mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 02:28:05 +00:00
Rebase
This commit is contained in:
Miha
@@ -0,0 +1,23 @@
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// ADD - adding TSeries+TSeries together, or TSeries+double, or double+TSeries
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using System;
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namespace QuanTAlib;
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public class ADD_Series : Pair_TSeries_Indicator
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{
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public ADD_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
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if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
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}
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public ADD_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
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if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
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}
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public ADD_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
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if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
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}
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public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
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{
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(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
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TValue1.v+TValue2.v);
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if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
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}
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}
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@@ -0,0 +1,151 @@
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namespace QuanTAlib;
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using System;
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public abstract class Single_TSeries_Indicator : TSeries
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{
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protected readonly int _p;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
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protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN)
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{
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this._data = source;
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this._p = period;
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this._NaN = useNaN;
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this._data.Pub += this.Sub;
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}
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// overridable Add() method to add/update a single item at the end of the list
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public new virtual void Add((System.DateTime t, double v) TValue, bool update) => base.Add(TValue, update);
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// potentially overridable Add() method for the whole series (could be replaced with faster bulk algo)
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public virtual void Add(TSeries data)
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{
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for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); }
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}
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public new void Add((System.DateTime t, double v) TValue)
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=> this.Add(TValue: TValue, update: false);
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public void Add(bool update)
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=> this.Add(TValue: this._data[this._data.Count - 1], update: update);
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public void Add()
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=> this.Add(TValue: this._data[this._data.Count - 1], update: false);
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public new void Sub(object source, TSeriesEventArgs e)
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=> this.Add(TValue: this._data[this._data.Count - 1], update: e.update);
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}
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public abstract class Pair_TSeries_Indicator : TSeries
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{
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protected readonly TSeries _d1;
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protected readonly TSeries _d2;
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protected readonly double _dd1, _dd2;
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// Chainable Constructors - add them at the end of primary constructors if needed
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protected Pair_TSeries_Indicator(TSeries source1, TSeries source2)
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{
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this._d1 = source1;
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this._d2 = source2;
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this._dd1 = double.NaN;
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this._dd2 = double.NaN;
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this._d1.Pub += this.Sub;
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this._d2.Pub += this.Sub;
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}
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protected Pair_TSeries_Indicator(TSeries source1, double dd2)
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{
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this._d1 = source1;
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this._d2 = new();
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this._dd1 = double.NaN;
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this._dd2 = dd2;
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this._d1.Pub += this.Sub;
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}
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protected Pair_TSeries_Indicator(double dd1, TSeries source2)
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{
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this._d1 = new();
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this._d2 = source2;
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this._dd1 = dd1;
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this._dd2 = double.NaN;
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this._d2.Pub += this.Sub;
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}
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// overridable Add(Tvalue, Tvalue) method to add/update a single value at the end of the list
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public virtual void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
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=> base.Add(TValue: (TValue1.t, 0), update: update); // default inserts zeros
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// potentially overridable Add() bulk variations (could be replaced with faster bulk algos)
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public virtual void Add(TSeries d1, TSeries d2) {
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for (int i = 0; i < d1.Count; i++) { this.Add(d1[i], d2[i], update: false); }
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}
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public virtual void Add(TSeries d1, double dd2) {
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for (int i = 0; i < d1.Count; i++) { this.Add(d1[i], (d1[i].t, dd2), update: false); }
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}
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public virtual void Add(double dd1, TSeries d2) {
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for (int i = 0; i < d2.Count; i++) { this.Add((d2[i].t, dd1), d2[i], update: false); }
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}
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public void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2)
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=> this.Add(TValue1, TValue2, update: false);
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public void Add(bool update)
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{
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if ((this._dd1 is double.NaN) && (this._dd2 is double.NaN))
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{
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// (Series, Series)
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if (update || (this._d1.Count > this.Count && this._d2.Count > this.Count))
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{ this.Add(this._d1[this._d1.Count - 1], this._d2[this._d2.Count - 1], update); }
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}
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else if ((this._dd2 is not double.NaN) && (this._dd1 is double.NaN))
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{
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// (Series, Double)
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this.Add(TValue1: this._d1[this._d1.Count - 1], TValue2: (this._d1[this._d1.Count - 1].t, this._dd2), update: update);
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}
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else
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{
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// (Double, Series)
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this.Add(TValue1: (this._d2[this._d2.Count - 1].t, this._dd1), TValue2: this._d2[this._d2.Count - 1], update: update);
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}
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}
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public void Add() => this.Add(update: false);
