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dotcover s1 .sln s1 s1 s2 s3 s4 s5 s1 s2 x x2 x3 x4 x5 x6 x1 sonarcube cleanup1 sonarcube cleanup2 sonarcube cleanup 3 fixes q q q q q q q q q1 q2 q q1 codacy 1
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Miha Kralj
@@ -1,237 +0,0 @@
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using System;
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public readonly record struct TValue(DateTime Time, double Value, bool IsNew = true, bool IsHot = true)
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{
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public DateTime Time { get; init; } = Time;
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public double Value { get; init; } = Value;
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public bool IsNew { get; init; } = IsNew;
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public bool IsHot { get; init; } = IsHot;
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public TValue() : this(DateTime.UtcNow, 0) { }
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public TValue(double value) : this(DateTime.UtcNow, value) { }
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public TValue((DateTime time, double value) tuple) : this(tuple.time, tuple.value) { }
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public static implicit operator double(TValue tv) => tv.Value;
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public static implicit operator DateTime(TValue tv) => tv.Time;
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public static implicit operator TValue(double value) => new TValue(DateTime.UtcNow, value);
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public override string ToString() => $"[{Time:yyyy-MM-dd HH:mm:ss}: {Value:F2}]";
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}
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public readonly record struct TBar(DateTime Time, double Open, double High, double Low, double Close, double Volume, bool IsNew = true)
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{
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public DateTime Time { get; init; } = Time;
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public double Open { get; init; } = Open;
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public double High { get; init; } = High;
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public double Low { get; init; } = Low;
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public double Close { get; init; } = Close;
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public double Volume { get; init; } = Volume;
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public bool IsNew { get; init; } = IsNew;
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public TBar() : this(DateTime.UtcNow, 0, 0, 0, 0, 0) { }
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public TBar(double open, double high, double low, double close, double volume) : this(DateTime.UtcNow, open, high, low, close, volume) { }
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public TBar((DateTime time, double open, double high, double low, double close, double volume) tuple) : this(tuple.time, tuple.open, tuple.high, tuple.low, tuple.close, tuple.volume) { }
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public override string ToString() => $"[{Time:yyyy-MM-dd HH:mm:ss}: O={Open:F2}, H={High:F2}, L={Low:F2}, C={Close:F2}, V={Volume:F2}]";
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}
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/////////////////////
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///
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/////////////////////
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public class GBM_Feed
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{
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private readonly double _mu;
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private readonly double _sigma;
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private readonly Random _random;
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private double _lastClose;
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private double _lastHigh;
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private double _lastLow;
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public GBM_Feed(double initialPrice, double mu, double sigma)
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{
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_lastClose = initialPrice;
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_lastHigh = initialPrice;
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_lastLow = initialPrice;
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_mu = mu;
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_sigma = sigma;
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_random = Random.Shared;
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}
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public TBar Generate(bool IsNew = true)
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{
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DateTime time = DateTime.UtcNow;
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double dt = 1.0 / 252; // Assuming daily steps in a trading year of 252 days
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double drift = (_mu - 0.5 * _sigma * _sigma) * dt;
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double diffusion = _sigma * Math.Sqrt(dt) * NormalRandom();
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double newClose = _lastClose * Math.Exp(drift + diffusion);
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double open = _lastClose;
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double high = Math.Max(open, newClose) * (1 + _random.NextDouble() * 0.01);
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double low = Math.Min(open, newClose) * (1 - _random.NextDouble() * 0.01);
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double volume = 1000 + _random.NextDouble() * 1000; // Random volume between 1000 and 2000
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if (!IsNew)
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{
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high = Math.Max(_lastHigh, high);
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low = Math.Min(_lastLow, low);
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}
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else
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{
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_lastClose = newClose;
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}
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_lastHigh = high;
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_lastLow = low;
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return new TBar(time, open, high, low, newClose, volume, IsNew);
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}
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private double NormalRandom()
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{
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// Box-Muller transform to generate standard normal random variable
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double u1 = 1.0 - _random.NextDouble(); // Uniform(0,1] random doubles
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double u2 = 1.0 - _random.NextDouble();
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return Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
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}
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}
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/// <summary>
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/// ////////////////
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/// </summary>
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public class EMA
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{
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private double lastEma, lastEmaCandidate, k;
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private int period, i;
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public TValue Value { get; private set; }
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public bool IsHot { get; private set; }
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public EMA(int period) {
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Init(period);
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}
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public void Init(int period)
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{
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this.period = period;
