QuanTAlib/lib/statistics/acf/Acf.Quantower.cs

using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;

namespace QuanTAlib;

[SkipLocalsInit]
public sealed class AcfIndicator : Indicator, IWatchlistIndicator
{
    [InputParameter("Period", sortIndex: 1, 3, 2000, 1, 0)]
    public int Period { get; set; } = 20;

    [InputParameter("Lag", sortIndex: 2, 1, 100, 1, 0)]
    public int Lag { get; set; } = 1;

    [IndicatorExtensions.DataSourceInput]
    public SourceType Source { get; set; } = SourceType.Close;

    [InputParameter("Show cold values", sortIndex: 21)]
    public bool ShowColdValues { get; set; } = true;

    private Acf _acf = null!;
    private readonly LineSeries _series;
    private Func<IHistoryItem, double> _priceSelector = null!;

    public static int MinHistoryDepths => 0;
    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;

    public override string ShortName => $"ACF ({Period},{Lag})";
    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/acf/Acf.Quantower.cs";

    public AcfIndicator()
    {
        OnBackGround = true;
        SeparateWindow = true;
        Name = "ACF - Autocorrelation Function";
        Description = "Measures the correlation of a time series with a lagged copy of itself";

        _series = new LineSeries(name: "ACF", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
        AddLineSeries(_series);
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    protected override void OnInit()
    {
        _acf = new Acf(Period, Lag);
        _priceSelector = Source.GetPriceSelector();
        base.OnInit();
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    protected override void OnUpdate(UpdateArgs args)
    {
        if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar)
        {
            return;
        }

        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
        double value = _priceSelector(item);
        var time = this.HistoricalData.Time();

        var input = new TValue(time, value);
        TValue result = _acf.Update(input, args.IsNewBar());

        _series.SetValue(result.Value, _acf.IsHot, ShowColdValues);
    }
}