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QuanTAlib/lib/channels/accbands/AccBands.cs
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using System.Buffers;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
/// <summary>
/// AccBands: Acceleration Bands
/// </summary>
/// <remarks>
/// Acceleration Bands are a volatility-based channel indicator developed by Price Headley.
/// They create an adaptive price envelope around a moving average, with band width determined
/// by the spread between the high and low moving averages multiplied by a factor.
///
/// Calculation:
/// Middle Band = SMA(Close, Period)
/// BandWidth = [SMA(High, Period) - SMA(Low, Period)] × Factor
/// Upper Band = SMA(High, Period) + BandWidth
/// Lower Band = SMA(Low, Period) - BandWidth
///
/// Key characteristics:
/// - Bands expand during volatile periods and contract during consolidation
/// - Uses SMA of High, Low, and Close for calculations
/// - Factor parameter controls band sensitivity
///
/// Sources:
/// Headley, P. (2002). Big Trends in Trading. John Wiley & Sons.
/// </remarks>
[SkipLocalsInit]
public sealed class AccBands : ITValuePublisher, IDisposable
{
private readonly int _period;
private readonly double _factor;
private readonly RingBuffer _highBuffer;
private readonly RingBuffer _lowBuffer;
private readonly RingBuffer _closeBuffer;
private readonly TBarPublishedHandler _barHandler;
private TBarSeries? _source;
private bool _disposed;
private const int ResyncInterval = 1000;
[StructLayout(LayoutKind.Auto)]
private record struct State(
double SumHigh,
double SumLow,
double SumClose,
double LastValidHigh,
double LastValidLow,
double LastValidClose,
int TickCount
);
private State _state;
private State _p_state;
/// <summary>
/// Display name for the indicator.
/// </summary>
public string Name { get; }
/// <summary>
/// Number of periods before the indicator is considered "hot" (valid).
/// </summary>
public int WarmupPeriod { get; }
/// <summary>
/// Current middle band value.
/// </summary>
public TValue Last { get; private set; }
/// <summary>
/// Current upper band value.
/// </summary>
public TValue Upper { get; private set; }
/// <summary>
/// Current lower band value.
/// </summary>
public TValue Lower { get; private set; }
/// <summary>
/// True if the indicator has enough data to produce valid results.
/// </summary>
public bool IsHot => _closeBuffer.IsFull;
/// <summary>
/// Event triggered when a new TValue is available.
/// </summary>
public event TValuePublishedHandler? Pub;
/// <summary>
/// Creates AccBands with specified period and factor.
/// </summary>
/// <param name="period">Lookback period for SMA calculations (must be > 0)</param>
/// <param name="factor">Multiplier for band width (must be > 0, default: 2.0)</param>
public AccBands(int period, double factor = 2.0)
{
if (period <= 0)
throw new ArgumentException("Period must be greater than 0", nameof(period));
if (factor <= 0)
throw new ArgumentException("Factor must be greater than 0", nameof(factor));
_period = period;
_factor = factor;
_highBuffer = new RingBuffer(period);
_lowBuffer = new RingBuffer(period);
_closeBuffer = new RingBuffer(period);
Name = $"AccBands({period},{factor:F2})";
WarmupPeriod = period;
_barHandler = HandleBar;
}
/// <summary>
/// Creates AccBands with TBarSeries source.
/// </summary>
public AccBands(TBarSeries source, int period, double factor = 2.0) : this(period, factor)
{
_source = source;
Prime(source);
source.Pub += _barHandler;
}
/// <summary>
/// Releases resources and unsubscribes from the source event.
