gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-21 12:08:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

Refactor code formatting and improve consistency across various test files

Browse Source 
- Removed unnecessary blank lines in multiple test files to enhance readability.
- Ensured consistent spacing and formatting in the `Trima`, `Usf`, `Vidya`, `Wma`, and `Atr` test classes.
- Updated comments for clarity and consistency in the `Atr` and `Adl` classes.
- Adjusted project files for better structure and maintainability.
This commit is contained in:
Miha Kralj
2025-12-28 17:44:08 -08:00
parent ad6eebf812
commit 13d7c1215d
169 changed files with 10815 additions and 10814 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/core/tbarseries/TBarSeries.Tests.cs
+39 -39
View File
@@ -40,9 +40,9 @@ public class TBarSeriesTests
{
var series = new TBarSeries();
var bar = new TBar(DateTime.UtcNow.Ticks, 100, 110, 90, 105, 1000);
series.Add(bar, isNew: true);
Assert.Single(series);
Assert.Equal(105.0, series.Last.Close);
}
@@ -54,10 +54,10 @@ public class TBarSeriesTests
long time = DateTime.UtcNow.Ticks;
var bar1 = new TBar(time, 100, 110, 90, 105, 1000);
var bar2 = new TBar(time, 100, 112, 90, 108, 1200);
series.Add(bar1, isNew: true);
series.Add(bar2, isNew: false);
Assert.Single(series);
Assert.Equal(108.0, series.Last.Close);
Assert.Equal(112.0, series.Last.High);
@@ -68,9 +68,9 @@ public class TBarSeriesTests
{
var series = new TBarSeries();
var bar = new TBar(DateTime.UtcNow.Ticks, 100, 110, 90, 105, 1000);
series.Add(bar, isNew: false);
Assert.Single(series);
}
@@ -79,9 +79,9 @@ public class TBarSeriesTests
{
var series = new TBarSeries();
long time = DateTime.UtcNow.Ticks;
series.Add(time, 100, 110, 90, 105, 1000, isNew: true);
Assert.Single(series);
Assert.Equal(time, series.Last.Time);
}
@@ -91,9 +91,9 @@ public class TBarSeriesTests
{
var series = new TBarSeries();
var dt = new DateTime(2024, 6, 15, 10, 30, 0, DateTimeKind.Utc);
series.Add(dt, 100, 110, 90, 105, 1000, isNew: true);
Assert.Single(series);
Assert.Equal(dt.Ticks, series.Last.Time);
}
@@ -108,9 +108,9 @@ public class TBarSeriesTests
var lows = new double[] { 5, 15, 25 };
var closes = new double[] { 12, 22, 32 };
var volumes = new double[] { 100, 200, 300 };
series.Add(times, opens, highs, lows, closes, volumes);
Assert.Equal(3, series.Count);
Assert.Equal(10, series[0].Open);
Assert.Equal(32, series[2].Close);
@@ -121,15 +121,15 @@ public class TBarSeriesTests
{
var series = new TBarSeries();
var bar = new TBar(DateTime.UtcNow.Ticks, 100, 110, 90, 105, 1000);
series.Add(bar, isNew: true);
Assert.Single(series.Open);
Assert.Single(series.High);
Assert.Single(series.Low);
Assert.Single(series.Close);
Assert.Single(series.Volume);
Assert.Equal(100.0, series.Open.Last.Value);
Assert.Equal(110.0, series.High.Last.Value);
Assert.Equal(90.0, series.Low.Last.Value);
@@ -143,7 +143,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
var bar = new TBar(DateTime.UtcNow.Ticks, 100, 110, 90, 105, 1000);
series.Add(bar, isNew: true);
Assert.Same(series.Open, series.O);
Assert.Same(series.High, series.H);
Assert.Same(series.Low, series.L);
@@ -155,7 +155,7 @@ public class TBarSeriesTests
public void SubSeries_HaveCorrectNames()
{
var series = new TBarSeries();
Assert.Equal("Open", series.Open.Name);
Assert.Equal("High", series.High.Name);
Assert.Equal("Low", series.Low.Name);
@@ -167,9 +167,9 @@ public class TBarSeriesTests
public void Last_EmptySeries_ReturnsDefault()
{
var series = new TBarSeries();
var last = series.Last;
Assert.Equal(0, last.Time);
Assert.Equal(0.0, last.Open);
Assert.Equal(0.0, last.Close);
@@ -181,9 +181,9 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
var last = series.Last;
Assert.Equal(200, last.Time);
Assert.Equal(22.0, last.Close);
}
@@ -201,7 +201,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(200, series.LastTime);
}
@@ -218,7 +218,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(20.0, series.LastOpen);
}
@@ -235,7 +235,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(25.0, series.LastHigh);
}
@@ -252,7 +252,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(15.0, series.LastLow);
}
@@ -269,7 +269,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(22.0, series.LastClose);
}
@@ -286,7 +286,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(200.0, series.LastVolume);
}
@@ -297,7 +297,7 @@ public class TBarSeriesTests
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
series.Add(300, 30, 35, 25, 32, 300);
Assert.Equal(100, series[0].Time);
Assert.Equal(10.0, series[0].Open);
Assert.Equal(200, series[1].Time);
@@ -310,12 +310,12 @@ public class TBarSeriesTests
