mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-16 01:28:05 +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
@@ -16,117 +16,142 @@ Abstract classes with all scaffolding required to build indicators.
|
||||
|
||||
</summary> */
|
||||
|
||||
public abstract class Pair_TSeries_Indicator : TSeries {
|
||||
protected readonly int _p;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _d1;
|
||||
protected readonly TSeries _d2;
|
||||
protected readonly double _dd1, _dd2;
|
||||
public abstract class Pair_TSeries_Indicator : TSeries
|
||||
{
|
||||
protected readonly int _p;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _d1;
|
||||
protected readonly TSeries _d2;
|
||||
protected readonly double _dd1, _dd2;
|
||||
|
||||
// Chainable Constructors - add them at the end of primary constructors if needed
|
||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2, int period, bool useNaN) {
|
||||
_p = period;
|
||||
_NaN = useNaN;
|
||||
_d1 = source1;
|
||||
_d2 = source2;
|
||||
_dd1 = double.NaN;
|
||||
_dd2 = double.NaN;
|
||||
_d1.Pub += Sub;
|
||||
_d2.Pub += Sub;
|
||||
}
|
||||
// Chainable Constructors - add them at the end of primary constructors if needed
|
||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2, int period, bool useNaN)
|
||||
{
|
||||
_p = period;
|
||||
_NaN = useNaN;
|
||||
_d1 = source1;
|
||||
_d2 = source2;
|
||||
_dd1 = double.NaN;
|
||||
_dd2 = double.NaN;
|
||||
_d1.Pub += Sub;
|
||||
_d2.Pub += Sub;
|
||||
}
|
||||
|
||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2) {
|
||||
_d1 = source1;
|
||||
_d2 = source2;
|
||||
_dd1 = double.NaN;
|
||||
_dd2 = double.NaN;
|
||||
_d1.Pub += Sub;
|
||||
_d2.Pub += Sub;
|
||||
}
|
||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2)
|
||||
{
|
||||
_d1 = source1;
|
||||
_d2 = source2;
|
||||
_dd1 = double.NaN;
|
||||
_dd2 = double.NaN;
|
||||
_d1.Pub += Sub;
|
||||
_d2.Pub += Sub;
|
||||
}
|
||||
|
||||
protected Pair_TSeries_Indicator(TSeries source1, double dd2) {
|
||||
_d1 = source1;
|
||||
_d2 = new TSeries();
|
||||
_dd1 = double.NaN;
|
||||
_dd2 = dd2;
|
||||
_d1.Pub += Sub;
|
||||
}
|
||||
protected Pair_TSeries_Indicator(TSeries source1, double dd2)
|
||||
{
|
||||
_d1 = source1;
|
||||
_d2 = new TSeries();
|
||||
_dd1 = double.NaN;
|
||||
_dd2 = dd2;
|
||||
_d1.Pub += Sub;
|
||||
}
|
||||
|
||||
protected Pair_TSeries_Indicator(double dd1, TSeries source2) {
|
||||
_d1 = new TSeries();
|
||||
_d2 = source2;
|
||||
_dd1 = dd1;
|
||||
_dd2 = double.NaN;
|
||||
_d2.Pub += Sub;
|
||||
}
|
||||
protected Pair_TSeries_Indicator(double dd1, TSeries source2)
|
||||
{
|
||||
_d1 = new TSeries();
|
||||
_d2 = source2;
|
||||
_dd1 = dd1;
|
||||
_dd2 = double.NaN;
|
||||
_d2.Pub += Sub;
|
||||
}
|
||||
|
||||
// overridable Add(Tvalue, Tvalue) method to add/update a single value at the end of the list
|
||||
public virtual void Add((DateTime t, double v) TValue1, (DateTime t, double v) TValue2, bool update) {
|
||||
base.Add((TValue1.t, 0), update);
|
||||
// default inserts zeros
|
||||
}
|
||||
// overridable Add(Tvalue, Tvalue) method to add/update a single value at the end of the list
|
||||
public virtual void Add((DateTime t, double v) TValue1, (DateTime t, double v) TValue2, bool update)
|
||||
{
|
||||
base.Add((TValue1.t, 0), update);
|
||||
// default inserts zeros
|
||||
}
|
||||
|
||||
// potentially overridable Add() bulk variations (could be replaced with faster bulk algos)
|
||||
public virtual void Add(TSeries d1, TSeries d2) {
|
||||
for (var i = 0; i < d1.Count; i++) {
|
||||
Add(d1[i], d2[i], false);