/// </summary>
public void Dispose()
{
if (_disposed) return;
_disposed = true;
if (_source != null)
{
_source.Pub -= _barHandler;
_source = null;
}
}
private void HandleBar(object? sender, in TBarEventArgs e) => Update(e.Value, e.IsNew);
/// <summary>
/// Helper to invoke the Pub event.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void PubEvent(TValue value, bool isNew = true)
{
Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
}
/// <summary>
/// Gets a valid input value, using last-value substitution for non-finite inputs.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double GetValidHigh(double input)
{
if (double.IsFinite(input))
{
_state.LastValidHigh = input;
return input;
}
return _state.LastValidHigh;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double GetValidLow(double input)
{
if (double.IsFinite(input))
{
_state.LastValidLow = input;
return input;
}
return _state.LastValidLow;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double GetValidClose(double input)
{
if (double.IsFinite(input))
{
_state.LastValidClose = input;
return input;
}
return _state.LastValidClose;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void UpdateState(double high, double low, double close)
{
double removedHigh = _highBuffer.Count == _highBuffer.Capacity ? _highBuffer.Oldest : 0.0;
double removedLow = _lowBuffer.Count == _lowBuffer.Capacity ? _lowBuffer.Oldest : 0.0;
double removedClose = _closeBuffer.Count == _closeBuffer.Capacity ? _closeBuffer.Oldest : 0.0;
_state.SumHigh = _state.SumHigh - removedHigh + high;
_state.SumLow = _state.SumLow - removedLow + low;
_state.SumClose = _state.SumClose - removedClose + close;
_highBuffer.Add(high);
_lowBuffer.Add(low);
_closeBuffer.Add(close);
_state.TickCount++;
if (_closeBuffer.IsFull && _state.TickCount >= ResyncInterval)
{
_state.TickCount = 0;
_state.SumHigh = _highBuffer.RecalculateSum();
_state.SumLow = _lowBuffer.RecalculateSum();
_state.SumClose = _closeBuffer.RecalculateSum();
}
}
/// <summary>
/// Updates the indicator with a TBar input.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TBar input, bool isNew = true)
{
if (isNew)
{
_p_state = _state;
double high = GetValidHigh(input.High);
double low = GetValidLow(input.Low);
double close = GetValidClose(input.Close);
UpdateState(high, low, close);
}
else
{
_state = _p_state;
double high = GetValidHigh(input.High);
double low = GetValidLow(input.Low);
double close = GetValidClose(input.Close);
_highBuffer.UpdateNewest(high);
_lowBuffer.UpdateNewest(low);
_closeBuffer.UpdateNewest(close);
_state = _state with
{
SumHigh = _highBuffer.Sum,
SumLow = _lowBuffer.Sum,
SumClose = _closeBuffer.Sum,
};
}
int count = _closeBuffer.Count;
if (count == 0)
{
Last = new TValue(input.Time, double.NaN);
Upper = new TValue(input.Time, double.NaN);
Lower = new TValue(input.Time, double.NaN);
}
else
{
double smaHigh = _state.SumHigh / count;
double smaLow = _state.SumLow / count;
double smaClose = _state.SumClose / count;
double bandWidth = (smaHigh - smaLow) * _factor;
Last = new TValue(input.Time, smaClose);
Upper = new TValue(input.Time, smaHigh + bandWidth);
Lower = new TValue(input.Time, smaLow - bandWidth);
}
PubEvent(Last, isNew);
return Last;
}
/// <summary>
/// Updates the indicator with a TBarSeries.