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this.k = 2.0 / (period + 1);
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this.lastEma = this.lastEmaCandidate = double.NaN;
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this.i = 0;
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}
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public TValue Update(TValue input, bool IsNew = true) {
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double ema;
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if (double.IsNaN(lastEma)) { lastEma = input.Value; }
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if (IsNew) {
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lastEma = lastEmaCandidate;
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i++;
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}
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double kk = (i<period)?(2.0/(i+1)):k;
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ema = lastEma + kk * (input.Value - lastEma);
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lastEmaCandidate = ema;
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IsHot = i >= period;
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Value = new TValue(input.Time, ema, IsNew, IsHot);
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return Value;
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}
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}
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/////////////////
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///
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public class SMA
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{
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private CircularBuffer<double> buffer;
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private int period;
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private double sum;
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public TValue Value { get; private set; }
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public bool IsHot { get; private set; }
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public SMA(int period)
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{
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Init(period);
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}
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public void Init(int period)
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{
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this.period = period;
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this.buffer = new CircularBuffer<double>(period);
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this.sum = 0;
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this.IsHot = false;
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this.Value = default;
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}
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public TValue Update(TValue input, bool IsNew = true)
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{
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if (IsNew)
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{
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if (buffer.Count == period) {
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sum -= buffer[0];
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}
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buffer.Add(input);
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sum += input.Value;
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} else {
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if (buffer.Count > 0) {
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sum -= buffer[buffer.Count - 1];
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sum += input.Value;
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buffer[buffer.Count - 1] = input;
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} else {
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buffer.Add(input);
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sum += input.Value;
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}
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}
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double sma = buffer.Count > 0 ? sum / buffer.Count : double.NaN;
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IsHot = buffer.Count >= period;
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Value = new TValue(input.Time, sma, IsNew, IsHot);
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return Value;
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}
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}
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/////////////////////
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///
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/////////////////////
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public class CircularBuffer<double>
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{
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private double[] _buffer;
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private int _start;
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private int _size;
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public CircularBuffer(int capacity) {
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_buffer = new double[capacity];
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_start = 0;
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_size = 0;
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}
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public int Capacity => _buffer.Length;
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public int Count => _size;
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public void Add(double item) {
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if (_size < Capacity) {
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_buffer[(_start + _size) % Capacity] = item;
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_size++;
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} else {
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_buffer[_start] = item;
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_start = (_start + 1) % Capacity;
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}
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}
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public double this[int index] {
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get {
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if (index < 0 || index >= _size)
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throw new IndexOutOfRangeException();
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return _buffer[(_start + index) % Capacity];
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}
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set {
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if (index < 0 || index >= _size)
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throw new IndexOutOfRangeException();
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_buffer[(_start + index) % Capacity] = value;
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}
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}
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}
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@@ -1,163 +0,0 @@
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#!meta
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{"kernelInfo":{"defaultKernelName":"csharp","items":[{"aliases":[],"name":"csharp"}]}}
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#!csharp
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#r "\bin\Debug\calculations.dll"
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using QuanTAlib;
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#!csharp
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TValue vv = new(10);
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display(vv.ToString());
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display(vv.IsHot);
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TBar bb = new(1,1,1,1,10);
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display(bb.ToString());
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display(bb.IsNew);
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#!csharp
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int i=10;
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SMA sma = new(i);
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Console.WriteLine($"{"Close",10} {"SMA(" + i + ")",10}");
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for (int i = 0; i < 20; i++)
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{
