gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-26 06:18:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

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

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files
lib/averages/wma/Wma.Tests.cs
+67 -25
View File
@@ -18,12 +18,12 @@ public class WmaTests
{
var wma = new Wma(10);
Assert.Equal(0, wma.Value.Value);
Assert.Equal(0, wma.Last.Value);
TValue result = wma.Update(new TValue(DateTime.UtcNow, 100));
Assert.True(result.Value > 0);
Assert.Equal(result.Value, wma.Value.Value);
Assert.Equal(result.Value, wma.Last.Value);
}
[Fact]
@@ -42,10 +42,10 @@ public class WmaTests
var wma = new Wma(10);
wma.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
double value1 = wma.Value;
double value1 = wma.Last.Value;
wma.Update(new TValue(DateTime.UtcNow, 200), isNew: true);
double value2 = wma.Value;
double value2 = wma.Last.Value;
// Values should change with new bars
Assert.NotEqual(value1, value2);
@@ -58,10 +58,10 @@ public class WmaTests
wma.Update(new TValue(DateTime.UtcNow, 100));
wma.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
double beforeUpdate = wma.Value;
double beforeUpdate = wma.Last.Value;
wma.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
double afterUpdate = wma.Value;
double afterUpdate = wma.Last.Value;
// Update should change the value
Assert.NotEqual(beforeUpdate, afterUpdate);
@@ -74,16 +74,16 @@ public class WmaTests
wma.Update(new TValue(DateTime.UtcNow, 100));
wma.Update(new TValue(DateTime.UtcNow, 105));
double valueBefore = wma.Value;
double valueBefore = wma.Last.Value;
wma.Reset();
Assert.Equal(0, wma.Value.Value);
Assert.Equal(0, wma.Last.Value);
// After reset, should accept new values
wma.Update(new TValue(DateTime.UtcNow, 50));
Assert.NotEqual(0, wma.Value.Value);
Assert.NotEqual(valueBefore, wma.Value.Value);
Assert.NotEqual(0, wma.Last.Value);
Assert.NotEqual(valueBefore, wma.Last.Value);
}
[Fact]
@@ -91,12 +91,12 @@ public class WmaTests
{
var wma = new Wma(10);
Assert.Equal(0, wma.Value.Value);
Assert.Equal(0, wma.Last.Value);
Assert.False(wma.IsHot);
wma.Update(new TValue(DateTime.UtcNow, 100));
Assert.NotEqual(0, wma.Value.Value);
Assert.NotEqual(0, wma.Last.Value);
}
[Fact]
@@ -129,7 +129,7 @@ public class WmaTests
// WMA(5) of 10,20,30,40,50 = (1*10 + 2*20 + 3*30 + 4*40 + 5*50) / 15
// = (10 + 40 + 90 + 160 + 250) / 15 = 550 / 15 = 36.666...
Assert.Equal(550.0 / 15.0, wma.Value.Value, 1e-10);
Assert.Equal(550.0 / 15.0, wma.Last.Value, 1e-10);
}
[Fact]
@@ -142,17 +142,17 @@ public class WmaTests
wma.Update(new TValue(DateTime.UtcNow, 30));
// WMA(3) of 10,20,30 = (1*10 + 2*20 + 3*30) / 6 = (10 + 40 + 90) / 6 = 140/6 = 23.333...
Assert.Equal(140.0 / 6.0, wma.Value.Value, 1e-10);
Assert.Equal(140.0 / 6.0, wma.Last.Value, 1e-10);
wma.Update(new TValue(DateTime.UtcNow, 40));
// WMA(3) of 20,30,40 = (1*20 + 2*30 + 3*40) / 6 = (20 + 60 + 120) / 6 = 200/6 = 33.333...
Assert.Equal(200.0 / 6.0, wma.Value.Value, 1e-10);
Assert.Equal(200.0 / 6.0, wma.Last.Value, 1e-10);
wma.Update(new TValue(DateTime.UtcNow, 50));
// WMA(3) of 30,40,50 = (1*30 + 2*40 + 3*50) / 6 = (30 + 80 + 150) / 6 = 260/6 = 43.333...
