mirror of
https://github.com/mihakralj/QuanTAlib.git
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GitVersion
GitVersion
This commit is contained in:
Miha Kralj
+135
-135
@@ -1,135 +1,135 @@
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namespace QuanTAlib;
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using System;
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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 _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) { for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); }}
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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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}
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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) => 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) { 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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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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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) => 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, 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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// 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 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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}
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namespace QuanTAlib;
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using System;
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/* <summary>
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||||
Abstract classes with all scaffolding required to build indicators.
|
||||
All abstracts support period, NaN, and all permutations of Add() methods.
|
||||
Indicator classess need to implement:
|
||||
- Chaining constructor (Abstract's constructor executes first)
|
||||
- Default Add(value) class
|
||||
- optional Add(series) bulk insert class (for optimization of historical analysis)
|
||||
|
||||
Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
|
||||
Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
|
||||
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 _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) { for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); }}
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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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}
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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) => 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) { 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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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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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) => 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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|
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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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|
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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 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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}
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+33
-33
@@ -1,34 +1,34 @@
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namespace QuanTAlib;
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using System;
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/* <summary>
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MAX - Maximum value in the given period in the series.
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If period = 0 => period = full length of the series
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</summary> */
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public class MAX_Series : Single_TSeries_Indicator
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{
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public MAX_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
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{
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if (base._data.Count > 0) { base.Add(base._data); }
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}
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private readonly System.Collections.Generic.List<double> _buffer = new();
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public override void Add((DateTime t, double v) TValue, bool update)
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{
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if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
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||||
else { this._buffer.Add(TValue.v); }
|
||||
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
|
||||
|
||||
double _max = TValue.v;
|
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for (int i = 0; i < this._buffer.Count; i++)
|
||||
{
|
||||
//_max = (this._buffer[i] > _max) ? this._buffer[i] : _max;
|
||||
_max = Math.Max(this._buffer[i], _max);
|
||||
}
|
||||
|
||||
var result = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _max);
|
||||
|
||||
base.Add(result, update);
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
MAX - Maximum value in the given period in the series.
|
||||
If period = 0 => period = full length of the series
|
||||
</summary> */
|
||||
|
||||
public class MAX_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public MAX_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();
|
||||
|
||||
public override void Add((DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||
else { this._buffer.Add(TValue.v); }
|
||||
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
|
||||
|
||||
double _max = TValue.v;
|
||||
for (int i = 0; i < this._buffer.Count; i++)
|
||||
{
|
||||
//_max = (this._buffer[i] > _max) ? this._buffer[i] : _max;
|
||||
_max = Math.Max(this._buffer[i], _max);
|
||||
}
|
||||
|
||||
var result = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _max);
|
||||
|
||||
base.Add(result, update);
|
||||
}
|
||||
}
|
||||
+33
-33
@@ -1,34 +1,34 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
MIN - Minimum value in the given period in the series.
|
||||
If period = 0 => period = full length of the series
|
||||
</summary> */
|
||||
|
||||
public class MIN_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public MIN_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();
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||
else { this._buffer.Add(TValue.v); }
|
||||
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
|
||||
|
||||
double _min = TValue.v;
|
||||
for (int i = 0; i < this._buffer.Count; i++)
|
||||
{
|
||||
//_min = (this._buffer[i] < _min) ? this._buffer[i] : _min;
|
||||
_min = Math.Min(this._buffer[i], _min);
|
||||
}
|
||||
|
||||
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _min);
|
||||
|
||||
base.Add(result, update);
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
MIN - Minimum value in the given period in the series.
|
||||
If period = 0 => period = full length of the series
|
||||
</summary> */
|
||||
|
||||
public class MIN_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public MIN_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();
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||
else { this._buffer.Add(TValue.v); }
|
||||
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
|
||||
|
||||
double _min = TValue.v;
|
||||
for (int i = 0; i < this._buffer.Count; i++)
|
||||
{
|
||||
//_min = (this._buffer[i] < _min) ? this._buffer[i] : _min;
|
||||
_min = Math.Min(this._buffer[i], _min);
|
||||
}
|
||||
|
||||
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _min);
|
||||
|
||||
base.Add(result, update);
|
||||
}
|
||||
}
|
||||
+132
-132
@@ -1,132 +1,132 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
TBars class - includes all series for common data used in indicators and other calculations.