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public new void Sub(object source, TSeriesEventArgs e)
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=> this.Add(e.update);
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}
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public abstract class Single_TBars_Indicator : TSeries
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{
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protected readonly int _p;
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protected readonly bool _NaN;
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protected readonly TBars _bars;
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// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
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protected Single_TBars_Indicator(TBars source, bool useNaN)
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{
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this._bars = source;
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this._NaN = useNaN;
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this._bars.Close.Pub += this.Sub;
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}
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// overridable Add() method to add/update a single item at the end of the list
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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);
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// potentially overridable Add() method for the whole series (could be replaced with faster bulk algo)
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public virtual void Add(TBars bars)
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{
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for (int i = 0; i < bars.Count; i++) { this.Add(TBar: bars[i], update: false); }
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}
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public new void Add((System.DateTime t, double v) TValue)
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=> this.Add(TValue: TValue, update: false);
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public void Add(bool update)
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=> this.Add(TBar: this._bars[this._bars.Count - 1], update: update);
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public void Add()
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=> this.Add(TBar: this._bars[this._bars.Count - 1], update: false);
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public new void Sub(object source, TSeriesEventArgs e)
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=> this.Add(TBar: this._bars[this._bars.Count - 1], update: e.update);
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}
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@@ -0,0 +1,23 @@
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// DIV - divide TSeries/TSeries , or TSeries/double, or double/TSeries
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using System;
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namespace QuanTAlib;
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public class DIV_Series : Pair_TSeries_Indicator
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{
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public DIV_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
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if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
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}
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public DIV_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
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if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
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}
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public DIV_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
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if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
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}
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public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
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{
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(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
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(TValue2.v is not 0) ? TValue1.v/TValue2.v : Double.PositiveInfinity);
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if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
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}
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}
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@@ -0,0 +1,23 @@
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// MUL - multiply TSeries*TSeries together, or TSeries*double, or double*TSeries
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using System;
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namespace QuanTAlib;
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public class MUL_Series : Pair_TSeries_Indicator
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{
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public MUL_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
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if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
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}
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public MUL_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
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if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
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}
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public MUL_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
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if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
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}
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public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
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{
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(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
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TValue1.v*TValue2.v);
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if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
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}
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}
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@@ -0,0 +1,20 @@
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using System;
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namespace QuanTAlib;
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public class RND_Feed : TBars
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{
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public RND_Feed(int days, double volatility = 0.05, double startvalue = 100.0)
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{
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Random rnd = new();
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double c = startvalue;
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for (int i = 0; i < days; i++)
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{
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double o = Math.Round(c + c * (volatility * 0.1 * rnd.NextDouble() - 0.005), 2);
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double h = Math.Round(o + c * volatility * rnd.NextDouble(), 2);
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double l = Math.Round(o - c * volatility * rnd.NextDouble(), 2);
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c = Math.Round(l + (h - l) * rnd.NextDouble(), 2);
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double v = Math.Round(1000 * rnd.NextDouble(), 2);
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this.Add(DateTime.Today.AddDays(i - days), o, h, l, c, v);
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}
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}
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}
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@@ -0,0 +1,23 @@
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// SUB - subtracting TSeries-TSeries, or TSeries-double, or double-TSeries
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using System;
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namespace QuanTAlib;
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public class SUB_Series : Pair_TSeries_Indicator
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{
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public SUB_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
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if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
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}
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public SUB_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
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if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
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}
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public SUB_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
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if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
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}
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public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
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{
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(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
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TValue1.v-TValue2.v);
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if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
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}
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}
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@@ -0,0 +1,104 @@
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namespace QuanTAlib;
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using System;