Assert.Equal(260.0 / 6.0, wma.Value.Value, 1e-10);
Assert.Equal(260.0 / 6.0, wma.Last.Value, 1e-10);
}
[Fact]
@@ -171,7 +171,7 @@ public class WmaTests
}
// Remember WMA state after 10 values
double wmaAfterTen = wma.Value;
double wmaAfterTen = wma.Last.Value;
// Generate 9 corrections with isNew=false (different values)
for (int i = 0; i < 9; i++)
@@ -230,7 +230,7 @@ public class WmaTests
wma.Update(new TValue(DateTime.UtcNow, 100));
// This should compile and work because TValue has implicit conversion to double
double result = wma.Value;
double result = wma.Last.Value;
Assert.Equal(100.0, result, 1e-10);
}
@@ -375,9 +375,9 @@ public class WmaTests
// WMA should be higher than SMA because it weights the high recent value more
// SMA = (10 + 20 + 100) / 3 = 43.333...
// WMA = (1*10 + 2*20 + 3*100) / 6 = (10 + 40 + 300) / 6 = 58.333...
Assert.True(wma.Value.Value > sma.Value.Value);
Assert.Equal(350.0 / 6.0, wma.Value.Value, 1e-10);
Assert.Equal(130.0 / 3.0, sma.Value.Value, 1e-10);
Assert.True(wma.Last.Value > sma.Last.Value);
Assert.Equal(350.0 / 6.0, wma.Last.Value, 1e-10);
Assert.Equal(130.0 / 3.0, sma.Last.Value, 1e-10);
}
[Fact]
@@ -469,9 +469,9 @@ public class WmaTests
{
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;
source[i] = gbm.Next().Close;
// Warm up
Wma.Calculate(source.AsSpan(), output.AsSpan(), 100);
@@ -514,9 +514,9 @@ public class WmaTests
{
double[] source = new double[1000];
double[] output = new double[1000];
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;
source[i] = gbm.Next().Close;
// Period <= 512 uses stackalloc
Wma.Calculate(source.AsSpan(), output.AsSpan(), 100);
@@ -527,4 +527,46 @@ public class WmaTests
Wma.Calculate(source.AsSpan(), output2.AsSpan(), 600);
Assert.True(double.IsFinite(output2[^1]));
}
[Fact]
public void Wma_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 = Wma.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];
Wma.Calculate(spanInput, spanOutput, period);
double spanResult = spanOutput[^1];
// 3. Streaming Mode
var streamingInd = new Wma(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 Wma(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/wma/Wma.cs
+13 -6
View File
@@ -25,7 +25,7 @@ namespace QuanTAlib;
/// Becomes true when the buffer is full (period samples processed).
/// </remarks>
[SkipLocalsInit]
public sealed class Wma
public sealed class Wma : ITValuePublisher
{
private readonly int _period;
private readonly double _divisor;
@@ -38,8 +38,9 @@ public sealed class Wma
private const int ResyncInterval = 1000;
public string Name { get; }
public TValue Value { get; private set; }
public TValue Last { get; private set; }
public bool IsHot => _buffer.IsFull;
public event Action<TValue>? Pub;
public Wma(int period)
{
@@ -51,6 +52,11 @@ public sealed class Wma
Name = $"Wma({period})";
}
public Wma(ITValuePublisher source, int period) : this(period)
{
source.Pub += (item) => Update(item);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double GetValidValue(double input)
{
@@ -128,8 +134,9 @@ public sealed class Wma
}
double currentDivisor = _buffer.IsFull ? _divisor : _buffer.Count * (_buffer.Count + 1) * 0.5;
Value = new TValue(input.Time, _wsum / currentDivisor);
return Value;
Last = new TValue(input.Time, _wsum / currentDivisor);
Pub?.Invoke(Last);
return Last;
}
public TSeries Update(TSeries source)
@@ -184,7 +191,7 @@ public sealed class Wma
_p_lastInput = source.Values[len - 1];
_p_lastValidValue = _lastValidValue;
Value = new TValue(tSpan[len - 1], vSpan[len - 1]);
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
}
@@ -485,6 +492,6 @@ public sealed class Wma
{
_buffer.Clear();
_sum = _wsum = _p_sum = _p_wsum = _p_lastInput = _lastValidValue = _p_lastValidValue = 0;
Value = default;
Last = default;
}
}