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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/sma/Sma.Tests.cs
+63 -20
View File
@@ -18,12 +18,12 @@ public class SmaTests
{
var sma = new Sma(10);
Assert.Equal(0, sma.Value.Value);
Assert.Equal(0, sma.Last.Value);
TValue result = sma.Update(new TValue(DateTime.UtcNow, 100));
Assert.True(result.Value > 0);
Assert.Equal(result.Value, sma.Value.Value);
Assert.Equal(result.Value, sma.Last.Value);
}
[Fact]
@@ -42,10 +42,10 @@ public class SmaTests
var sma = new Sma(10);
sma.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
double value1 = sma.Value;
double value1 = sma.Last.Value;
sma.Update(new TValue(DateTime.UtcNow, 200), isNew: true);
double value2 = sma.Value;
double value2 = sma.Last.Value;
// Values should change with new bars
Assert.NotEqual(value1, value2);
@@ -58,10 +58,10 @@ public class SmaTests
sma.Update(new TValue(DateTime.UtcNow, 100));
sma.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
double beforeUpdate = sma.Value;
double beforeUpdate = sma.Last.Value;
sma.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
double afterUpdate = sma.Value;
double afterUpdate = sma.Last.Value;
// Update should change the value
Assert.NotEqual(beforeUpdate, afterUpdate);
@@ -74,16 +74,16 @@ public class SmaTests
sma.Update(new TValue(DateTime.UtcNow, 100));
sma.Update(new TValue(DateTime.UtcNow, 105));
double valueBefore = sma.Value;
double valueBefore = sma.Last.Value;
sma.Reset();
Assert.Equal(0, sma.Value.Value);
Assert.Equal(0, sma.Last.Value);
// After reset, should accept new values
sma.Update(new TValue(DateTime.UtcNow, 50));
Assert.NotEqual(0, sma.Value.Value);
Assert.NotEqual(valueBefore, sma.Value.Value);
Assert.NotEqual(0, sma.Last.Value);
Assert.NotEqual(valueBefore, sma.Last.Value);
}
[Fact]
@@ -91,12 +91,12 @@ public class SmaTests
{
var sma = new Sma(10);
Assert.Equal(0, sma.Value.Value);
Assert.Equal(0, sma.Last.Value);
Assert.False(sma.IsHot);
sma.Update(new TValue(DateTime.UtcNow, 100));
Assert.NotEqual(0, sma.Value.Value);
Assert.NotEqual(0, sma.Last.Value);
}
[Fact]
@@ -128,7 +128,7 @@ public class SmaTests
sma.Update(new TValue(DateTime.UtcNow, 50));
// SMA(5) of 10,20,30,40,50 = 150/5 = 30
Assert.Equal(30.0, sma.Value.Value, 1e-10);
Assert.Equal(30.0, sma.Last.Value, 1e-10);
}
[Fact]
@@ -141,17 +141,17 @@ public class SmaTests
sma.Update(new TValue(DateTime.UtcNow, 30));
// SMA(3) of 10,20,30 = 60/3 = 20
Assert.Equal(20.0, sma.Value.Value, 1e-10);
Assert.Equal(20.0, sma.Last.Value, 1e-10);
sma.Update(new TValue(DateTime.UtcNow, 40));
// SMA(3) of 20,30,40 = 90/3 = 30
Assert.Equal(30.0, sma.Value.Value, 1e-10);
Assert.Equal(30.0, sma.Last.Value, 1e-10);
sma.Update(new TValue(DateTime.UtcNow, 50));
// SMA(3) of 30,40,50 = 120/3 = 40
Assert.Equal(40.0, sma.Value.Value, 1e-10);
Assert.Equal(40.0, sma.Last.Value, 1e-10);
}
[Fact]
@@ -170,7 +170,7 @@ public class SmaTests
}
// Remember SMA state after 10 values
double smaAfterTen = sma.Value;
double smaAfterTen = sma.Last.Value;
// Generate 9 corrections with isNew=false (different values)
for (int i = 0; i < 9; i++)
@@ -229,7 +229,7 @@ public class SmaTests
sma.Update(new TValue(DateTime.UtcNow, 100));
// This should compile and work because TValue has implicit conversion to double
double result = sma.Value;
double result = sma.Last.Value;
Assert.Equal(100.0, result, 1e-10);
}
@@ -422,10 +422,11 @@ public class SmaTests
public void Sma_SpanCalc_ZeroAllocation()
{
double[] source = new double[10000];
double[] output = new double[10000];
var rng = new Random(42); // nosemgrep
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
for (int i = 0; i < source.Length; i++)
source[i] = rng.NextDouble() * 100; // nosemgrep
source[i] = gbm.Next().Close;
// Warm up
Sma.Calculate(source.AsSpan(), output.AsSpan(), 100);
@@ -463,4 +464,46 @@ public class SmaTests
Assert.Equal(source[i], output[i], 1e-10);
}
}
[Fact]
public void Sma_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 = Sma.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];
Sma.Calculate(spanInput, spanOutput, period);
double spanResult = spanOutput[^1];
// 3. Streaming Mode
var streamingInd = new Sma(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 Sma(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/sma/Sma.cs
+44 -48
View File
@@ -25,7 +25,7 @@ namespace QuanTAlib;
/// Becomes true when the buffer is full (period samples processed).
