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refactoring

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This commit is contained in:
Miha Kralj
2022-11-26 22:04:26 -08:00
parent 570a7896df
commit 58694a9600
22 changed files with 1397 additions and 1186 deletions
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Source/Basics/Single_TSeries_Abstract.cs
+48 -43
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@@ -1,6 +1,7 @@
namespace QuanTAlib;
using System;
using System.Collections.Generic;
using System.Linq;
/* <summary>
Abstract classes with all scaffolding required to build indicators.
@@ -17,50 +18,54 @@ Abstract classes with all scaffolding required to build indicators.
</summary> */
public abstract class Single_TSeries_Indicator : TSeries
{
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
protected int _p;
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
protected int _p;
// 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)
// 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._period = period;
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 virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN)
{
if (_period == 0) { _p = this.Length; }
var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v);
base.Add(res, update);
}
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);
protected static void Add_Replace(List<double> l, double v, bool update)
{
if (update)
{ l[l.Count - 1] = v; }
else
{ l.Add(v); }
}
protected static double Add_Replace_Trim(List<double> l, double v, int p, bool update)
{
Add_Replace(l, v, update);
double ret = (l.Count > 0) ? l.First() : 0;
if (l.Count > p && p != 0)
{
this._data = source;
this._period = period;
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 virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN)
{
if (_period == 0) { _p = this.Length; }
var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v);
base.Add(res, update);
}
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);
protected static void Add_Replace(List<double> l, double v, bool update)
{
if (update)
{ l[l.Count - 1] = v; }
else
{ l.Add(v); }
}
protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update)
{
Add_Replace(l, v, update);
if (l.Count > p && p!=0)
{ l.RemoveAt(0); }
l.RemoveAt(0);
}
return ret;
}
}
Source/Trends/EMA_Series.cs
+6 -3
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@@ -25,12 +25,14 @@ public class EMA_Series : Single_TSeries_Indicator
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m;
private double _lastema, _lastlastema;
private bool _useSMA;
public EMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
public EMA_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN)
{
this._k = 2.0 / (this._p + 1);
this._k1m = 1.0 - this._k;
this._lastema = this._lastlastema = double.NaN;
this._lastema = this._lastlastema = 0;
_useSMA = useSMA;
if (this._data.Count > 0) { base.Add(this._data); }
}
@@ -38,8 +40,9 @@ public class EMA_Series : Single_TSeries_Indicator
{
double _ema;
if (update) { this._lastema = this._lastlastema; }
if (this.Count == 0) { _lastema = TValue.v; }
if (this.Count < this._p)
if (this.Count < this._p && _useSMA)
{
Add_Replace(_buffer, TValue.v, update);
_ema = 0;
Source/Trends/SMA_Series.cs
+40 -15
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@@ -1,6 +1,5 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
SMA: Simple Moving Average
@@ -19,19 +18,45 @@ Remark:
public class SMA_Series : Single_TSeries_Indicator
{
public SMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0) { base.Add(base._data); }
}
private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly System.Collections.Generic.List<double> _buffer = new();
private double _sma, _oldsma;
private double _topv, _oldtopv;
public SMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{
if (base._data.Count > 0)
{ base.Add(base._data); }
}
public override void Add((System.DateTime t, double v) TValue, bool update)
{
_topv = Add_Replace_Trim(_buffer, TValue.v, _p, update);
public override void Add((System.DateTime t, double v) TValue, bool update)
{
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _sma = 0;
for (int i=0; i<_buffer.Count; i++) { _sma+= _buffer[i]; }
_sma /= _buffer.Count;
// rolling back if update, storing data for potential future update
if (update)
{
_sma = _oldsma;
_topv = _oldtopv;
}
else
{
_oldsma = _sma;
_oldtopv = _topv;
}
base.Add((TValue.t, _sma), update, _NaN);
}
}
// main additive calculation of SMA - for data points that are larger than _p period
// this.Count > _p
if (this.Count > _p)
{
_sma += (TValue.v - _topv) / _p;
}
else
{
// calculate SMA the traditional way (sum all, divide with _p) for data points within _p period
_sma = 0;
for (int i = 0; i < _buffer.Count; i++)
{ _sma += _buffer[i]; }
_sma /= _buffer.Count;
}
base.Add((TValue.t, _sma), update, _NaN);
}
}
Source/Volatility/ADOSC_Series.cs
+3 -3
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@@ -20,10 +20,10 @@ public class ADOSC_Series : Single_TBars_Indicator
private double _lastema1, _lastlastema1, _lastema2, _lastlastema2;
private double _lastadl, _lastlastadl;
public ADOSC_Series(TBars source, bool useNaN = false) : base(source, period: 0, useNaN)
public ADOSC_Series(TBars source, int shortPeriod = 3, int longPeriod =10, bool useNaN = false) : base(source, period: 0, useNaN)
{
_k1 = 2.0 / (3 + 1);
_k2 = 2.0 / (10 + 1);
_k1 = 2.0 / (shortPeriod + 1);
_k2 = 2.0 / (longPeriod + 1);
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
if (_bars.Count > 0) { base.Add(_bars); }
}