|
||||
}
|
||||
}
|
||||
// potentially overridable Add() bulk variations (could be replaced with faster bulk algos)
|
||||
public virtual void Add(TSeries d1, TSeries d2)
|
||||
{
|
||||
for (var i = 0; i < d1.Count; i++)
|
||||
{
|
||||
Add(d1[i], d2[i], false);
|
||||
}
|
||||
}
|
||||
|
||||
public virtual void Add(TSeries d1, double dd2) {
|
||||
for (var i = 0; i < d1.Count; i++) {
|
||||
Add(d1[i], (d1[i].t, dd2), false);
|
||||
}
|
||||
}
|
||||
public virtual void Add(TSeries d1, double dd2)
|
||||
{
|
||||
for (var i = 0; i < d1.Count; i++)
|
||||
{
|
||||
Add(d1[i], (d1[i].t, dd2), false);
|
||||
}
|
||||
}
|
||||
|
||||
public virtual void Add(double dd1, TSeries d2) {
|
||||
for (var i = 0; i < d2.Count; i++) {
|
||||
Add((d2[i].t, dd1), d2[i], false);
|
||||
}
|
||||
}
|
||||
public virtual void Add(double dd1, TSeries d2)
|
||||
{
|
||||
for (var i = 0; i < d2.Count; i++)
|
||||
{
|
||||
Add((d2[i].t, dd1), d2[i], false);
|
||||
}
|
||||
}
|
||||
|
||||
public void Add((DateTime t, double v) TValue1, (DateTime t, double v) TValue2) {
|
||||
Add(TValue1, TValue2, false);
|
||||
}
|
||||
public void Add((DateTime t, double v) TValue1, (DateTime t, double v) TValue2)
|
||||
{
|
||||
Add(TValue1, TValue2, false);
|
||||
}
|
||||
|
||||
public void Add(bool update) {
|
||||
if (_dd1 is double.NaN && _dd2 is double.NaN) {
|
||||
// (Series, Series)
|
||||
if (update || (_d1.Count > Count && _d2.Count > Count)) {
|
||||
Add(_d1[_d1.Count - 1], _d2[_d2.Count - 1], update);
|
||||
}
|
||||
}
|
||||
else if (_dd2 is not double.NaN && _dd1 is double.NaN) {
|
||||
// (Series, Double)
|
||||
Add(_d1[_d1.Count - 1], (_d1[_d1.Count - 1].t, _dd2), update);
|
||||
}
|
||||
else {
|
||||
// (Double, Series)
|
||||
Add((_d2[_d2.Count - 1].t, _dd1), _d2[_d2.Count - 1], update);
|
||||
}
|
||||
}
|
||||
public void Add(bool update)
|
||||
{
|
||||
if (_dd1 is double.NaN && _dd2 is double.NaN)
|
||||
{
|
||||
// (Series, Series)
|
||||
if (update || (_d1.Count > Count && _d2.Count > Count))
|
||||
{
|
||||
Add(_d1[_d1.Count - 1], _d2[_d2.Count - 1], update);
|
||||
}
|
||||
}
|
||||
else if (_dd2 is not double.NaN && _dd1 is double.NaN)
|
||||
{
|
||||
// (Series, Double)
|
||||
Add(_d1[_d1.Count - 1], (_d1[_d1.Count - 1].t, _dd2), update);
|
||||
}
|
||||
else
|
||||
{
|
||||
// (Double, Series)
|
||||
Add((_d2[_d2.Count - 1].t, _dd1), _d2[_d2.Count - 1], update);
|
||||
}
|
||||
}
|
||||
|
||||
public void Add() {
|
||||
Add(false);
|
||||
}
|
||||
public void Add()
|
||||
{
|
||||
Add(false);
|
||||
}
|
||||
|
||||
public new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(e.update);
|
||||
}
|
||||
public new void Sub(object source, TSeriesEventArgs e)
|
||||
{
|
||||
Add(e.update);
|
||||
}
|
||||
|
||||
protected static void Add_Replace(List<double> l, double v, bool update) {
|
||||
if (update) {
|
||||
l[l.Count - 1] = v;
|
||||
}
|
||||
else {
|
||||
l.Add(v);
|
||||
}
|
||||
}
|
||||
protected static void Add_Replace(List<double> l, double v, bool update)
|
||||
{
|
||||
if (update)
|
||||
{
|
||||
l[l.Count - 1] = v;
|
||||
}
|
||||
else
|
||||
{
|
||||
l.Add(v);
|
||||
}
|
||||
}
|
||||
|
||||
protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update) {
|
||||
Add_Replace(l, v, update);
|
||||
if (l.Count > p && p != 0) {
|
||||
l.RemoveAt(0);
|
||||
}
|
||||
}
|
||||
protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update)
|
||||
{
|
||||
Add_Replace(l, v, update);
|
||||
if (l.Count > p && p != 0)
|
||||
{
|
||||
l.RemoveAt(0);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user