public void Count_ReturnsCorrectValue()
{
var series = new TBarSeries();
Assert.Empty(series);
series.Add(100, 10, 15, 5, 12, 100);
Assert.Single(series);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(2, series.Count);
}
@@ -327,9 +327,9 @@ public class TBarSeriesTests
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
series.Add(300, 30, 35, 25, 32, 300);
var list = series.ToList();
Assert.Equal(3, list.Count);
Assert.Equal(10.0, list[0].Open);
Assert.Equal(22.0, list[1].Close);
@@ -349,7 +349,7 @@ public class TBarSeriesTests
{
list.Add(item);
}
Assert.Equal(2, list.Count);
}
@@ -362,7 +362,7 @@ public class TBarSeriesTests
var barToAdd = new TBar(100, 10, 15, 5, 12, 100);
series.Add(barToAdd, isNew: true);
Assert.NotNull(received);
Assert.Equal(100, received.Value.Time);
Assert.Equal(12.0, received.Value.Close);
@@ -377,7 +377,7 @@ public class TBarSeriesTests
series.Pub += (object? sender, in TBarEventArgs args) => received = args.Value;
series.Add(100, 10, 18, 5, 15, 150, isNew: false);
Assert.NotNull(received);
Assert.Equal(15.0, received.Value.Close);
Assert.Equal(18.0, received.Value.High);
@@ -389,7 +389,7 @@ public class TBarSeriesTests
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
Assert.Equal(series.Open.Times[0], series.Close.Times[0]);
Assert.Equal(series.High.Times[1], series.Volume.Times[1]);
}
@@ -398,11 +398,11 @@ public class TBarSeriesTests
public void Add_MultipleBars_MaintainsOrder()
{
var series = new TBarSeries();
series.Add(100, 10, 15, 5, 12, 100);
series.Add(200, 20, 25, 15, 22, 200);
series.Add(300, 30, 35, 25, 32, 300);
Assert.Equal(3, series.Count);
Assert.Equal(100, series[0].Time);
Assert.Equal(200, series[1].Time);
lib/core/tbarseries/TBarSeries.md
+121 -121
View File
@@ -1,121 +1,121 @@
# TBarSeries: OHLCV Data Container
## What It Does
`TBarSeries` is a high-performance collection of OHLCV bars. It is the primary data structure for managing historical and real-time market data in QuanTAlib. It uses a **Structure of Arrays (SoA)** layout to optimize memory access and enable efficient SIMD operations across individual price components.
## Design Philosophy
A naive implementation of a bar series would be a `List<TBar>`. However, this is inefficient for technical analysis. Most indicators only need one component at a time (e.g., SMA uses Close prices). Iterating over a `List<TBar>` to get Close prices loads unnecessary Open, High, Low, and Volume data into the CPU cache, wasting bandwidth.
`TBarSeries` solves this by storing each component in its own contiguous array. This allows:
* **Component Views**: You can access `Close` prices as a `TSeries` without copying data.
* **Cache Efficiency**: Iterating over `Close` prices loads *only* Close prices.
* **Unified Time**: All component series share a single Time array, ensuring synchronization.
## How It Works
Internally, `TBarSeries` maintains six parallel lists:
1. `_t` (Time)
2. `_o` (Open)
3. `_h` (High)
4. `_l` (Low)
5. `_c` (Close)
6. `_v` (Volume)
It exposes these internal lists as `TSeries` properties (`Open`, `High`, `Low`, `Close`, `Volume`), which act as read-only views into the master data.
## Structure
### Definition
```csharp
public class TBarSeries : IReadOnlyList<TBar>
{
// Component Views (TSeries)
public TSeries Open { get; }
public TSeries High { get; }
public TSeries Low { get; }
public TSeries Close { get; }
public TSeries Volume { get; }
// Aliases
public TSeries O => Open;
public TSeries H => High;
public TSeries L => Low;
public TSeries C => Close;
public TSeries V => Volume;
}
```
### Core Methods
| Method | Description |
|--------|-------------|
| `Add(TBar bar, bool isNew)` | Adds a bar or updates the last one. |
| `Add(DateTime time, double o, double h, double l, double c, double v)` | Adds raw values directly. |
| `Count` | Returns the number of bars. |
| `Last` | Returns the most recent `TBar`. |
## Usage
### Creating and Populating
```csharp
var bars = new TBarSeries();
// Add a new bar
bars.Add(new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000));
// Add raw values
bars.Add(DateTime.UtcNow, 100, 105, 95, 102, 1000);
```
### Accessing Data
```csharp
// Get the last full bar
TBar lastBar = bars.Last;
// Get the Close series (Zero-Copy)
TSeries closes = bars.Close;
// Calculate SMA on Close prices
var sma = new Sma(14);
var result = sma.Calculate(bars.Close);
```
### Streaming Updates
```csharp
// New minute starts
bars.Add(newBar, isNew: true);
// Price updates within the same minute
bars.Add(updatedBar, isNew: false); // Updates the last bar in place
```
## Performance Profile
* **Memory Layout**: SoA (Structure of Arrays).