/// </summary>
public (TSeries Middle, TSeries Upper, TSeries Lower) Update(TBarSeries source)
{
if (source.Count == 0)
return (new TSeries([], []), new TSeries([], []), new TSeries([], []));
int len = source.Count;
var tMiddle = new List<long>(len);
var vMiddle = new List<double>(len);
var tUpper = new List<long>(len);
var vUpper = new List<double>(len);
var tLower = new List<long>(len);
var vLower = new List<double>(len);
CollectionsMarshal.SetCount(tMiddle, len);
CollectionsMarshal.SetCount(vMiddle, len);
CollectionsMarshal.SetCount(tUpper, len);
CollectionsMarshal.SetCount(vUpper, len);
CollectionsMarshal.SetCount(tLower, len);
CollectionsMarshal.SetCount(vLower, len);
var tSpan = CollectionsMarshal.AsSpan(tMiddle);
var vMiddleSpan = CollectionsMarshal.AsSpan(vMiddle);
var vUpperSpan = CollectionsMarshal.AsSpan(vUpper);
var vLowerSpan = CollectionsMarshal.AsSpan(vLower);
// Use batch calculation
Batch(source.HighValues, source.LowValues, source.CloseValues,
vMiddleSpan, vUpperSpan, vLowerSpan, _period, _factor);
source.Times.CopyTo(tSpan);
// Copy timestamps to upper and lower (same time series)
tSpan.CopyTo(CollectionsMarshal.AsSpan(tUpper));
tSpan.CopyTo(CollectionsMarshal.AsSpan(tLower));
// Prime the state for continued streaming
Prime(source);
return (new TSeries(tMiddle, vMiddle), new TSeries(tUpper, vUpper), new TSeries(tLower, vLower));
}
/// <summary>
/// Initializes the indicator state using the provided TBarSeries history.
/// </summary>
// skipcq: CS-R1140
public void Prime(TBarSeries source)
{
if (source.Count == 0) return;
// Reset state
_highBuffer.Clear();
_lowBuffer.Clear();
_closeBuffer.Clear();
_state = default;
_p_state = default;
int warmupLength = Math.Min(source.Count, WarmupPeriod);
int startIndex = source.Count - warmupLength;
// Seed LastValidValue
_state.LastValidHigh = double.NaN;
_state.LastValidLow = double.NaN;
_state.LastValidClose = double.NaN;
for (int i = startIndex - 1; i >= 0; i--)
{
var bar = source[i];
if (double.IsFinite(bar.High) && double.IsNaN(_state.LastValidHigh))
_state.LastValidHigh = bar.High;
if (double.IsFinite(bar.Low) && double.IsNaN(_state.LastValidLow))
_state.LastValidLow = bar.Low;
if (double.IsFinite(bar.Close) && double.IsNaN(_state.LastValidClose))
_state.LastValidClose = bar.Close;
if (!double.IsNaN(_state.LastValidHigh) && !double.IsNaN(_state.LastValidLow) && !double.IsNaN(_state.LastValidClose))
break;
}
// Find valid values in warmup window if not found
if (double.IsNaN(_state.LastValidHigh) || double.IsNaN(_state.LastValidLow) || double.IsNaN(_state.LastValidClose))
{
for (int i = startIndex; i < source.Count; i++)
{
var bar = source[i];
if (double.IsFinite(bar.High) && double.IsNaN(_state.LastValidHigh))
_state.LastValidHigh = bar.High;
if (double.IsFinite(bar.Low) && double.IsNaN(_state.LastValidLow))
_state.LastValidLow = bar.Low;
if (double.IsFinite(bar.Close) && double.IsNaN(_state.LastValidClose))
_state.LastValidClose = bar.Close;
if (!double.IsNaN(_state.LastValidHigh) && !double.IsNaN(_state.LastValidLow) && !double.IsNaN(_state.LastValidClose))
break;
}
}
// Feed the buffers
for (int i = startIndex; i < source.Count; i++)
{
var bar = source[i];
double high = GetValidHigh(bar.High);
double low = GetValidLow(bar.Low);
double close = GetValidClose(bar.Close);
UpdateState(high, low, close);
}
// Finalize state
int count = _closeBuffer.Count;
if (count > 0)
{
var lastBar = source.Last;
double smaHigh = _state.SumHigh / count;
double smaLow = _state.SumLow / count;
double smaClose = _state.SumClose / count;
double bandWidth = (smaHigh - smaLow) * _factor;
Last = new TValue(lastBar.Time, smaClose);
Upper = new TValue(lastBar.Time, smaHigh + bandWidth);
Lower = new TValue(lastBar.Time, smaLow - bandWidth);
}
_p_state = _state;
}
/// <summary>
/// Resets the indicator state.
