mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 23:58:04 +00:00
565 lines
19 KiB
C#
565 lines
19 KiB
C#
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using System.Buffers;
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// GATOR: Williams Gator Oscillator
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/// Dual-histogram oscillator derived from three SMMA (Wilder's RMA) lines of the
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/// Williams Alligator. Upper histogram = |Jaw_shifted − Teeth_shifted| (always ≥ 0).
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/// Lower histogram = −|Teeth_shifted − Lips_shifted| (always ≤ 0).
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/// Primary output (Val) = Upper histogram.
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/// </summary>
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/// <remarks>
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/// <b>Calculation steps:</b>
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/// <list type="number">
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/// <item>SMMA_jaw = RMA(input, jawPeriod); shifted forward jawShift bars</item>
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/// <item>SMMA_teeth = RMA(input, teethPeriod); shifted forward teethShift bars</item>
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/// <item>SMMA_lips = RMA(input, lipsPeriod); shifted forward lipsShift bars</item>
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/// <item>Upper = |SMMA_jaw[jawShift] − SMMA_teeth[teethShift]|</item>
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/// <item>Lower = −|SMMA_teeth[teethShift] − SMMA_lips[lipsShift]|</item>
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/// </list>
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///
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/// <b>Sources:</b>
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/// Bill Williams, "New Trading Dimensions", Wiley, 1998
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/// </remarks>
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/// <seealso href="Gator.md">Detailed documentation</seealso>
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[SkipLocalsInit]
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public sealed class Gator : AbstractBase
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{
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private readonly int _jawPeriod;
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private readonly int _jawShift;
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private readonly int _teethPeriod;
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private readonly int _teethShift;
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private readonly int _lipsPeriod;
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private readonly int _lipsShift;
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private readonly double _jawAlpha;
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private readonly double _jawDecay;
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private readonly double _teethAlpha;
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private readonly double _teethDecay;
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private readonly double _lipsAlpha;
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private readonly double _lipsDecay;
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// Ring buffers to store shifted SMMA values (size = shift + 1)
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private readonly RingBuffer _jawHistory;
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private readonly RingBuffer _teethHistory;
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private readonly RingBuffer _lipsHistory;
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[StructLayout(LayoutKind.Auto)]
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private record struct State(
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double JawSmma,
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double TeethSmma,
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double LipsSmma,
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double LastValidValue,
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double LowerValue,
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int Count
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);
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private State _s;
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private State _ps;
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/// <summary>
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/// Lower histogram value from the most recent calculation.
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/// Always ≤ 0 (negated absolute difference between Teeth and Lips).
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/// </summary>
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public double Lower => _s.LowerValue;
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/// <summary>
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/// Creates GATOR with specified Alligator parameters.
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/// </summary>
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/// <param name="jawPeriod">Jaw SMMA period (must be ≥ 1, default 13)</param>
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/// <param name="jawShift">Jaw forward shift (must be ≥ 0, default 8)</param>
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/// <param name="teethPeriod">Teeth SMMA period (must be ≥ 1, default 8)</param>
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/// <param name="teethShift">Teeth forward shift (must be ≥ 0, default 5)</param>
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/// <param name="lipsPeriod">Lips SMMA period (must be ≥ 1, default 5)</param>
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/// <param name="lipsShift">Lips forward shift (must be ≥ 0, default 3)</param>
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public Gator(int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5, int lipsPeriod = 5, int lipsShift = 3)
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{
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if (jawPeriod < 1)
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{
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throw new ArgumentException("Jaw period must be greater than or equal to 1", nameof(jawPeriod));
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}
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if (teethPeriod < 1)
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{
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throw new ArgumentException("Teeth period must be greater than or equal to 1", nameof(teethPeriod));
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}
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if (lipsPeriod < 1)
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{
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throw new ArgumentException("Lips period must be greater than or equal to 1", nameof(lipsPeriod));
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}
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if (jawShift < 0)
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{
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throw new ArgumentException("Jaw shift must be non-negative", nameof(jawShift));
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}
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if (teethShift < 0)
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{
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throw new ArgumentException("Teeth shift must be non-negative", nameof(teethShift));
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}
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if (lipsShift < 0)
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{
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throw new ArgumentException("Lips shift must be non-negative", nameof(lipsShift));
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}
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_jawPeriod = jawPeriod;
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_jawShift = jawShift;