* **Component Access**: Zero-copy `TSeries` views.
* **Iteration**: Cache-friendly for single-component analysis.
## Integration
`TBarSeries` is the standard input for multi-input indicators (like ATR, ADX) and the primary data source for trading strategies.
* **Indicators**: Can be passed to indicators that require full bar data.
* **Strategies**: Provides the historical context needed for signal generation.
## Architecture Notes
* **Shared Storage**: The `TSeries` views (`Open`, `Close`, etc.) do not own their data; they point to the internal lists of the `TBarSeries`. This means modifying the `TBarSeries` automatically updates all views.
* **Synchronization**: Because all views share the same `_t` (Time) list, they are guaranteed to be perfectly synchronized.
## References
* [Structure of Arrays (SoA)](https://en.wikipedia.org/wiki/AOS_and_SOA)
* [Data Locality](https://gameprogrammingpatterns.com/data-locality.html)
# TBarSeries: OHLCV Data Container
## What It Does
`TBarSeries` is a high-performance collection of OHLCV bars. It is the primary data structure for managing historical and real-time market data in QuanTAlib. It uses a **Structure of Arrays (SoA)** layout to optimize memory access and enable efficient SIMD operations across individual price components.
## Design Philosophy
A naive implementation of a bar series would be a `List<TBar>`. However, this is inefficient for technical analysis. Most indicators only need one component at a time (e.g., SMA uses Close prices). Iterating over a `List<TBar>` to get Close prices loads unnecessary Open, High, Low, and Volume data into the CPU cache, wasting bandwidth.
`TBarSeries` solves this by storing each component in its own contiguous array. This allows:
* **Component Views**: You can access `Close` prices as a `TSeries` without copying data.
* **Cache Efficiency**: Iterating over `Close` prices loads *only* Close prices.
* **Unified Time**: All component series share a single Time array, ensuring synchronization.
## How It Works
Internally, `TBarSeries` maintains six parallel lists:
1. `_t` (Time)
2. `_o` (Open)
3. `_h` (High)
4. `_l` (Low)
5. `_c` (Close)
6. `_v` (Volume)
It exposes these internal lists as `TSeries` properties (`Open`, `High`, `Low`, `Close`, `Volume`), which act as read-only views into the master data.
## Structure
### Definition
```csharp
public class TBarSeries : IReadOnlyList<TBar>
{
// Component Views (TSeries)
public TSeries Open { get; }
public TSeries High { get; }
public TSeries Low { get; }
public TSeries Close { get; }
public TSeries Volume { get; }
// Aliases
public TSeries O => Open;
public TSeries H => High;
public TSeries L => Low;
public TSeries C => Close;
public TSeries V => Volume;
}
```
### Core Methods
| Method | Description |
|--------|-------------|
| `Add(TBar bar, bool isNew)` | Adds a bar or updates the last one. |
| `Add(DateTime time, double o, double h, double l, double c, double v)` | Adds raw values directly. |
| `Count` | Returns the number of bars. |
| `Last` | Returns the most recent `TBar`. |
## Usage
### Creating and Populating
```csharp
var bars = new TBarSeries();
// Add a new bar
bars.Add(new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000));
// Add raw values
bars.Add(DateTime.UtcNow, 100, 105, 95, 102, 1000);
```
### Accessing Data
```csharp
// Get the last full bar
TBar lastBar = bars.Last;
// Get the Close series (Zero-Copy)
TSeries closes = bars.Close;
// Calculate SMA on Close prices
var sma = new Sma(14);
var result = sma.Calculate(bars.Close);
```
### Streaming Updates
```csharp
// New minute starts
bars.Add(newBar, isNew: true);
// Price updates within the same minute
bars.Add(updatedBar, isNew: false); // Updates the last bar in place
```
## Performance Profile
* **Memory Layout**: SoA (Structure of Arrays).
* **Component Access**: Zero-copy `TSeries` views.
* **Iteration**: Cache-friendly for single-component analysis.
## Integration
`TBarSeries` is the standard input for multi-input indicators (like ATR, ADX) and the primary data source for trading strategies.
* **Indicators**: Can be passed to indicators that require full bar data.
* **Strategies**: Provides the historical context needed for signal generation.
## Architecture Notes
* **Shared Storage**: The `TSeries` views (`Open`, `Close`, etc.) do not own their data; they point to the internal lists of the `TBarSeries`. This means modifying the `TBarSeries` automatically updates all views.
* **Synchronization**: Because all views share the same `_t` (Time) list, they are guaranteed to be perfectly synchronized.
## References
* [Structure of Arrays (SoA)](https://en.wikipedia.org/wiki/AOS_and_SOA)
* [Data Locality](https://gameprogrammingpatterns.com/data-locality.html)