mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 12:08:05 +00:00
refactor structs to records, add new classes for financial calculations, implement EMA and SMA with circular buffer. Generate random financial data using GBM model. Also, test the SMA calculation with sample data.
This commit is contained in:
Miha Kralj
+205
-63
@@ -1,95 +1,237 @@
|
||||
using System;
|
||||
|
||||
public readonly struct TValue {
|
||||
public DateTime Timestamp { get; }
|
||||
public double Value { get; }
|
||||
public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true)
|
||||
{
|
||||
public DateTime Time { get; init; } = Time;
|
||||
public double Value { get; init; } = Value;
|
||||
public bool IsNew { get; init; } = IsNew;
|
||||
public bool IsHot { get; init; } = IsHot;
|
||||
|
||||
public TValue() : this(DateTime.UtcNow, 0) { }
|
||||
public TValue(double value) : this(DateTime.UtcNow, value) { }
|
||||
public TValue((DateTime time, double value) tuple) : this(tuple.time, tuple.value) { }
|
||||
|
||||
public TValue(DateTime timestamp, double value) {
|
||||
Timestamp = timestamp;
|
||||
Value = value;
|
||||
}
|
||||
public TValue() : this(DateTime.Now, 0) { }
|
||||
public TValue(double value) : this(DateTime.Now, value) { }
|
||||
public static implicit operator double(TValue tv) => tv.Value;
|
||||
public static implicit operator DateTime(TValue tv) => tv.Timestamp;
|
||||
public static implicit operator TValue(double value) => new TValue(DateTime.Now, value);
|
||||
public static implicit operator DateTime(TValue tv) => tv.Time;
|
||||
public static implicit operator TValue(double value) => new TValue(DateTime.UtcNow, value);
|
||||
|
||||
public override string ToString() => $"[{Time:yyyy-MM-dd HH:mm:ss}: {Value:F2}]";
|
||||
}
|
||||
|
||||
|
||||
public override string ToString() {
|
||||
return $"[{Timestamp:yyyy-MM-dd HH:mm:ss}: {Value:F2}]";
|
||||
public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true)
|
||||
{
|
||||
public DateTime Time { get; init; } = Time;
|
||||
public double Open { get; init; } = Open;
|
||||
public double High { get; init; } = High;
|
||||
public double Low { get; init; } = Low;
|
||||
public double Close { get; init; } = Close;
|
||||
public double Volume { get; init; } = Volume;
|
||||
public bool IsNew { get; init; } = IsNew;
|
||||
|
||||
public TBar() : this(DateTime.UtcNow, 0, 0, 0, 0, 0) { }
|
||||
public TBar(double open, double high, double low, double close, double volume) : this(DateTime.UtcNow, open, high, low, close, volume) { }
|
||||
public TBar((DateTime time, double open, double high, double low, double close, double volume) tuple) : this(tuple.time, tuple.open, tuple.high, tuple.low, tuple.close, tuple.volume) { }
|
||||
|
||||
public override string ToString() => $"[{Time:yyyy-MM-dd HH:mm:ss}: O={Open:F2}, H={High:F2}, L={Low:F2}, C={Close:F2}, V={Volume:F2}]";
|
||||
}
|
||||
|
||||
/////////////////////
|
||||
///
|
||||
/////////////////////
|
||||
|
||||
public class GBM_Feed
|
||||
{
|
||||
private readonly double _mu;
|
||||
private readonly double _sigma;
|
||||
private readonly Random _random;
|
||||
private double _lastClose;
|
||||
private double _lastHigh;
|
||||
private double _lastLow;
|
||||
|
||||
public GBM_Feed(double initialPrice, double mu, double sigma)
|
||||
{
|
||||
_lastClose = initialPrice;