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_teethPeriod = teethPeriod;
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_teethShift = teethShift;
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_lipsPeriod = lipsPeriod;
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_lipsShift = lipsShift;
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_jawAlpha = 1.0 / jawPeriod;
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_jawDecay = 1.0 - _jawAlpha;
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_teethAlpha = 1.0 / teethPeriod;
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_teethDecay = 1.0 - _teethAlpha;
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_lipsAlpha = 1.0 / lipsPeriod;
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_lipsDecay = 1.0 - _lipsAlpha;
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// Ring buffers: need shift+1 slots to store current + shifted history
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_jawHistory = new RingBuffer(jawShift + 1);
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_teethHistory = new RingBuffer(teethShift + 1);
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_lipsHistory = new RingBuffer(lipsShift + 1);
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Name = $"Gator({jawPeriod},{teethPeriod},{lipsPeriod})";
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// Warmup = max(jawPeriod + jawShift, teethPeriod + teethShift, lipsPeriod + lipsShift)
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WarmupPeriod = Math.Max(jawPeriod + jawShift, Math.Max(teethPeriod + teethShift, lipsPeriod + lipsShift));
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_s = new State(0, 0, 0, 0, 0, 0);
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_ps = _s;
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}
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/// <summary>
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/// Creates GATOR with specified source and parameters.
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/// </summary>
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public Gator(ITValuePublisher source, int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5, int lipsPeriod = 5, int lipsShift = 3)
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: this(jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift)
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{
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source.Pub += Handle;
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}
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private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
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/// <summary>
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/// True when all three shift buffers are full (enough shifted history).
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/// </summary>
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public override bool IsHot => _jawHistory.IsFull && _teethHistory.IsFull && _lipsHistory.IsFull;
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/// <summary>
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/// Updates the indicator with a single TValue input.
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/// Uses DPO-proven Snapshot/Restore pattern for bar correction.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override TValue Update(TValue input, bool isNew = true)
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{
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// NaN/Infinity handling: last-valid substitution (before branching)
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double val = input.Value;
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if (!double.IsFinite(val))
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{
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val = _s.LastValidValue;
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}
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if (isNew)
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{
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// skipcq:CS-R1140 - DPO pattern: save state, snapshot buffers, compute, add
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_ps = _s;
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_jawHistory.Snapshot();
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_teethHistory.Snapshot();
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_lipsHistory.Snapshot();
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var s = _s;
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if (double.IsFinite(input.Value))
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{
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s.LastValidValue = val;
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}
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s.Count++;
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ComputeSmma(ref s, val);
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_jawHistory.Add(s.JawSmma <= 0 && s.Count <= 1 ? val : s.JawSmma);
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_teethHistory.Add(s.TeethSmma <= 0 && s.Count <= 1 ? val : s.TeethSmma);
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_lipsHistory.Add(s.LipsSmma <= 0 && s.Count <= 1 ? val : s.LipsSmma);
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_s = s;
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}
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else
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{
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// skipcq:CS-R1140 - Mirror isNew=true: restore state, restore buffers, recompute, re-add
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_s = _ps;
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_jawHistory.Restore();
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_teethHistory.Restore();
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_lipsHistory.Restore();
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var s = _s;
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if (double.IsFinite(input.Value))
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{
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s.LastValidValue = val;
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}
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s.Count++;
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ComputeSmma(ref s, val);
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_jawHistory.Add(s.JawSmma <= 0 && s.Count <= 1 ? val : s.JawSmma);
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_teethHistory.Add(s.TeethSmma <= 0 && s.Count <= 1 ? val : s.TeethSmma);
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_lipsHistory.Add(s.LipsSmma <= 0 && s.Count <= 1 ? val : s.LipsSmma);
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_s = s;
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}
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// Calculate histogram values using shifted (oldest) values from buffers
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double upper;
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double lower;
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if (_jawHistory.IsFull && _teethHistory.IsFull && _lipsHistory.IsFull)
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{
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double jawShifted = _jawHistory.Oldest;
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double teethShifted = _teethHistory.Oldest;
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double lipsShifted = _lipsHistory.Oldest;
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upper = Math.Abs(jawShifted - teethShifted);
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lower = -Math.Abs(teethShifted - lipsShifted);
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}
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else
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{
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upper = 0.0;
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lower = 0.0;
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}
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_s.LowerValue = lower;
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Last = new TValue(input.Time, upper);