|
||||
Has a bit limited overloading and casting (compared to TSeries)
|
||||
Includes Select(int) method to simplify choosing the most optimal data source for indicators
|
||||
Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4
|
||||
(it is 'cheaper' to calculate them once during data capture than each time during data analysis)
|
||||
|
||||
</summary> */
|
||||
|
||||
public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
|
||||
{
|
||||
private readonly TSeries _open = new();
|
||||
private readonly TSeries _high = new();
|
||||
private readonly TSeries _low = new();
|
||||
private readonly TSeries _close = new();
|
||||
private readonly TSeries _volume = new();
|
||||
private readonly TSeries _hl2 = new();
|
||||
private readonly TSeries _oc2 = new();
|
||||
private readonly TSeries _ohl3 = new();
|
||||
private readonly TSeries _hlc3 = new();
|
||||
private readonly TSeries _ohlc4 = new();
|
||||
private readonly TSeries _hlcc4 = new();
|
||||
|
||||
public TSeries Open => this._open;
|
||||
public TSeries High => this._high;
|
||||
public TSeries Low => this._low;
|
||||
public TSeries Close => this._close;
|
||||
public TSeries Volume => this._volume;
|
||||
public TSeries HL2 => this._hl2;
|
||||
public TSeries OC2 => this._oc2;
|
||||
public TSeries OHL3 => this._ohl3;
|
||||
public TSeries HLC3 => this._hlc3;
|
||||
public TSeries OHLC4 => this._ohlc4;
|
||||
public TSeries HLCC4 => this._hlcc4;
|
||||
|
||||
public TBars Tail(int count=10) {
|
||||
TBars outBars = new();
|
||||
if (count > this.Count) { count = this.Count; }
|
||||
for (int i = this.Count-count; i<this.Count; i++) { outBars.Add(this[i]); }
|
||||
return outBars;
|
||||
}
|
||||
public TSeries Select(int source)
|
||||
{
|
||||
return source switch
|
||||
{
|
||||
0 => _open,
|
||||
1 => _high,
|
||||
2 => _low,
|
||||
3 => _close,
|
||||
4 => _hl2,
|
||||
5 => _oc2,
|
||||
6 => _ohl3,
|
||||
7 => _hlc3,
|
||||
8 => _ohlc4,
|
||||
_ => _hlcc4,
|
||||
};
|
||||
}
|
||||
public static string SelectStr(int source)
|
||||
{
|
||||
return source switch
|
||||
{
|
||||
0 => "Open",
|
||||
1 => "High",
|
||||
2 => "Low",
|
||||
3 => "Close",
|
||||
4 => "HL2",
|
||||
5 => "OC2",
|
||||
6 => "OHL3",
|
||||
7 => "Typical",
|
||||
8 => "Mean",
|
||||
_ => "Weighted",
|
||||
};
|
||||
}
|
||||
|
||||
public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
|
||||
=> Add(i.t, i.o, i.h, i.l, i.c, i.v, update);
|
||||
|
||||
public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false)
|
||||
=> Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update);
|
||||
|
||||
public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false)
|
||||
{
|
||||
if (update)
|
||||
{
|
||||
this[this.Count - 1] = (t, o, h, l, c, v);
|
||||
_open[_open.Count - 1] = (t, o);
|
||||
_high[_high.Count - 1] = (t, h);
|
||||
_low[_low.Count - 1] = (t, l);
|
||||
_close[_close.Count - 1] = (t, c);
|
||||
_volume[_volume.Count - 1] = (t, v);
|
||||
_hl2[_hl2.Count - 1] = (t, (h + l) * 0.5);
|
||||
_oc2[_oc2.Count - 1] = (t, (o + c) * 0.5);
|
||||
_ohl3[_ohl3.Count - 1] = (t, (o + h + l) * 0.333333333333333);
|
||||
_hlc3[_hlc3.Count - 1] = (t, (h + l + c) * 0.333333333333333);
|
||||
_ohlc4[_ohlc4.Count - 1] = (t, (o + h + l + c) * 0.25);
|
||||
_hlcc4[_hlcc4.Count - 1] = (t, (h + l + c + c) * 0.25);
|
||||
}
|
||||
else
|
||||
{
|
||||
base.Add((t, o, h, l, c, v));
|
||||
_open.Add((t, o));
|
||||
_high.Add((t, h));
|
||||
_low.Add((t, l));
|
||||
_close.Add((t, c));
|
||||
_volume.Add((t, v));
|
||||
_hl2.Add((t, (h + l) * 0.5));
|
||||
_oc2.Add((t, (o + c) * 0.5));
|
||||
_ohl3.Add((t, (o + h + l) * 0.333333333333333));
|
||||
_hlc3.Add((t, (h + l + c) * 0.333333333333333));
|
||||
_ohlc4.Add((t, (o + h + l + c) * 0.25));
|
||||
_hlcc4.Add((t, (h + l + c + c) * 0.25));
|
||||
}
|
||||
this.OnEvent(update);
|
||||
}
|
||||
|
||||
// delegate used by event handler + event handler (Pub == publisher)
|
||||
public delegate
|
||||
void NewDataEventHandler(object source, TSeriesEventArgs args);
|
||||
public event NewDataEventHandler Pub;
|
||||
|
||||
// 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 });
|
||||
}
|
||||
}
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
TBars class - includes all series for common data used in indicators and other calculations.
