mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-07 13:37:44 +00:00
Update main automation workflow to use wildcard for dotcover report path
This commit is contained in:
Miha Kralj
@@ -16,97 +16,117 @@ Abstract classes with all scaffolding required to build indicators.
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</summary> */
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public abstract class Pair_TSeries_Indicator : TSeries {
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protected readonly int _p;
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protected readonly bool _NaN;
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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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public abstract class Pair_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 _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, int period, bool useNaN) {
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_p = period;
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_NaN = useNaN;
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_d1 = source1;
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_d2 = source2;
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_dd1 = double.NaN;
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_dd2 = double.NaN;
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_d1.Pub += Sub;
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_d2.Pub += Sub;
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}
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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, int period, bool useNaN)
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{
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this._p = period;
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this._NaN = useNaN;
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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, 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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protected Pair_TSeries_Indicator(TSeries source1, TSeries source2) {
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_d1 = source1;
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_d2 = source2;
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_dd1 = double.NaN;
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_dd2 = double.NaN;
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_d1.Pub += Sub;
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_d2.Pub += 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) => base.Add(TValue: (TValue1.t, 0), update: update); // default inserts zeros
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protected Pair_TSeries_Indicator(TSeries source1, double dd2) {
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_d1 = source1;
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_d2 = new TSeries();
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_dd1 = double.NaN;
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_dd2 = dd2;
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_d1.Pub += Sub;
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}
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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) { for (int i = 0; i < d1.Count; i++) { this.Add(d1[i], d2[i], update: false); }}
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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); }}
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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); }}
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protected Pair_TSeries_Indicator(double dd1, TSeries source2) {
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_d1 = new TSeries();
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_d2 = source2;
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_dd1 = dd1;
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_dd2 = double.NaN;
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_d2.Pub += Sub;
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}
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public void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2) => this.Add(TValue1, TValue2, update: false);
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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((DateTime t, double v) TValue1, (DateTime t, double v) TValue2, bool update) {
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base.Add((TValue1.t, 0), update);
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// default inserts zeros
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}
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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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// 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 (var i = 0; i < d1.Count; i++) {
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Add(d1[i], d2[i], false);
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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) => this.Add(e.update);
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public virtual void Add(TSeries d1, double dd2) {
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for (var i = 0; i < d1.Count; i++) {
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Add(d1[i], (d1[i].t, dd2), false);
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}
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}
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protected static void Add_Replace(List<double> l, double v, bool update)
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{
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if (update)
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{ l[l.Count - 1] = v; }
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else
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{ l.Add(v); }
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}
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protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update)
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{
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Add_Replace(l, v, update);
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if (l.Count > p && p != 0)
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{ l.RemoveAt(0); }
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}
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public virtual void Add(double dd1, TSeries d2) {
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for (var i = 0; i < d2.Count; i++) {
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Add((d2[i].t, dd1), d2[i], false);
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}
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}
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public void Add((DateTime t, double v) TValue1, (DateTime t, double v) TValue2) {
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Add(TValue1, TValue2, false);
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}
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public void Add(bool update) {
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if (_dd1 is double.NaN && _dd2 is double.NaN) {
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// (Series, Series)
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if (update || (_d1.Count > Count && _d2.Count > Count)) {
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Add(_d1[_d1.Count - 1], _d2[_d2.Count - 1], update);
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}
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}
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else if (_dd2 is not double.NaN && _dd1 is double.NaN) {
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// (Series, Double)
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Add(_d1[_d1.Count - 1], (_d1[_d1.Count - 1].t, _dd2), update);
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}
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else {
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// (Double, Series)
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Add((_d2[_d2.Count - 1].t, _dd1), _d2[_d2.Count - 1], update);
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}
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}
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public void Add() {
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Add(false);
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}
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public new void Sub(object source, TSeriesEventArgs e) {
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Add(e.update);
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}
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protected static void Add_Replace(List<double> l, double v, bool update) {
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if (update) {
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l[l.Count - 1] = v;
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}
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else {
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l.Add(v);
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}
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}
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protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update) {
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Add_Replace(l, v, update);
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if (l.Count > p && p != 0) {
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l.RemoveAt(0);
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}
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}
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}
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@@ -1,67 +0,0 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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/* <summary>
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Abstract classes with all scaffolding required to build indicators.
