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volume category touchup

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Miha Kralj
2026-01-31 11:21:09 -08:00
parent 7b3a6520d2
commit 51e885a4a6
52 changed files with 5890 additions and 536 deletions
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lib/volume/tvi/Tvi.cs
+13 -16
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@@ -4,27 +4,24 @@ using System.Runtime.InteropServices;
namespace QuanTAlib;
/// <summary>
/// TVI: Trade Volume Index
/// Computes the Trade Volume Index (TVI) that accumulates volume based on price direction,
/// using a minimum tick threshold to filter noise from minor price fluctuations.
/// </summary>
/// <remarks>
/// Trade Volume Index is a cumulative indicator that measures buying and selling pressure
/// by accumulating volume based on price direction determined by a minimum tick threshold.
/// Unlike OBV which uses any price change, TVI requires price to move beyond a minimum
/// threshold before switching direction, reducing noise from minor price fluctuations.
/// TVI Formula:
/// If <c>ΔPrice > MinTick</c>: direction = +1, <c>TVI += Volume</c>;
/// If <c>ΔPrice &lt; -MinTick</c>: direction = -1, <c>TVI -= Volume</c>;
/// Otherwise: direction unchanged (sticky), <c>TVI += direction × Volume</c>.
///
/// Calculation:
/// - If price change > MinTick: direction = 1 (up), TVI += Volume
/// - If price change &lt; -MinTick: direction = -1 (down), TVI -= Volume
/// - If -MinTick &lt;= price change &lt;= MinTick: direction unchanged, TVI += direction * Volume
/// Unlike OBV, TVI requires price to move beyond a threshold before switching direction.
/// This implementation is optimized for streaming updates with O(1) per bar using cumulative summation.
/// Non-finite inputs (NaN/±Inf) are sanitized by substituting the last finite value observed.
///
/// Key differences from OBV:
/// - OBV uses any price change to determine direction
/// - TVI uses a minimum tick threshold to filter noise
/// - TVI has "sticky" direction when price moves less than MinTick
///
/// Sources:
/// https://github.com/mihakralj/pinescript/blob/main/indicators/volume/tvi.md
/// For the authoritative algorithm reference, full rationale, and behavioral contracts, see the
/// companion files in the same directory.
/// </remarks>
/// <seealso href="Tvi.md">Detailed documentation</seealso>
/// <seealso href="tvi.pine">Reference Pine Script implementation</seealso>
[SkipLocalsInit]
public sealed class Tvi : ITValuePublisher
{