QuanTAlib/Tests/Validations/Trends/Pandas_TA.cs

using Xunit;
using System;
using QuanTAlib;
using System.Runtime.InteropServices;
using System.Runtime.InteropServices.Marshalling;
using Python.Runtime;

namespace Validations;

public class PandasTA : IDisposable {
	private bool disposed = false;
	private readonly GBM_Feed bars;
	private readonly Random rnd = new();
	private readonly int period, skip;
	private readonly int digits;
	private readonly dynamic np;
	private readonly dynamic ta;
	private readonly dynamic pd;
	private readonly dynamic df;

	public PandasTA() {
		bars = new GBM_Feed(5000, 0.8, 0.0);
		period = rnd.Next(28) + 3;
		skip = period + 50;
		digits = 8;

		var pythonDLL = PythonLibrary.Locate();
		Runtime.PythonDLL = pythonDLL;
		PythonEngine.Initialize();

		np = Py.Import("numpy");
		pd = Py.Import("pandas");
		ta = Py.Import("pandas_ta");

		string[] cols = {"open", "high", "low", "close", "volume"};
		var ary = new double[bars.Count, 5];
		for (var i = 0; i < bars.Count; i++) {
			ary[i, 0] = bars.Open[i].v;
			ary[i, 1] = bars.High[i].v;
			ary[i, 2] = bars.Low[i].v;
			ary[i, 3] = bars.Close[i].v;
			ary[i, 4] = bars.Volume[i].v;
		}

		df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
	}

	public void Dispose() {
		Dispose(true);
		PythonEngine.Shutdown();
		GC.SuppressFinalize(this);
	}

	~PandasTA() {
		Dispose(false);
	}

	protected virtual void Dispose(bool disposing) {
		if (!disposed) {
			disposed = true;
		}
	}

	[Fact]
	private void ADL() {
		ADL_Series QL = new(bars);
		var pta = df.ta.ad(high: df.high, low: df.low, close: df.close, volume: df.volume);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void BBANDS() {
		BBANDS_Series QL = new(bars.Close, period);
		var pta = df.ta.bbands(close: df.close, length: period).to_numpy();
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL.Lower[i].v;
			var PanTA_item = (double) pta[i][0]; //lower
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
			QL_item = QL.Mid[i].v;
			PanTA_item = (double) pta[i][1]; //mid
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
			QL_item = QL.Upper[i].v;
			PanTA_item = (double) pta[i][2]; //upper
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void BIAS() {
		BIAS_Series QL = new(bars.Close, period, false);
		var pta = df.ta.bias(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void CCI() {
		CCI_Series QL = new(bars, period, false);
		var pta = df.ta.cci(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void DEMA() {
		DEMA_Series QL = new(bars.Close, period, false);
		var pta = df.ta.dema(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void EMA() {
		EMA_Series QL = new(bars.Close, period, false);
		var pta = df.ta.ema(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void ENTROPY() {
		ENTROPY_Series QL = new(bars.Close, period, false);
		var pta = df.ta.entropy(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void HL2() {
		var pta = df.ta.hl2(high: df.high, low: df.low);
		for (var i = bars.HL2.Length - 1; i > skip; i--) {
			var QL_item = bars.HL2[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void HLC3() {
		var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
		for (var i = bars.HLC3.Length; i > skip; i--) {
			var QL_item = bars.HLC3[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void HMA() {
		HMA_Series QL = new(bars.Close, period, false);
		var pta = df.ta.hma(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void KURTOSIS() {
		KURTOSIS_Series QL = new(bars.Close, period, false);
		var pta = df.ta.kurtosis(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void MACD() {
		MACD_Series QL = new(bars.Close, 26, 12, 9, false);
		var pta = df.ta.macd(close: df.close).to_numpy();
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1][0];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
			QL_item = QL.Signal[i - 1].v;
			PanTA_item = (double) pta[i - 1][2];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void MAD() {
		MAD_Series QL = new(bars.Close, period, false);
		var pta = df.ta.mad(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void MEDIAN() {
		MEDIAN_Series QL = new(bars.Close, period);
		var pta = df.ta.median(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void OBV() {
		OBV_Series QL = new(bars);
		var pta = df.ta.obv(close: df.close, volume: df.volume);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void OHLC4() {
		var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
		for (var i = bars.OHLC4.Length; i > skip; i--) {
			var QL_item = bars.OHLC4[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void SDEV() {
		SDEV_Series QL = new(bars.Close, period, false);
		var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void SMA() {
		SMA_Series QL = new(bars.Close, period, false);
		var pta = df.ta.sma(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void SSDEV() {
		SSDEV_Series QL = new(bars.Close, period, false);
		var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void SVARIANCE() {
		SVAR_Series QL = new(bars.Close, period);
		var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void TEMA() {
		TEMA_Series QL = new(bars.Close, period, false);
		var pta = df.ta.tema(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void TR() {
		TR_Series QL = new(bars);
		var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void TRIMA() {
		// TODO: return length to variable length (period) when Pandas-TA fixes trima to calculate even periods right
		TRIMA_Series QL = new(bars.Close, 11);
		var pta = df.ta.trima(close: df.close, length: 11);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void VARIANCE() {
		VAR_Series QL = new(bars.Close, period);
		var pta = df.ta.variance(close: df.close, length: period, ddof: 0);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void WMA() {
		WMA_Series QL = new(bars.Close, period, false);
		var pta = df.ta.wma(close: df.close, length: period);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}

