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feat: Introduce ITValuePublisher interface and refactor indicators for event-driven value updates.

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This commit is contained in:
Miha Kralj
2025-12-07 14:36:22 -08:00
parent 3b146b68bd
commit 3734a1c5f6
16 changed files with 572 additions and 177 deletions
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lib/averages/dema/Dema.Tests.cs
+63 -14
View File
@@ -13,13 +13,13 @@ public class DemaTests
var dema = new Dema(period);
var ema1 = new Ema(period);
var ema2 = new Ema(period);
var r = new Random(123); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
// Act & Assert
for (int i = 0; i < 100; i++)
{
double val = r.NextDouble() * 100;
var tVal = new TValue(DateTime.Now.AddMinutes(i), val);
var bar = gbm.Next(isNew: true);
var tVal = new TValue(bar.Time, bar.Close);
var dVal = dema.Update(tVal);
@@ -37,10 +37,12 @@ public class DemaTests
// Arrange
int period = 10;
var source = new TSeries();
var r = new Random(123); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
for (int i = 0; i < 100; i++)
{
source.Add(new TValue(DateTime.Now.AddMinutes(i), r.NextDouble() * 100));
var bar = gbm.Next(isNew: true);
source.Add(new TValue(bar.Time, bar.Close));
}
// Act
@@ -63,10 +65,11 @@ public class DemaTests
int count = 100;
var source = new double[count];
var output = new double[count];
var r = new Random(123); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
for (int i = 0; i < count; i++)
{
source[i] = r.NextDouble() * 100;
source[i] = gbm.Next().Close;
}
// Act
@@ -89,13 +92,14 @@ public class DemaTests
double alpha = 2.0 / (period + 1);
var demaPeriod = new Dema(period);
var demaAlpha = new Dema(alpha);
var r = new Random(123); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
// Act & Assert
for (int i = 0; i < 100; i++)
{
double val = r.NextDouble() * 100;
var tVal = new TValue(DateTime.Now.AddMinutes(i), val);
var bar = gbm.Next(isNew: true);
var tVal = new TValue(bar.Time, bar.Close);
var pVal = demaPeriod.Update(tVal);
var aVal = demaAlpha.Update(tVal);
@@ -110,10 +114,12 @@ public class DemaTests
// Arrange
double alpha = 0.15;
var source = new TSeries();
var r = new Random(123); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
for (int i = 0; i < 100; i++)
{
source.Add(new TValue(DateTime.Now.AddMinutes(i), r.NextDouble() * 100));
var bar = gbm.Next(isNew: true);
source.Add(new TValue(bar.Time, bar.Close));
}
// Act
@@ -136,10 +142,11 @@ public class DemaTests
int count = 100;
var source = new double[count];
var output = new double[count];
var r = new Random(123); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
for (int i = 0; i < count; i++)
{
source[i] = r.NextDouble() * 100;
source[i] = gbm.Next().Close;
}
// Act
@@ -153,4 +160,46 @@ public class DemaTests
Assert.Equal(val.Value, output[i], 1e-9);
}
}
[Fact]
public void Dema_AllModes_ProduceSameResult()
{
// Arrange
int period = 10;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var series = bars.Close;
// 1. Batch Mode
var batchSeries = Dema.Calculate(series, period);
double expected = batchSeries.Last.Value;
// 2. Span Mode
var tValues = series.Values.ToArray();
var spanInput = new ReadOnlySpan<double>(tValues);
var spanOutput = new double[tValues.Length];
Dema.Calculate(spanInput, spanOutput, period);
double spanResult = spanOutput[^1];
// 3. Streaming Mode
var streamingInd = new Dema(period);
for (int i = 0; i < series.Count; i++)
{
streamingInd.Update(series[i]);
}
double streamingResult = streamingInd.Last.Value;
// 4. Eventing Mode
var pubSource = new TSeries();
var eventingInd = new Dema(pubSource, period);
for (int i = 0; i < series.Count; i++)
{
pubSource.Add(series[i]);
}
double eventingResult = eventingInd.Last.Value;
// Assert
Assert.Equal(expected, spanResult, precision: 9);
Assert.Equal(expected, streamingResult, precision: 9);
Assert.Equal(expected, eventingResult, precision: 9);
}
}
lib/averages/dema/Dema.cs
+13 -6
View File
@@ -22,7 +22,7 @@ namespace QuanTAlib;
/// Becomes true when the second EMA converges (approx. 2x EMA convergence time).
/// </remarks>
[SkipLocalsInit]
public sealed class Dema
public sealed class Dema : ITValuePublisher
{
private struct EmaState
{
@@ -45,8 +45,9 @@ public sealed class Dema
private double _lastValidValue;
public string Name { get; }
public TValue Value { get; private set; }
public TValue Last { get; private set; }
public bool IsHot => _state2.IsHot;
public event Action<TValue>? Pub;
public Dema(int period)
{
@@ -57,6 +58,11 @@ public sealed class Dema
Name = $"Dema({period})";
}
public Dema(ITValuePublisher source, int period) : this(period)
{
source.Pub += (item) => Update(item);
}
public Dema(double alpha)
{
if (alpha <= 0 || alpha > 1) throw new ArgumentException("Alpha must be between 0 and 1", nameof(alpha));
@@ -93,8 +99,9 @@ public sealed class Dema
double e2 = Compute(e1, _alpha, _decay, ref _state2);
double result = 2 * e1 - e2;
Value = new TValue(input.Time, result);
return Value;
Last = new TValue(input.Time, result);
Pub?.Invoke(Last);
return Last;
}
public TSeries Update(TSeries source)
@@ -141,7 +148,7 @@ public sealed class Dema
_p_state2 = s2;
_lastValidValue = lastValid;
Value = new TValue(tSpan[len - 1], vSpan[len - 1]);
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
}
@@ -281,6 +288,6 @@ public sealed class Dema
_p_state1 = EmaState.New();
_p_state2 = EmaState.New();
_lastValidValue = 0;
Value = default;
Last = default;
}
}