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TValue c =(double)i+1;
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sma.Update(10000,true);
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sma.Update(1,false);
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sma.Update(-1000,false);
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sma.Update(c,false);
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Console.WriteLine($"{i+1} {(double)c,10:F2} {(double)sma.Value,10:F2} {sma.Value.IsHot}");
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}
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#!csharp
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public class Emitter {
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private Random random = new Random();
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public event EventHandler<EventArg<TValue>> Pub;
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public void Emit() {
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DateTime now = DateTime.Now;
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double randomValue = random.NextDouble() * 100; // Generates a random number between 0 and 100
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TValue value = new TValue(now, randomValue);
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EventArg<TValue> eventArg = new EventArg<TValue>(value, true, true);
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OnValuePub(eventArg);
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}
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protected virtual void OnValuePub(EventArg<TValue> eventArg) {
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Pub?.Invoke(this, eventArg);
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}
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}
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public class BarEmitter
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{
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private Random random = new Random();
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public event EventHandler<EventArg<TBar>> Pub;
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private double lastClose = 100.0; // Starting price
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public void Emit()
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{
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double open = lastClose;
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double close = open * (1 + (random.NextDouble() - 0.5) * 0.02); // +/- 1% change
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double high = Math.Max(open, close) * (1 + random.NextDouble() * 0.005); // Up to 0.5% higher
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double low = Math.Min(open, close) * (1 - random.NextDouble() * 0.005); // Up to 0.5% lower
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double volume = random.NextDouble() * 1000000; // Random volume between 0 and 1,000,000
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TBar bar = new TBar(DateTime.Now, open, high, low, close, volume);
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lastClose = close;
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EventArg<TBar> eventArg = new EventArg<TBar>(bar, true, true);
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OnBarPub(eventArg);
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}
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protected virtual void OnBarPub(EventArg<TBar> eventArg)
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{
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Pub?.Invoke(this, eventArg);
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}
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}
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public class Listener
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{
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public void Sub(object sender, EventArgs e)
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{
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if (e is EventArg<TValue> tValueArg) {
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Console.WriteLine($"TValue: {tValueArg.Data.Value:F2}");
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} else if (e is EventArg<TBar> tBarArg) {
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Console.WriteLine($"TBar: o={tBarArg.Data.Open:F2}, v={tBarArg.Data.Volume:F2}");
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} else {
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Console.WriteLine($"Unknown type: {e.GetType().Name}");
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}
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}
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}
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#!csharp
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Emitter em1 = new();
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BarEmitter em2 = new();
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Listener list = new();
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em1.Pub += list.Sub;
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em2.Pub += list.Sub;
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// Emit 5 random values
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for (int i = 0; i < 3; i++) {
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em1.Emit();
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em2.Emit();
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}
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#!csharp
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public abstract class Indicator {
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protected Indicator() {
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Init(); }
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public virtual void Init() {}
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public virtual TValue Calc(TValue input, bool isNew=true, bool isHot=true) {
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return new TValue();
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}
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}
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public class EMA : Indicator
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{
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private double lastEma, lastEmaCandidate, k;
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private int period, i;
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public EMA(int period) {
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Init(period);
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}
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public void Init(int period)
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{
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this.period = period;
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this.k = 2.0 / (period + 1);
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this.lastEma = this.lastEmaCandidate = double.NaN;
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this.i = 0;
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}
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public override TValue Calc(TValue input, bool isNew = true, bool isHot = true) {
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double ema;
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if (double.IsNaN(lastEma)) { lastEma = lastEmaCandidate = input.Value; }
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if (isNew) {
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lastEma = lastEmaCandidate;
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i++;
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}
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double kk = (i>=period)?k:(2.0/(i+1));
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ema = lastEma + kk * (input.Value - lastEma);
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lastEmaCandidate = ema;
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return new TValue(input.Timestamp, ema);
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}
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}
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#!csharp
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EMA ema = new(3);
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display(ema.Calc(100));
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display(ema.Calc(0,false));
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display(ema.Calc(100,false));
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display(ema.Calc(0));
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