	[Fact]
	private void ZSCORE() {
		ZSCORE_Series QL = new(bars.Close, period, false);
		var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
		for (var i = QL.Length - 1; i > skip; i--) {
			var QL_item = QL[i - 1].v;
			var PanTA_item = (double) pta[i - 1];
			Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
		}
	}
}

public static class PythonLibrary {
	public static string Locate() {
		if (RuntimeInformation.IsOSPlatform(OSPlatform.Windows)) {
			string[] paths = Environment.GetEnvironmentVariable("PATH")?.Split(';') ?? Array.Empty<string>();
			foreach (string path in paths) {
				string[] pythonDLLs = Directory.GetFiles(path, "python3*.dll");
				if (pythonDLLs.Length > 0) {
					foreach (string item in pythonDLLs) {
						if (!item.EndsWith("python3.dll", StringComparison.OrdinalIgnoreCase)) {
							return item;
						}
					}

				}
			}
			throw new FileNotFoundException("Python library not found in PATH");
		}
		else if (RuntimeInformation.IsOSPlatform(OSPlatform.Linux)) {
            return "/usr/lib/x86_64-linux-gnu/libpython3.10.so";
/*
            List<string> pythonLibraries = new List<string>();
			List<string> directoriesToSearch = new List<string> { "/home/runner/.local/lib" }; // Add more directories as needed
        	string filePattern = "libpython3.*.so";
        	SearchFiles(directoriesToSearch, filePattern, pythonLibraries);

			if (pythonLibraries.Count > 0) {
				return pythonLibraries[0];
			}
			else {
				throw new FileNotFoundException("Python library not found");
			}
*/
		}

		else if (RuntimeInformation.IsOSPlatform(OSPlatform.OSX)) {
			throw new NotSupportedException("Not supported yet");
		}

		else { throw new NotSupportedException("Unsupported operating system"); }
	}
	static void SearchFiles(List<string> directoriesToSearch, string filePattern, List<string> foundFiles)
    {
        foreach (string directory in directoriesToSearch)
        {
            if (Directory.Exists(directory))
            {
                try
                {
                    string[] files = Directory.GetFiles(directory, filePattern, SearchOption.AllDirectories);
                    foundFiles.AddRange(files);
                }
                catch (Exception e)
                {
                    Console.WriteLine("Error searching in directory: " + directory + " - " + e.Message);
                }
            }
        }
    }
}