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PubEvent(Last, isNew);
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return Last;
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}
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public override TSeries Update(TSeries source)
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{
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if (source.Count == 0)
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{
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return [];
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}
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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var tSpan = CollectionsMarshal.AsSpan(t);
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var vSpan = CollectionsMarshal.AsSpan(v);
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Batch(source.Values, vSpan, _jawPeriod, _jawShift, _teethPeriod, _teethShift, _lipsPeriod, _lipsShift);
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source.Times.CopyTo(tSpan);
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// Prime internal state by replaying
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Prime(source.Values);
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Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
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return new TSeries(t, v);
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}
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public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
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{
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if (source.Length == 0)
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{
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return;
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}
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_jawHistory.Clear();
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_teethHistory.Clear();
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_lipsHistory.Clear();
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_s = default;
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_ps = default;
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int warmupLength = Math.Min(source.Length, WarmupPeriod + 10);
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int startIndex = source.Length - warmupLength;
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// Find a valid seed value for last-valid tracking
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_s.LastValidValue = 0;
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for (int i = startIndex - 1; i >= 0; i--)
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{
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if (double.IsFinite(source[i]))
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{
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_s.LastValidValue = source[i];
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break;
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}
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}
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if (_s.LastValidValue == 0)
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{
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for (int i = startIndex; i < source.Length; i++)
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{
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if (double.IsFinite(source[i]))
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{
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_s.LastValidValue = source[i];
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break;
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}
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}
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}
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for (int i = startIndex; i < source.Length; i++)
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{
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Update(new TValue(DateTime.MinValue, source[i]), isNew: true);
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}
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// After priming, sync saved state so first isNew=false works
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_ps = _s;
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_jawHistory.Snapshot();
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_teethHistory.Snapshot();
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_lipsHistory.Snapshot();
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}
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/// <summary>
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/// Calculates GATOR for the entire series using a new instance.
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/// </summary>
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public static TSeries Batch(TSeries source, int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5, int lipsPeriod = 5, int lipsShift = 3)
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{
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var gator = new Gator(jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift);
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return gator.Update(source);
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}
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/// <summary>
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/// Span-based batch calculation. Outputs upper histogram values.
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/// Zero-allocation method for maximum performance.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Batch(ReadOnlySpan<double> source, Span<double> output,
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int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5,
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int lipsPeriod = 5, int lipsShift = 3)
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{
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if (source.Length != output.Length)
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{
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throw new ArgumentException("Source and output must have the same length", nameof(output));
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}
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if (jawPeriod < 1)
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{
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throw new ArgumentException("Jaw period must be greater than or equal to 1", nameof(jawPeriod));
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}
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if (teethPeriod < 1)
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{
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throw new ArgumentException("Teeth period must be greater than or equal to 1", nameof(teethPeriod));
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}
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if (lipsPeriod < 1)
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{
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throw new ArgumentException("Lips period must be greater than or equal to 1", nameof(lipsPeriod));
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}
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if (jawShift < 0)
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{
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throw new ArgumentException("Jaw shift must be non-negative", nameof(jawShift));
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}
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if (teethShift < 0)
|
|||
|
|
{
|
|||
|
|
throw new ArgumentException("Teeth shift must be non-negative", nameof(teethShift));
|
|||
|
|
}
|
|||
|
|
if (lipsShift < 0)
|
|||
|
|
{
|
|||
|
|
throw new ArgumentException("Lips shift must be non-negative", nameof(lipsShift));
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
int len = source.Length;
|
|||
|
|
if (len == 0)
|
|||
|
|
{
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
CalculateScalarCore(source, output, jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
/// <summary>
|
|||
|
|
/// Calculates GATOR and returns both results and the indicator instance.