/// </summary>
public void Reset()
{
_highBuffer.Clear();
_lowBuffer.Clear();
_closeBuffer.Clear();
_state = new State(
SumHigh: 0,
SumLow: 0,
SumClose: 0,
LastValidHigh: double.NaN,
LastValidLow: double.NaN,
LastValidClose: double.NaN,
TickCount: 0
);
_p_state = _state;
Last = default;
Upper = default;
Lower = default;
}
/////////////////////////////////////////////////////////////////////////////////////////////////
// Static Batch Methods
/////////////////////////////////////////////////////////////////////////////////////////////////
/// <summary>
/// Output buffers for batch AccBands calculation.
/// </summary>
/// <remarks>
/// Public Span fields are intentional: ref structs cannot use auto-properties with Span&lt;T&gt;
/// and direct field access provides optimal performance for this high-throughput API.
/// </remarks>
[StructLayout(LayoutKind.Auto)]
#pragma warning disable S1104 // Fields should not have public accessibility
public ref struct BatchOutputs
{
/// <summary>Output middle band (SMA of close)</summary>
public Span<double> Middle;
/// <summary>Output upper band</summary>
public Span<double> Upper;
/// <summary>Output lower band</summary>
public Span<double> Lower;
#pragma warning restore S1104
/// <summary>
/// Creates a new BatchOutputs instance.
/// </summary>
public BatchOutputs(Span<double> middle, Span<double> upper, Span<double> lower)
{
Middle = middle;
Upper = upper;
Lower = lower;
}
}
/// <summary>
/// Input buffers for batch AccBands calculation.
/// </summary>
[StructLayout(LayoutKind.Auto)]
#pragma warning disable S1104 // Fields should not have public accessibility
public ref struct BatchInputs
{
/// <summary>High price values</summary>
public ReadOnlySpan<double> High;
/// <summary>Low price values</summary>
public ReadOnlySpan<double> Low;
/// <summary>Close price values</summary>
public ReadOnlySpan<double> Close;
#pragma warning restore S1104
/// <summary>
/// Creates a new BatchInputs instance.
/// </summary>
public BatchInputs(ReadOnlySpan<double> high, ReadOnlySpan<double> low, ReadOnlySpan<double> close)
{
High = high;
Low = low;
Close = close;
}
}
/// <summary>
/// Internal state for scalar calculation.
/// </summary>
[StructLayout(LayoutKind.Auto)]
private ref struct ScalarState
{
public double SumHigh;
public double SumLow;
public double SumClose;
public double LastValidHigh;
public double LastValidLow;
public double LastValidClose;
public int BufferIndex;
public int TickCount;
}
/// <summary>
/// Working buffers for batch calculation.
/// </summary>
[StructLayout(LayoutKind.Auto)]
private readonly ref struct WorkBuffers(Span<double> high, Span<double> low, Span<double> close)
{
public readonly Span<double> High = high;
public readonly Span<double> Low = low;
public readonly Span<double> Close = close;
}
/// <summary>
/// Calculates AccBands for the entire TBarSeries using a new instance.
/// </summary>
public static (TSeries Middle, TSeries Upper, TSeries Lower) Batch(TBarSeries source, int period, double factor = 2.0)
{
var accBands = new AccBands(period, factor);
return accBands.Update(source);
}
/// <summary>
/// Calculates AccBands in-place using spans for maximum performance.
/// Zero-allocation method.
/// </summary>
/// <param name="inputs">Input buffers for high, low, and close prices</param>
/// <param name="outputs">Output buffers for middle, upper, and lower bands</param>
/// <param name="period">Lookback period</param>
/// <param name="factor">Band width factor</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(
BatchInputs inputs,
BatchOutputs outputs,
int period,
double factor = 2.0)
{
Batch(inputs.High, inputs.Low, inputs.Close, outputs.Middle, outputs.Upper, outputs.Lower, period, factor);
}
/// <summary>
/// Calculates AccBands in-place using spans for maximum performance.