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public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
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{
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private readonly TSeries _open = new();
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private readonly TSeries _high = new();
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private readonly TSeries _low = new();
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private readonly TSeries _close = new();
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private readonly TSeries _volume = new();
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private readonly TSeries _hl2 = new();
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private readonly TSeries _oc2 = new();
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private readonly TSeries _ohl3 = new();
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private readonly TSeries _hlc3 = new();
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private readonly TSeries _ohlc4 = new();
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private readonly TSeries _hlcc4 = new();
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public TSeries Open => this._open;
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public TSeries High => this._high;
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public TSeries Low => this._low;
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public TSeries Close => this._close;
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public TSeries Volume => this._volume;
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public TSeries HL2 => this._hl2;
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public TSeries OC2 => this._oc2;
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public TSeries OHL3 => this._ohl3;
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public TSeries HLC3 => this._hlc3;
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public TSeries OHLC4 => this._ohlc4;
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public TSeries HLCC4 => this._hlcc4;
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public TSeries Select(int source)
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{
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return source switch
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{
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0 => _open,
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1 => _high,
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2 => _low,
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3 => _close,
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4 => _hl2,
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5 => _oc2,
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6 => _ohl3,
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7 => _hlc3,
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8 => _ohlc4,
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_ => _hlcc4,
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};
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}
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public static string SelectStr(int source)
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{
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return source switch
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{
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0 => "Open",
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1 => "High",
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2 => "Low",
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3 => "Close",
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4 => "HL2",
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5 => "OC2",
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6 => "OHL3",
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7 => "Typical",
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8 => "Mean",
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_ => "Weighted",
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};
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}
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public void
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Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
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=> Add(i.t, i.o, i.h, i.l, i.c, i.v, update);
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public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false)
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=> Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update);
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public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false)
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{
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if (update)
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{
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this[this.Count - 1] = (t, o, h, l, c, v);
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_open[_open.Count - 1] = (t, o);
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_high[_high.Count - 1] = (t, h);
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_low[_low.Count - 1] = (t, l);
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_close[_close.Count - 1] = (t, c);
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_volume[_volume.Count - 1] = (t, v);
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_hl2[_hl2.Count - 1] = (t, (h + l) * 0.5);
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_oc2[_oc2.Count - 1] = (t, (o + c) * 0.5);
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_ohl3[_ohl3.Count - 1] = (t, (o + h + l) * 0.333333333333333);
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_hlc3[_hlc3.Count - 1] = (t, (h + l + c) * 0.333333333333333);
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_ohlc4[_ohlc4.Count - 1] = (t, (o + h + l + c) * 0.25);
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_hlcc4[_hlcc4.Count - 1] = (t, (h + l + c + c) * 0.25);
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}
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else
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{
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base.Add((t, o, h, l, c, v));
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_open.Add((t, o));
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_high.Add((t, h));
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_low.Add((t, l));
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_close.Add((t, c));
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_volume.Add((t, v));
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_hl2.Add((t, (h + l) * 0.5));
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_oc2.Add((t, (o + c) * 0.5));
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_ohl3.Add((t, (o + h + l) * 0.333333333333333));
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_hlc3.Add((t, (h + l + c) * 0.333333333333333));
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_ohlc4.Add((t, (o + h + l + c) * 0.25));
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_hlcc4.Add((t, (h + l + c + c) * 0.25));
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}
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||||
}
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||||
}
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||||
@@ -0,0 +1,72 @@
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namespace QuanTAlib;
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||||
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||||
using System;
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using System.Linq;
|
||||
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||||
public class TSeries : System.Collections.Generic.List<(DateTime t, double v)>
|
||||
{
|
||||
// when asked for a (t,v) tuple, return the last (t,v) on the List
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||||
public static implicit operator (DateTime t, double v)(TSeries l) => l[l.Count - 1];
|
||||
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||||
// when asked for a (double), return the value part of the last tuple on the list
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||||
public static implicit operator double(TSeries l) => l[l.Count - 1].v;
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|
||||
// when asked for a (DateTime), return the DateTime part of the last tuple on the list
|
||||
public static implicit operator DateTime(TSeries l) => l[l.Count - 1].t;
|
||||
|
||||
public System.Collections.Generic.List<DateTime> t =>
|
||||
this.Select(x => (DateTime)x.t).ToList();
|
||||
|
||||
public System.Collections.Generic.List<double> v =>
|
||||
this.Select(x => (double)x.v).ToList();
|
||||
|
||||
public int Length => this.Count;
|
||||
|
||||
// add/update one (t,v) tuple to/at the end of the list
|
||||
public void Add((DateTime t, double v) TValue, bool update = false)
|
||||
{
|
||||
if (update) { this[this.Count - 1] = TValue; }
|
||||
else { base.Add(TValue); }
|
||||
this.OnEvent(update);
|
||||
}
|
||||
|
||||
public void Add(DateTime t, double v, bool update = false) => this.Add((t, v), update);
|
||||
|
||||
public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
|
||||
|
||||
// Broadcast handler - only to valid targets
|
||||
protected virtual void OnEvent(bool update = false)
|
||||
{
|
||||
if (Pub != null && Pub.Target != this)
|
||||
{
|
||||
Pub(this, new TSeriesEventArgs { update = update });
|
||||
}
|
||||
}
|
||||
|
||||
// delegate used by event handler + event handler (Pub == publisher)
|
||||
public delegate
|
||||
void NewDataEventHandler(object source, TSeriesEventArgs args);
|
||||
public event NewDataEventHandler Pub;
|
||||
|
||||
public void Sub(object source, TSeriesEventArgs e)
|
||||
{
|
||||
TSeries ss = (TSeries)source;
|
||||
if (ss.Count > 0)
|
||||
{
|
||||
for (int i = 0; i < ss.Count; i++)
|
||||
{
|
||||
this.Add(ss[i]);
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
this.Add(ss[ss.Count - 1], e.update);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// EventArgs extension - carries the update field
|
||||
public class TSeriesEventArgs : EventArgs
|
||||
{
|
||||
public bool update { get; set; }
|
||||
}
|
||||
Reference in New Issue
Block a user