/// </remarks>
[SkipLocalsInit]
public sealed class Sma
public sealed class Sma : ITValuePublisher
{
private readonly int _period;
private readonly RingBuffer _buffer;
@@ -44,6 +44,8 @@ public sealed class Sma
/// </summary>
public string Name { get; }
public event Action<TValue>? Pub;
/// <summary>
/// Creates SMA with specified period.
/// </summary>
@@ -58,10 +60,15 @@ public sealed class Sma
Name = $"Sma({period})";
}
public Sma(ITValuePublisher source, int period) : this(period)
{
source.Pub += (item) => Update(item);
}
/// <summary>
/// Current SMA value.
/// </summary>
public TValue Value { get; private set; }
public TValue Last { get; private set; }
/// <summary>
/// True if the SMA has enough data to produce valid results.
@@ -100,14 +107,26 @@ public sealed class Sma
}
}
// Removed GetValidValue and UpdateState as they are not used in the new Update logic
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TValue input, bool isNew = true)
{
if (isNew)
{
double val = GetValidValue(input.Value);
UpdateState(val);
double removedValue = _buffer.Count == _buffer.Capacity ? _buffer.Oldest : 0.0;
_sum = _sum - removedValue + val;
_buffer.Add(val);
_tickCount++;
if (_buffer.IsFull && _tickCount >= ResyncInterval)
{
_tickCount = 0;
_sum = _buffer.Sum();
}
_p_sum = _sum;
_p_lastInput = val;
@@ -116,23 +135,22 @@ public sealed class Sma
else
{
_lastValidValue = _p_lastValidValue;
double val = GetValidValue(input.Value);
_sum = _p_sum - _p_lastInput + val;
_buffer.UpdateNewest(val);
}
double result = _sum / _buffer.Count;
Value = new TValue(input.Time, result);
return Value;
Last = new TValue(input.Time, result);
Pub?.Invoke(Last);
return Last;
}
public TSeries Update(TSeries source)
{
if (source.Count == 0) return new TSeries(new List<long>(), new List<double>());
int len = source.Count;
var t = new List<long>(len);
var v = new List<double>(len);
@@ -144,44 +162,25 @@ public sealed class Sma
var sourceValues = source.Values;
var sourceTimes = source.Times;
Calculate(sourceValues, vSpan, _period);
sourceTimes.CopyTo(tSpan);
int windowSize = Math.Min(len, _period);
int startIndex = len - windowSize;
if (startIndex > 0)
{
for (int i = startIndex - 1; i >= 0; i--)
{
if (double.IsFinite(sourceValues[i]))
{
_lastValidValue = sourceValues[i];
break;
}
}
}
else
{
_lastValidValue = 0;
}
_buffer.Clear();
_sum = 0;
_tickCount = 0;
for (int i = startIndex; i < len; i++)
// Reset state for batch calculation
Reset();
// We can optimize this later with specific batch logic, but for now use core loop
for(int i=0; i < len; i++)
{
double val = GetValidValue(sourceValues[i]);
UpdateState(val);
double removedValue = _buffer.Count == _buffer.Capacity ? _buffer.Oldest : 0.0;
_sum = _sum - removedValue + val;
_buffer.Add(val);
vSpan[i] = _sum / _buffer.Count;
}
_p_sum = _sum;
_p_lastInput = sourceValues[len - 1];
sourceTimes.CopyTo(tSpan);
_p_lastValidValue = _lastValidValue;
_p_sum = _sum;
_p_lastInput = sourceValues[len-1];
Value = new TValue(tSpan[len - 1], vSpan[len - 1]);
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
}
@@ -382,12 +381,9 @@ public sealed class Sma
public void Reset()
{
_buffer.Clear();
_sum = 0;
_p_sum = 0;
_p_lastInput = 0;
_lastValidValue = 0;
_p_lastValidValue = 0;
var resetSum = 0;
_sum = resetSum;
Last = default;
_tickCount = 0;
Value = default;
}
}