/// Zero-allocation method.
/// </summary>
/// <param name="high">High price values</param>
/// <param name="low">Low price values</param>
/// <param name="close">Close price values</param>
/// <param name="outputs">Output buffers for middle, upper, and lower bands</param>
/// <param name="period">Lookback period</param>
/// <param name="factor">Band width factor</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(
ReadOnlySpan<double> high,
ReadOnlySpan<double> low,
ReadOnlySpan<double> close,
BatchOutputs outputs,
int period,
double factor = 2.0)
{
Batch(high, low, close, outputs.Middle, outputs.Upper, outputs.Lower, period, factor);
}
/// <summary>
/// Calculates AccBands in-place using spans for maximum performance.
/// Zero-allocation method.
/// </summary>
/// <param name="high">High price values</param>
/// <param name="low">Low price values</param>
/// <param name="close">Close price values</param>
/// <param name="middle">Output middle band (SMA of close)</param>
/// <param name="upper">Output upper band</param>
/// <param name="lower">Output lower band</param>
/// <param name="period">Lookback period</param>
/// <param name="factor">Band width factor</param>
// Suppressing S107: This is a high-performance batch API where callers benefit from
// direct span parameters. A BatchOutputs overload exists for callers preferring fewer parameters.
#pragma warning disable S107
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(
ReadOnlySpan<double> high,
ReadOnlySpan<double> low,
ReadOnlySpan<double> close,
Span<double> middle,
Span<double> upper,
Span<double> lower,
int period,
double factor = 2.0)
#pragma warning restore S107
{
int len = close.Length;
if (high.Length != len || low.Length != len)
throw new ArgumentException("High, Low, and Close must have the same length", nameof(high));
if (middle.Length < len || upper.Length < len || lower.Length < len)
throw new ArgumentException("Output buffers must be at least as long as input", nameof(middle));
if (period <= 0)
throw new ArgumentException("Period must be greater than 0", nameof(period));
if (factor <= 0)
throw new ArgumentException("Factor must be greater than 0", nameof(factor));
if (len == 0) return;
// Scalar implementation with NaN handling
var inputs = new BatchInputs(high, low, close);
var outputs = new BatchOutputs(middle, upper, lower);
CalculateScalarCore(inputs, outputs, period, factor);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void CalculateScalarCore(
scoped BatchInputs inputs,
scoped BatchOutputs outputs,
int period,
double factor)
{
int len = inputs.Close.Length;
// Always use ArrayPool to avoid span scope safety issues with stackalloc + ref structs
double[] rentedHigh = ArrayPool<double>.Shared.Rent(period);
double[] rentedLow = ArrayPool<double>.Shared.Rent(period);
double[] rentedClose = ArrayPool<double>.Shared.Rent(period);
try
{
var buffers = new WorkBuffers(
rentedHigh.AsSpan(0, period),
rentedLow.AsSpan(0, period),
rentedClose.AsSpan(0, period));
var state = new ScalarState
{
LastValidHigh = double.NaN,
LastValidLow = double.NaN,
LastValidClose = double.NaN,
};
SeedFirstValidValues(inputs, ref state);
int warmupEnd = Math.Min(period, len);
ProcessWarmupPhase(inputs, outputs, warmupEnd, factor, ref buffers, ref state);
ProcessMainLoop(inputs, outputs, warmupEnd, period, factor, ref buffers, ref state);
}
finally
{
ArrayPool<double>.Shared.Return(rentedHigh);
ArrayPool<double>.Shared.Return(rentedLow);
ArrayPool<double>.Shared.Return(rentedClose);
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void SeedFirstValidValues(scoped BatchInputs inputs, ref ScalarState state)
{
int len = inputs.Close.Length;
