indicator-stream

StreamHub indicator development

Provider selection

Performance requirements

Target: StreamHub ≤ 1.5x slower than Series

Anti-pattern 1: O(n²) recalculation (FORBIDDEN)

// WRONG - Rebuilds entire history on each tick
for (int k = 0; k <= i; k++) { subset.Add(cache[k]); }
var result = subset.ToIndicator();

Correct: O(1) incremental update

// CORRECT - Maintain state, update incrementally
_avgGain = ((_avgGain * (period - 1)) + gain) / period;

Anti-pattern 2: O(n) window scans

Use RollingWindowMax/Min utilities instead of linear scans for max/min operations.

RollbackState pattern

Override when maintaining stateful fields:

protected override void RollbackState(DateTime timestamp)
{
    int targetIndex = ProviderCache.IndexGte(timestamp);

    _window.Clear();

    if (targetIndex <= 0) return;

    int restoreIndex = targetIndex - 1;  // Rebuild up to but NOT including timestamp
    int startIdx = Math.Max(0, restoreIndex + 1 - LookbackPeriods);

    for (int p = startIdx; p <= restoreIndex; p++)
        _window.Add(ProviderCache[p].Value);
}

Critical: Replay up to targetIndex - 1 (exclusive of rollback timestamp). The quote at the rollback timestamp will be recalculated when it arrives via normal processing.

Testing requirements

1. Inherit from StreamHubTestBase
2. Implement exactly ONE observer interface:
   • ITestChainObserver (most common)
   • ITestQuoteObserver (quote-only providers)
3. Implement at most ONE provider interface: ITestChainProvider
4. Comprehensive rollback validation (required):
   • Prefill warmup window before subscribing
   • Stream in-order including duplicates
   • Insert a late historical quote → verify recalculation
   • Remove a historical quote → verify recalculation
   • Compare results to Series with strict ordering

Required implementation

• Source code: src/**/{IndicatorName}.StreamHub.cs file exists
  • Uses appropriate provider base (ChainHub or QuoteProvider)
  • Validates parameters in constructor; calls Reinitialize() as needed
  • Implements O(1) state updates; avoids O(n²) recalculation
  • Overrides RollbackState() when maintaining stateful fields
  • Overrides ToString() with concise hub name
• Unit testing: tests/indicators/**/{IndicatorName}.StreamHub.Tests.cs exists
  • Inherits StreamHubTestBase with correct test interfaces
  • Comprehensive rollback validation present
  • Verifies Series parity
• Catalog registration: Registered in Catalog.Listings.cs
• Performance benchmark: Add to #file:../../../tools/performance/Perf.Stream.cs
• Public documentation: Update docs/indicators/{IndicatorName}.md
• Regression tests: Add to tests/indicators/**/{IndicatorName}.Regression.Tests.cs
• Migration guide: Update docs/migration.md for notable and breaking changes from v2

Common pitfalls

• Null or empty quotes causing stateful streaming regressions (always validate input sequences)
• Index out of range and buffer reuse issues in streaming indicators (guard shared spans and caches)
• Performance regressions from O(n) or O(n²) patterns instead of O(1) incremental updates
• Improper rollback state replay (must replay up to targetIndex - 1, exclusive of rollback timestamp)

Last updated: January 25, 2026