|
||||
_lastHigh = initialPrice;
|
||||
_lastLow = initialPrice;
|
||||
_mu = mu;
|
||||
_sigma = sigma;
|
||||
_random = Random.Shared;
|
||||
}
|
||||
|
||||
public override bool Equals(object obj) {
|
||||
return obj is TValue other && Equals(in other);
|
||||
public TBar Generate(bool IsNew = true)
|
||||
{
|
||||
DateTime time = DateTime.UtcNow;
|
||||
double dt = 1.0 / 252; // Assuming daily steps in a trading year of 252 days
|
||||
double drift = (_mu - 0.5 * _sigma * _sigma) * dt;
|
||||
double diffusion = _sigma * Math.Sqrt(dt) * NormalRandom();
|
||||
double newClose = _lastClose * Math.Exp(drift + diffusion);
|
||||
|
||||
double open = _lastClose;
|
||||
double high = Math.Max(open, newClose) * (1 + _random.NextDouble() * 0.01);
|
||||
double low = Math.Min(open, newClose) * (1 - _random.NextDouble() * 0.01);
|
||||
double volume = 1000 + _random.NextDouble() * 1000; // Random volume between 1000 and 2000
|
||||
|
||||
if (!IsNew)
|
||||
{
|
||||
high = Math.Max(_lastHigh, high);
|
||||
low = Math.Min(_lastLow, low);
|
||||
}
|
||||
else
|
||||
{
|
||||
_lastClose = newClose;
|
||||
}
|
||||
|
||||
_lastHigh = high;
|
||||
_lastLow = low;
|
||||
|
||||
return new TBar(time, open, high, low, newClose, volume, IsNew);
|
||||
}
|
||||
|
||||
public bool Equals(in TValue other) {
|
||||
return Timestamp == other.Timestamp && Value == other.Value;
|
||||
}
|
||||
|
||||
public override int GetHashCode() {
|
||||
return HashCode.Combine(Timestamp, Value);
|
||||
private double NormalRandom()
|
||||
{
|
||||
// Box-Muller transform to generate standard normal random variable
|
||||
double u1 = 1.0 - _random.NextDouble(); // Uniform(0,1] random doubles
|
||||
double u2 = 1.0 - _random.NextDouble();
|
||||
return Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
public readonly struct TBar
|
||||
/// <summary>
|
||||
/// ////////////////
|
||||
/// </summary>
|
||||
|
||||
public class EMA
|
||||
{
|
||||
public DateTime Timestamp { get; }
|
||||
public double Open { get; }
|
||||
public double High { get; }
|
||||
public double Low { get; }
|
||||
public double Close { get; }
|
||||
public double Volume { get; }
|
||||
private double lastEma, lastEmaCandidate, k;
|
||||
private int period, i;
|
||||
public TValue Value { get; private set; }
|
||||
public bool IsHot { get; private set; }
|
||||
|
||||
public TBar(DateTime timestamp, double open, double high, double low, double close, double volume)
|
||||
{
|
||||
Timestamp = timestamp;
|
||||
Open = open;
|
||||
High = high;
|
||||
Low = low;
|
||||
Close = close;
|
||||
Volume = volume;
|
||||
public EMA(int period) {
|
||||
Init(period);
|
||||
}
|
||||
|
||||
public override string ToString()
|
||||
public void Init(int period)
|
||||
{
|
||||
return $"[{Timestamp:yyyy-MM-dd HH:mm:ss}: O={Open:F2}, H={High:F2}, L={Low:F2}, C={Close:F2}, V={Volume:F2}]";
|
||||
this.period = period;
|
||||
this.k = 2.0 / (period + 1);
|
||||
this.lastEma = this.lastEmaCandidate = double.NaN;
|
||||
this.i = 0;
|
||||
}
|
||||
public TValue Update(TValue input, bool IsNew = true) {
|
||||
double ema;
|
||||
|
||||
public override bool Equals(object obj)
|
||||
{
|
||||
return obj is TBar other && Equals(in other);
|
||||
}
|
||||
if (double.IsNaN(lastEma)) { lastEma = input.Value; }
|
||||
|
||||
public bool Equals(in TBar other)