|
|||
|
|
/// </summary>
|
|||
|
|
public static (TSeries Results, Gator Indicator) Calculate(TSeries source,
|
|||
|
|
int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5,
|
|||
|
|
int lipsPeriod = 5, int lipsShift = 3)
|
|||
|
|
{
|
|||
|
|
var indicator = new Gator(jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift);
|
|||
|
|
TSeries results = indicator.Update(source);
|
|||
|
|
return (results, indicator);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
// ---- Private implementation ----
|
|||
|
|
|
|||
|
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
|||
|
|
private void ComputeSmma(ref State s, double val)
|
|||
|
|
{
|
|||
|
|
if (s.Count <= 1)
|
|||
|
|
{
|
|||
|
|
// Seed: first value initializes all SMMAs
|
|||
|
|
s.JawSmma = val;
|
|||
|
|
s.TeethSmma = val;
|
|||
|
|
s.LipsSmma = val;
|
|||
|
|
}
|
|||
|
|
else
|
|||
|
|
{
|
|||
|
|
// SMMA: alpha * input + (1-alpha) * prevSmma = FMA(prevSmma, decay, alpha * input)
|
|||
|
|
s.JawSmma = Math.FusedMultiplyAdd(s.JawSmma, _jawDecay, _jawAlpha * val);
|
|||
|
|
s.TeethSmma = Math.FusedMultiplyAdd(s.TeethSmma, _teethDecay, _teethAlpha * val);
|
|||
|
|
s.LipsSmma = Math.FusedMultiplyAdd(s.LipsSmma, _lipsDecay, _lipsAlpha * val);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
|||
|
|
private static void CalculateScalarCore(ReadOnlySpan<double> source, Span<double> output,
|
|||
|
|
int jawPeriod, int jawShift, int teethPeriod, int teethShift, int lipsPeriod, int lipsShift)
|
|||
|
|
{
|
|||
|
|
int len = source.Length;
|
|||
|
|
double jawAlpha = 1.0 / jawPeriod;
|
|||
|
|
double jawDecay = 1.0 - jawAlpha;
|
|||
|
|
double teethAlpha = 1.0 / teethPeriod;
|
|||
|
|
double teethDecay = 1.0 - teethAlpha;
|
|||
|
|
double lipsAlpha = 1.0 / lipsPeriod;
|
|||
|
|
double lipsDecay = 1.0 - lipsAlpha;
|
|||
|
|
|
|||
|
|
int jawBufSize = jawShift + 1;
|
|||
|
|
int teethBufSize = teethShift + 1;
|
|||
|
|
int lipsBufSize = lipsShift + 1;
|
|||
|
|
|
|||
|
|
const int StackAllocThreshold = 256;
|
|||
|
|
|
|||
|
|
double[]? rentedJaw = jawBufSize > StackAllocThreshold ? ArrayPool<double>.Shared.Rent(jawBufSize) : null;
|
|||
|
|
Span<double> jawBuf = rentedJaw != null
|
|||
|
|
? rentedJaw.AsSpan(0, jawBufSize)
|
|||
|
|
: stackalloc double[jawBufSize];
|
|||
|
|
|
|||
|
|
double[]? rentedTeeth = teethBufSize > StackAllocThreshold ? ArrayPool<double>.Shared.Rent(teethBufSize) : null;
|
|||
|
|
Span<double> teethBuf = rentedTeeth != null
|
|||
|
|
? rentedTeeth.AsSpan(0, teethBufSize)
|
|||
|
|
: stackalloc double[teethBufSize];
|
|||
|
|
|
|||
|
|
double[]? rentedLips = lipsBufSize > StackAllocThreshold ? ArrayPool<double>.Shared.Rent(lipsBufSize) : null;
|
|||
|
|
Span<double> lipsBuf = rentedLips != null
|
|||
|
|
? rentedLips.AsSpan(0, lipsBufSize)
|
|||
|
|
: stackalloc double[lipsBufSize];
|
|||
|
|
|
|||
|
|
try
|
|||
|
|
{
|
|||
|
|
double lastValid = 0;
|
|||
|
|
double jawSmma = 0;
|
|||
|
|
double teethSmma = 0;
|
|||
|
|
double lipsSmma = 0;
|
|||
|
|
int jawIdx = 0;
|
|||
|
|
int teethIdx = 0;
|
|||
|
|
int lipsIdx = 0;
|
|||
|
|
int jawFilled = 0;
|
|||
|
|
int teethFilled = 0;
|
|||
|
