Synthetic Scenario Generator

The synthetic path generator in engine/gbm_engine.py fabricates realistic intraday candles whenever you need endless practice data. Each call to generate_scenario_data() returns a 400-candle pandas.DataFrame with OHLCV fields and a full set of technical indicators.

Generation Pipeline

  1. Volatility-Aware GBM

    • Uses a discrete Geometric Brownian Motion (GBM) update with mu = 0.0001 and a time step of one five-minute bar.
    • Applies volatility clustering: the instantaneous sigma follows a bounded random walk between 0.1% and 0.5% to emulate news shocks and quiet periods.
    • Prices evolve via \(S_t = S_{t-1} \cdot e^{(\mu - 0.5\sigma^2)\Delta t + \sigma \sqrt{\Delta t} \cdot \epsilon_t}\) with fresh Gaussian noise per bar.

  2. Timestamp Fabrication

    • Builds a synthetic DatetimeIndex ending at the current wall-clock time and stepping backwards in five-minute intervals. This ensures pandas-ta studies that rely on index metadata (such as VWAP) operate correctly.

  3. OHLC Reconstruction

    • Open is the previous close, while High/Low expand around the max/min of (Open, Close) using volatility-scaled noise.
    • Volume is sampled from an integer range and scaled by the current sigma so that turbulent regimes naturally produce larger prints.

  4. Indicator Enrichment

    • Delegates to engine.indicators.add_technical_indicators() to append the full indicator suite (moving averages, oscillators, channels, etc.).
    • After indicators are computed, the first 210 rows are dropped to remove initialization artifacts from long lookbacks such as the 200-period SMA.

Practical Notes

  • Determinism: The engine intentionally uses NumPy randomness without seeds so that each "Skip" action yields a unique scenario.
  • Performance: All calculations are vectorized; even with the indicator stack, generating a fresh scenario typically takes <50 ms on modern hardware.
  • Extensibility: You can add custom indicators by editing add_technical_indicators()—the synthetic generator will pick them up automatically.