|
||||
{
|
||||
return Timestamp == other.Timestamp &&
|
||||
Open == other.Open &&
|
||||
High == other.High &&
|
||||
Low == other.Low &&
|
||||
Close == other.Close &&
|
||||
Volume == other.Volume;
|
||||
}
|
||||
if (IsNew) {
|
||||
lastEma = lastEmaCandidate;
|
||||
i++;
|
||||
}
|
||||
|
||||
public override int GetHashCode()
|
||||
{
|
||||
return HashCode.Combine(Timestamp, Open, High, Low, Close, Volume);
|
||||
double kk = (i<period)?(2.0/(i+1)):k;
|
||||
ema = lastEma + kk * (input.Value - lastEma);
|
||||
lastEmaCandidate = ema;
|
||||
|
||||
IsHot = i >= period;
|
||||
Value = new TValue(input.Time, ema, IsNew, IsHot);
|
||||
return Value;
|
||||
}
|
||||
}
|
||||
|
||||
/////////////////
|
||||
///
|
||||
|
||||
|
||||
public class EventArg<T> : EventArgs
|
||||
public class SMA
|
||||
{
|
||||
public T Data { get; }
|
||||
public bool IsClosed { get; }
|
||||
public bool IsHot { get; }
|
||||
private CircularBuffer<double> buffer;
|
||||
private int period;
|
||||
private double sum;
|
||||
public TValue Value { get; private set; }
|
||||
public bool IsHot { get; private set; }
|
||||
|
||||
public EventArg(T data, bool isClosed, bool isHot)
|
||||
public SMA(int period)
|
||||
{
|
||||
Data = data;
|
||||
IsClosed = isClosed;
|
||||
IsHot = isHot;
|
||||
Init(period);
|
||||
}
|
||||
|
||||
public void Init(int period)
|
||||
{
|
||||
this.period = period;
|
||||
this.buffer = new CircularBuffer<double>(period);
|
||||
this.sum = 0;
|
||||
this.IsHot = false;
|
||||
this.Value = default;
|
||||
}
|
||||
|
||||
public TValue Update(TValue input, bool IsNew = true)
|
||||
{
|
||||
if (IsNew)
|
||||
{
|
||||
if (buffer.Count == period) {
|
||||
sum -= buffer[0];
|
||||
}
|
||||
buffer.Add(input);
|
||||
sum += input.Value;
|
||||
} else {
|
||||
if (buffer.Count > 0) {
|
||||
sum -= buffer[buffer.Count - 1];
|
||||
sum += input.Value;
|
||||
buffer[buffer.Count - 1] = input;
|
||||
} else {
|
||||
buffer.Add(input);
|
||||
sum += input.Value;
|
||||
}
|
||||
}
|
||||
|
||||
double sma = buffer.Count > 0 ? sum / buffer.Count : double.NaN;
|
||||
IsHot = buffer.Count >= period;
|
||||
Value = new TValue(input.Time, sma, IsNew, IsHot);
|
||||
return Value;
|
||||
}
|
||||
}
|
||||
|
||||
/////////////////////
|
||||
///
|
||||
/////////////////////
|
||||
|
||||
|
||||
public class CircularBuffer<double>
|
||||
{
|
||||
private double[] _buffer;
|
||||
private int _start;
|
||||
private int _size;
|
||||
|
||||
public CircularBuffer(int capacity) {
|
||||
_buffer = new double[capacity];
|
||||
_start = 0;
|
||||
_size = 0;
|
||||
}
|
||||
|
||||
public int Capacity => _buffer.Length;
|
||||
public int Count => _size;
|
||||
|
||||
public void Add(double item) {
|
||||
if (_size < Capacity) {
|
||||
_buffer[(_start + _size) % Capacity] = item;
|
||||
_size++;
|
||||
} else {
|
||||
_buffer[_start] = item;
|
||||
_start = (_start + 1) % Capacity;
|
||||
}
|
||||
}
|
||||
|
||||
public double this[int index] {
|
||||
get {
|
||||
if (index < 0 || index >= _size)
|
||||
throw new IndexOutOfRangeException();
|
||||
return _buffer[(_start + index) % Capacity];
|
||||
}
|
||||
set {
|
||||
if (index < 0 || index >= _size)
|
||||
throw new IndexOutOfRangeException();
|
||||
_buffer[(_start + index) % Capacity] = value;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user