotnet.stockindicators.dev/v3 DNS pointer
  • and related NuGet release notes URL
  • and related deployer URL, that's used in draft release notes generator

[DaveSkender]

Interface designs to do, or to consider

• consider switching to IReadOnlyList or IList as external list interfaces, instead of IEnumerable, but double-check consequences. I kind of think converting to list happens more often than not with end use; not sure of pros/cons.
• ensure primary public classes can be mocked (has interface or is otherwise virtual). There's likely a conflict with sealed results; however, output classes don't typically need to be mocked with end-user testing (verify).

[DaveSkender]

For consideration; but may want to implement this in a v3.1

• add external data cache scenarios to EMA/SMA, to proof wider implementation in future add standalone buffer-style increment methods #1091, for both I/O (see note)
  • IQuote cache
  • IResult or IReusable
  • test scenarios

    /// <summary>
    /// Optional.  Use externally provided cache.
    /// </summary>
    /// <param name="externalCache"></param>
    /// <remarks>
    /// Allow users to provide their own cache storage location.
    /// </remarks>
    protected AbstractCache(
        List<TSeries> externalCache)
    {
        Cache = externalCache;
        throw new NotImplementedException();
    }

[DaveSkender]

• restore .NET Standard v2.1, if possible

[DaveSkender]

@thomasd3 (re: #1245), as a quick forecast, I’m hoping to get this major version out by end of this year in the next 2-3 months. I was aiming to time it with the .NET 9 release date, but don’t think that’s going to happen.

I’ll also publish an updated preview edition soon; we’re still working through concepts and bigger breaking changes.

[DaveSkender]

• Consider Cysharp/ObservableCollections

[codebeaulieu]

Very excited about this major update @DaveSkender - really cool stuff.

This probably doesn't fit into your library anywhere but I am writing a system that uses FusionCache to store candles, it's extremely fast and versatile, worth checking out.

• consider ZiggyCreatures/FusionCache