for (int k = 0; k < len; k++)
{
if (double.IsFinite(inputs.High[k]) && double.IsNaN(state.LastValidHigh))
state.LastValidHigh = inputs.High[k];
if (double.IsFinite(inputs.Low[k]) && double.IsNaN(state.LastValidLow))
state.LastValidLow = inputs.Low[k];
if (double.IsFinite(inputs.Close[k]) && double.IsNaN(state.LastValidClose))
state.LastValidClose = inputs.Close[k];
if (!double.IsNaN(state.LastValidHigh) && !double.IsNaN(state.LastValidLow) && !double.IsNaN(state.LastValidClose))
break;
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static (double h, double l, double c) GetValidHLC(scoped BatchInputs inputs, int i, ref ScalarState state)
{
double h = inputs.High[i];
double l = inputs.Low[i];
double c = inputs.Close[i];
if (double.IsFinite(h)) state.LastValidHigh = h; else h = state.LastValidHigh;
if (double.IsFinite(l)) state.LastValidLow = l; else l = state.LastValidLow;
if (double.IsFinite(c)) state.LastValidClose = c; else c = state.LastValidClose;
return (h, l, c);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void WriteBandOutputs(scoped BatchOutputs outputs, int i, double smaHigh, double smaLow, double smaClose, double factor)
{
double bandWidth = (smaHigh - smaLow) * factor;
outputs.Middle[i] = smaClose;
outputs.Upper[i] = smaHigh + bandWidth;
outputs.Lower[i] = smaLow - bandWidth;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void ProcessWarmupPhase(
scoped BatchInputs inputs,
scoped BatchOutputs outputs,
int warmupEnd,
double factor,
ref WorkBuffers buffers,
ref ScalarState state)
{
for (int i = 0; i < warmupEnd; i++)
{
var (h, l, c) = GetValidHLC(inputs, i, ref state);
state.SumHigh += h;
state.SumLow += l;
state.SumClose += c;
buffers.High[i] = h;
buffers.Low[i] = l;
buffers.Close[i] = c;
int count = i + 1;
WriteBandOutputs(outputs, i, state.SumHigh / count, state.SumLow / count, state.SumClose / count, factor);
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void ProcessMainLoop(
scoped BatchInputs inputs,
scoped BatchOutputs outputs,
int startIndex,
int period,
double factor,
ref WorkBuffers buffers,
ref ScalarState state)
{
int len = inputs.Close.Length;
for (int i = startIndex; i < len; i++)
{
var (h, l, c) = GetValidHLC(inputs, i, ref state);
state.SumHigh = state.SumHigh - buffers.High[state.BufferIndex] + h;
state.SumLow = state.SumLow - buffers.Low[state.BufferIndex] + l;
state.SumClose = state.SumClose - buffers.Close[state.BufferIndex] + c;
buffers.High[state.BufferIndex] = h;
buffers.Low[state.BufferIndex] = l;
buffers.Close[state.BufferIndex] = c;
state.BufferIndex++;
if (state.BufferIndex >= period) state.BufferIndex = 0;
WriteBandOutputs(outputs, i, state.SumHigh / period, state.SumLow / period, state.SumClose / period, factor);
state.TickCount++;
if (state.TickCount >= ResyncInterval)
{
ResyncSums(period, ref buffers, ref state);
}
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void ResyncSums(int period, ref WorkBuffers buffers, ref ScalarState state)
{
state.TickCount = 0;
ReadOnlySpan<double> highSpan = buffers.High[..period];
ReadOnlySpan<double> lowSpan = buffers.Low[..period];
ReadOnlySpan<double> closeSpan = buffers.Close[..period];
state.SumHigh = highSpan.SumSIMD();
state.SumLow = lowSpan.SumSIMD();
state.SumClose = closeSpan.SumSIMD();
}
/// <summary>
/// Runs a high-performance batch calculation and returns a "Hot" AccBands instance.
/// </summary>
public static ((TSeries Middle, TSeries Upper, TSeries Lower) Results, AccBands Indicator) Calculate(TBarSeries source, int period, double factor = 2.0)
{
var accBands = new AccBands(period, factor);
var results = accBands.Update(source);
return (results, accBands);
}
}