|
||||
Has a bit limited overloading and casting (compared to TSeries)
|
||||
Includes Select(int) method to simplify choosing the most optimal data source for indicators
|
||||
Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4
|
||||
(it is 'cheaper' to calculate them once during data capture than each time during data analysis)
|
||||
|
||||
</summary> */
|
||||
|
||||
public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
|
||||
{
|
||||
private readonly TSeries _open = new();
|
||||
private readonly TSeries _high = new();
|
||||
private readonly TSeries _low = new();
|
||||
private readonly TSeries _close = new();
|
||||
private readonly TSeries _volume = new();
|
||||
private readonly TSeries _hl2 = new();
|
||||
private readonly TSeries _oc2 = new();
|
||||
private readonly TSeries _ohl3 = new();
|
||||
private readonly TSeries _hlc3 = new();
|
||||
private readonly TSeries _ohlc4 = new();
|
||||
private readonly TSeries _hlcc4 = new();
|
||||
|
||||
public TSeries Open => this._open;
|
||||
public TSeries High => this._high;
|
||||
public TSeries Low => this._low;
|
||||
public TSeries Close => this._close;
|
||||
public TSeries Volume => this._volume;
|
||||
public TSeries HL2 => this._hl2;
|
||||
public TSeries OC2 => this._oc2;
|
||||
public TSeries OHL3 => this._ohl3;
|
||||
public TSeries HLC3 => this._hlc3;
|
||||
public TSeries OHLC4 => this._ohlc4;
|
||||
public TSeries HLCC4 => this._hlcc4;
|
||||
|
||||
public TBars Tail(int count=10) {
|
||||
TBars outBars = new();
|
||||
if (count > this.Count) { count = this.Count; }
|
||||
for (int i = this.Count-count; i<this.Count; i++) { outBars.Add(this[i]); }
|
||||
return outBars;
|
||||
}
|
||||
public TSeries Select(int source)
|
||||
{
|
||||
return source switch
|
||||
{
|
||||
0 => _open,
|
||||
1 => _high,
|
||||
2 => _low,
|
||||
3 => _close,
|
||||
4 => _hl2,
|
||||
5 => _oc2,
|
||||
6 => _ohl3,
|
||||
7 => _hlc3,
|
||||
8 => _ohlc4,
|
||||
_ => _hlcc4,
|
||||
};
|
||||
}
|
||||
public static string SelectStr(int source)
|
||||
{
|
||||
return source switch
|
||||
{
|
||||
0 => "Open",
|
||||
1 => "High",
|
||||
2 => "Low",
|
||||
3 => "Close",
|
||||
4 => "HL2",
|
||||
5 => "OC2",
|
||||
6 => "OHL3",
|
||||
7 => "Typical",
|
||||
8 => "Mean",
|
||||
_ => "Weighted",
|
||||
};
|
||||
}
|
||||
|
||||
public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
|
||||
=> Add(i.t, i.o, i.h, i.l, i.c, i.v, update);
|
||||
|
||||
public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false)
|
||||
=> Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update);
|
||||
|
||||
public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false)
|
||||
{
|
||||
if (update)
|
||||
{
|
||||
this[this.Count - 1] = (t, o, h, l, c, v);
|
||||
_open[_open.Count - 1] = (t, o);
|
||||
_high[_high.Count - 1] = (t, h);
|
||||
_low[_low.Count - 1] = (t, l);
|
||||
_close[_close.Count - 1] = (t, c);
|
||||
_volume[_volume.Count - 1] = (t, v);
|
||||
_hl2[_hl2.Count - 1] = (t, (h + l) * 0.5);
|
||||
_oc2[_oc2.Count - 1] = (t, (o + c) * 0.5);
|
||||
_ohl3[_ohl3.Count - 1] = (t, (o + h + l) * 0.333333333333333);
|
||||
_hlc3[_hlc3.Count - 1] = (t, (h + l + c) * 0.333333333333333);
|
||||
_ohlc4[_ohlc4.Count - 1] = (t, (o + h + l + c) * 0.25);
|
||||
_hlcc4[_hlcc4.Count - 1] = (t, (h + l + c + c) * 0.25);
|
||||
}
|
||||
else
|
||||
{
|
||||
base.Add((t, o, h, l, c, v));
|
||||
_open.Add((t, o));
|
||||
_high.Add((t, h));
|
||||
_low.Add((t, l));
|
||||
_close.Add((t, c));
|
||||
_volume.Add((t, v));
|
||||
_hl2.Add((t, (h + l) * 0.5));
|
||||
_oc2.Add((t, (o + c) * 0.5));
|
||||
_ohl3.Add((t, (o + h + l) * 0.333333333333333));
|
||||
_hlc3.Add((t, (h + l + c) * 0.333333333333333));
|
||||
_ohlc4.Add((t, (o + h + l + c) * 0.25));
|
||||
_hlcc4.Add((t, (h + l + c + c) * 0.25));
|
||||
}
|
||||
this.OnEvent(update);
|
||||
}
|
||||
|
||||
// delegate used by event handler + event handler (Pub == publisher)
|
||||
public delegate
|
||||
void NewDataEventHandler(object source, TSeriesEventArgs args);
|
||||
public event NewDataEventHandler Pub;
|
||||
|
||||
// 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 });
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user