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Miha
2022-04-19 22:34:42 -07:00
parent 50ed6f6504
commit 509b6dec02
41 changed files with 488 additions and 236 deletions
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Source/Basics/Abstracts.cs
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namespace QuanTAlib;
using System;
/* <summary>
Abstract classes with all scaffolding required to build indicators.
All abstracts support period, NaN, and all permutations of Add() methods.
Indicator classess need to implement:
- Chaining constructor (Abstract's constructor executes first)
- Default Add(value) class
- optional Add(series) bulk insert class (for optimization of historical analysis)
Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
</summary> */
public abstract class Single_TSeries_Indicator : TSeries
{
protected readonly int _p;
protected readonly bool _NaN;
protected readonly TSeries _data;
// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN)
{
this._data = source;
this._p = period;
this._NaN = useNaN;
this._data.Pub += this.Sub;
}
// overridable Add() method to add/update a single item at the end of the list
public new virtual void Add((System.DateTime t, double v) TValue, bool update) => base.Add(TValue, update);
// potentially overridable Add() method for the whole series (could be replaced with faster bulk algo)
public virtual void Add(TSeries data)
{
for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); }
}
public new void Add((System.DateTime t, double v) TValue)
=> this.Add(TValue: TValue, update: false);
public void Add(bool update)
=> this.Add(TValue: this._data[this._data.Count - 1], update: update);
public void Add()
=> this.Add(TValue: this._data[this._data.Count - 1], update: false);
public new void Sub(object source, TSeriesEventArgs e)
=> this.Add(TValue: this._data[this._data.Count - 1], update: e.update);
}
public abstract class Pair_TSeries_Indicator : TSeries
{
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)
{
this._d1 = source1;
this._d2 = source2;
this._dd1 = double.NaN;
this._dd2 = double.NaN;
this._d1.Pub += this.Sub;
this._d2.Pub += this.Sub;
}
protected Pair_TSeries_Indicator(TSeries source1, double dd2)
{
this._d1 = source1;
this._d2 = new();
this._dd1 = double.NaN;
this._dd2 = dd2;
this._d1.Pub += this.Sub;
}
protected Pair_TSeries_Indicator(double dd1, TSeries source2)
{
this._d1 = new();
this._d2 = source2;
this._dd1 = dd1;
this._dd2 = double.NaN;
this._d2.Pub += this.Sub;
}
// overridable Add(Tvalue, Tvalue) method to add/update a single value at the end of the list
public virtual void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
=> base.Add(TValue: (TValue1.t, 0), update: 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 (int i = 0; i < d1.Count; i++) { this.Add(d1[i], d2[i], update: false); }
}
public virtual void Add(TSeries d1, double dd2) {
for (int i = 0; i < d1.Count; i++) { this.Add(d1[i], (d1[i].t, dd2), update: false); }
}
public virtual void Add(double dd1, TSeries d2) {
for (int i = 0; i < d2.Count; i++) { this.Add((d2[i].t, dd1), d2[i], update: false); }
}
public void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2)
=> this.Add(TValue1, TValue2, update: false);
public void Add(bool update)
{
if ((this._dd1 is double.NaN) && (this._dd2 is double.NaN))
{
// (Series, Series)
if (update || (this._d1.Count > this.Count && this._d2.Count > this.Count))
{ this.Add(this._d1[this._d1.Count - 1], this._d2[this._d2.Count - 1], update); }
}
else if ((this._dd2 is not double.NaN) && (this._dd1 is double.NaN))
{
// (Series, Double)
this.Add(TValue1: this._d1[this._d1.Count - 1], TValue2: (this._d1[this._d1.Count - 1].t, this._dd2), update: update);
}
else
{
// (Double, Series)
this.Add(TValue1: (this._d2[this._d2.Count - 1].t, this._dd1), TValue2: this._d2[this._d2.Count - 1], update: update);
}
}
public void Add() => this.Add(update: false);
public new void Sub(object source, TSeriesEventArgs e)
=> this.Add(e.update);
}
public abstract class Single_TBars_Indicator : TSeries
{
protected readonly int _p;
protected readonly bool _NaN;
protected readonly TBars _bars;
// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
protected Single_TBars_Indicator(TBars source, int period, bool useNaN)
{
this._p = period;
this._bars = source;
this._NaN = useNaN;
this._bars.Close.Pub += this.Sub;
}
// overridable Add() method to add/update a single item at the end of the list
public virtual void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar, bool update) => base.Add(TBar.c, update);
// potentially overridable Add() method for the whole series (could be replaced with faster bulk algo)
public virtual void Add(TBars bars)
{
for (int i = 0; i < bars.Count; i++) { this.Add(TBar: bars[i], update: false); }
}
public new void Add((System.DateTime t, double v) TValue)
=> this.Add(TValue: TValue, update: false);
public void Add(bool update)
=> this.Add(TBar: this._bars[this._bars.Count - 1], update: update);
public void Add()
=> this.Add(TBar: this._bars[this._bars.Count - 1], update: false);
public new void Sub(object source, TSeriesEventArgs e)
=> this.Add(TBar: this._bars[this._bars.Count - 1], update: e.update);
}