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All abstracts support period, NaN, and all permutations of Add() methods.
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Indicator classess need to implement:
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- Chaining constructor (Abstract's constructor executes first)
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- Default Add(value) class
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- optional Add(series) bulk insert class (for optimization of historical analysis)
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Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
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Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
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Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
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</summary> */
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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, int period, bool useNaN)
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{
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this._p = period;
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this._bars = source;
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this._NaN = useNaN;
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this._bars.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.t, 0.0), update);
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public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN)
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{
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var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v);
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base.Add(res, update);
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}
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// potentially overridable Add() method for the whole bars or series (could be replaced with faster bulk algo)
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public virtual void Add(TBars bars) { for (int i = 0; i < bars.Count; i++) { this.Add(TBar: bars[i], update: false); } }
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public virtual new void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { base.Add(TValue: data[i], update: false); } }
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public void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar) => this.Add(TBar: TBar, update: false);
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public void Add(bool update) => this.Add(TBar: this._bars[this._bars.Count - 1], update: update);
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public void Add() => this.Add(TBar: this._bars[this._bars.Count - 1], update: false);
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public new void Sub(object source, TSeriesEventArgs e) => this.Add(TBar: this._bars[this._bars.Count - 1], update: e.update);
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protected static void Add_Replace(List<double> l, double v, bool update)
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{
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if (update)
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{ l[l.Count - 1] = v; }
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else
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{ l.Add(v); }
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}
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protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update)
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{
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Add_Replace(l, v, update);
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if (l.Count > p && p != 0)
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{ l.RemoveAt(0); }
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}
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}
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@@ -1,73 +0,0 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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/* <summary>
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Abstract classes with all scaffolding required to build indicators.
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All abstracts support period, NaN, and all permutations of Add() methods.
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Indicator classess need to implement:
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- Chaining constructor (Abstract's constructor executes first)
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- Default Add(value) class
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- optional Add(series) bulk insert class (for optimization of historical analysis)
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Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
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Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
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Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
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</summary> */
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public abstract class Single_TSeries_Indicator : TSeries
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{
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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protected int _p;
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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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_data = source;
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_period = period;
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_p = _period;
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_NaN = useNaN;
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_data.Pub += 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((DateTime t, double v) TValue, bool update, bool useNaN)
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{
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if (_period == 0) { _p = Length; }
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var res = (TValue.t, Count < _p - 1 && _NaN ? double.NaN : TValue.v);
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base.Add(res, update);
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}
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public new virtual void Add((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 new void Add(TSeries data)
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{
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foreach (var item in data) { Add(TValue: item, update: false); }
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}
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public new void Add((System.DateTime t, double v) TValue) => this.Add(TValue: TValue, update: false);
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public void Add(bool update) => this.Add(TValue: this._data[this._data.Count - 1], update: update);
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public void Add() => this.Add(TValue: this._data[this._data.Count - 1], update: false);
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public new void Sub(object source, TSeriesEventArgs e) => this.Add(TValue: this._data[this._data.Count - 1], update: e.update);
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protected static void Add_Replace(List<double> l, double v, bool update)
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{
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if (update)
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{ l[l.Count - 1] = v; }
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else
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{ l.Add(v); }
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}
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protected static double Add_Replace_Trim(List<double> l, double v, int p, bool update)
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{
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Add_Replace(l, v, update);
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double ret = (l.Count > 0) ? l.First() : 0;
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if (l.Count > p && p != 0)
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{
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l.RemoveAt(0);
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}
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return ret;
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}
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}
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@@ -1,34 +0,0 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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using System.Data;
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using System.Linq;
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public enum OType {
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NIL = 0, // No position
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BTO = 1, // Buy to Open
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STC = 2, // Sell to Close
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STO = 3, // Sell to Open
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BTC = 4, // Buy to Close
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END = 5, // Exit the trade
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}
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public class TOrders : List<(DateTime t, OType o)> {
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public void Add((DateTime t, OType o) TOrder, bool update = false)
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{
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if (update) { this[^1] = TOrder; }
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else { base.Add(TOrder); }
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OnEvent(update);
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}
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protected virtual void OnEvent(bool update = false) {
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Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
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public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
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public event NewDataEventHandler Pub;
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}
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Block a user