|
int lipsFilled = 0;
|
|||
|
|
bool seeded = false;
|
|||
|
|
|
|||
|
|
for (int k = 0; k < len; k++)
|
|||
|
|
{
|
|||
|
|
if (double.IsFinite(source[k]))
|
|||
|
|
{
|
|||
|
|
lastValid = source[k];
|
|||
|
|
break;
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
for (int i = 0; i < len; i++)
|
|||
|
|
{
|
|||
|
|
double val = source[i];
|
|||
|
|
if (double.IsFinite(val))
|
|||
|
|
{
|
|||
|
|
lastValid = val;
|
|||
|
|
}
|
|||
|
|
else
|
|||
|
|
{
|
|||
|
|
val = lastValid;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
double jawVal;
|
|||
|
|
double teethVal;
|
|||
|
|
double lipsVal;
|
|||
|
|
|
|||
|
|
if (!seeded)
|
|||
|
|
{
|
|||
|
|
jawSmma = val;
|
|||
|
|
teethSmma = val;
|
|||
|
|
lipsSmma = val;
|
|||
|
|
seeded = true;
|
|||
|
|
jawVal = val;
|
|||
|
|
teethVal = val;
|
|||
|
|
lipsVal = val;
|
|||
|
|
}
|
|||
|
|
else
|
|||
|
|
{
|
|||
|
|
jawSmma = Math.FusedMultiplyAdd(jawSmma, jawDecay, jawAlpha * val);
|
|||
|
|
teethSmma = Math.FusedMultiplyAdd(teethSmma, teethDecay, teethAlpha * val);
|
|||
|
|
lipsSmma = Math.FusedMultiplyAdd(lipsSmma, lipsDecay, lipsAlpha * val);
|
|||
|
|
|
|||
|
|
jawVal = jawSmma;
|
|||
|
|
teethVal = teethSmma;
|
|||
|
|
lipsVal = lipsSmma;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
jawBuf[jawIdx] = jawVal;
|
|||
|
|
if (jawFilled < jawBufSize)
|
|||
|
|
{
|
|||
|
|
jawFilled++;
|
|||
|
|
}
|
|||
|
|
jawIdx++;
|
|||
|
|
if (jawIdx >= jawBufSize)
|
|||
|
|
{
|
|||
|
|
jawIdx = 0;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
teethBuf[teethIdx] = teethVal;
|
|||
|
|
if (teethFilled < teethBufSize)
|
|||
|
|
{
|
|||
|
|
teethFilled++;
|
|||
|
|
}
|
|||
|
|
teethIdx++;
|
|||
|
|
if (teethIdx >= teethBufSize)
|
|||
|
|
{
|
|||
|
|
teethIdx = 0;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
lipsBuf[lipsIdx] = lipsVal;
|
|||
|
|
if (lipsFilled < lipsBufSize)
|
|||
|
|
{
|
|||
|
|
lipsFilled++;
|
|||
|
|
}
|
|||
|
|
lipsIdx++;
|
|||
|
|
if (lipsIdx >= lipsBufSize)
|
|||
|
|
{
|
|||
|
|
lipsIdx = 0;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if (jawFilled >= jawBufSize && teethFilled >= teethBufSize && lipsFilled >= lipsBufSize)
|
|||
|
|
{
|
|||
|
|
double jawShifted = jawBuf[jawIdx % jawBufSize];
|
|||
|
|
double teethShifted = teethBuf[teethIdx % teethBufSize];
|
|||
|
|
|
|||
|
|
output[i] = Math.Abs(jawShifted - teethShifted);
|
|||
|
|
}
|
|||
|
|
else
|
|||
|
|
{
|
|||
|
|
output[i] = 0.0;
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
finally
|
|||
|
|
{
|
|||
|
|
if (rentedJaw != null)
|
|||
|
|
{
|
|||
|
|
ArrayPool<double>.Shared.Return(rentedJaw);
|
|||
|
|
}
|
|||
|
|
if (rentedTeeth != null)
|
|||
|
|
{
|
|||
|
|
ArrayPool<double>.Shared.Return(rentedTeeth);
|
|||
|
|
}
|
|||
|
|
if (rentedLips != null)
|
|||
|
|
{
|
|||
|
|
ArrayPool<double>.Shared.Return(rentedLips);
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
|||
|
|
public override void Reset()
|
|||
|
|
{
|
|||
|
|
_jawHistory.Clear();
|
|||
|
|
_teethHistory.Clear();
|
|||
|
|
_lipsHistory.Clear();
|
|||
|
|
_s = new State(0, 0, 0, 0, 0, 0);
|
|||
|
|
_ps = _s;
|
|||
|
|
Last = default;
|
|||
|
|
}
|
|||
|
|
}
|