mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 02:28:05 +00:00
feat: Add Prime method to various indicators for initializing state with historical data
- Implemented Prime method in Vel, Ao, Apo, Frama, Adl, Adosc, Aobv, Cmf, Efi, Eom, Iii, Kvo, Mfi, Nvi, Obv, Pvd, Pvi, Pvo, Pvr, Pvt, Tvi, Twap, Va, Vf, Vo, Vroc, Vwad, Vwap, and Vwma classes. - The Prime method resets the indicator state and processes the provided historical bar data to initialize the indicator. - Added warmup period property to Adl and Wad classes to define the minimum number of data points required for validity. - Updated benchmark tests to use Batch methods for performance evaluation.
This commit is contained in:
Miha Kralj
@@ -549,4 +549,355 @@ public class ApchannelTests
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}
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#endregion
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#region Default Constructor
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[Fact]
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public void Constructor_DefaultAlpha_UsesPointTwo()
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{
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var apc = new Apchannel(); // default alpha = 0.2
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Assert.Equal(15, apc.WarmupPeriod); // ceil(3.0 / 0.2) = 15
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Assert.Contains("0.20", apc.Name, StringComparison.Ordinal);
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}
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#endregion
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#region Dispose Tests
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[Fact]
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public void Dispose_UnsubscribesFromSource()
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{
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var source = new TBarSeries();
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var apc = new Apchannel(source, 0.2);
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var time = DateTime.UtcNow;
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// Verify subscription works
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source.Add(new TBar(time, 100, 105, 95, 100, 1000));
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Assert.NotEqual(0, apc.Last.Value);
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double valueBeforeDispose = apc.Last.Value;
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// Dispose should unsubscribe
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apc.Dispose();
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// Adding to source after dispose should NOT update the indicator
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source.Add(new TBar(time.AddMinutes(1), 200, 210, 190, 200, 5000));
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Assert.Equal(valueBeforeDispose, apc.Last.Value);
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}
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[Fact]
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public void Dispose_DoubleDispose_DoesNotThrow()
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{
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var source = new TBarSeries();
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var apc = new Apchannel(source, 0.2);
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apc.Dispose();
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var ex = Record.Exception(() => apc.Dispose());
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Assert.Null(ex);
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}
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[Fact]
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public void Dispose_WithoutSource_DoesNotThrow()
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{
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var apc = new Apchannel(0.2);
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var ex = Record.Exception(() => apc.Dispose());
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Assert.Null(ex);
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}
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#endregion
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#region Update(TBarSeries) Tests
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[Fact]
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public void UpdateTBarSeries_ReturnsTSeries()
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var apc = new Apchannel(0.2);
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var results = apc.Update(bars);
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Assert.Equal(30, results.Count);
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Assert.True(apc.IsHot); // 30 > WarmupPeriod(15)
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// Verify all results are finite
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for (int i = 0; i < results.Count; i++)
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{
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Assert.True(double.IsFinite(results[i].Value));
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}
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}
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[Fact]
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public void UpdateTBarSeries_MatchesIterative()
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Batch via Update(TBarSeries)
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var apcBatch = new Apchannel(0.3);
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var batchResults = apcBatch.Update(bars);
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// Iterative — fresh instance so both start from same state
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var apcIter = new Apchannel(0.3);
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for (int i = 0; i < bars.Count; i++)
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{
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var val = apcIter.Add(bars[i]);
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Assert.Equal(val.Value, batchResults[i].Value, Tolerance);
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}
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}
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[Fact]
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public void UpdateTBarSeries_EmptySource_ReturnsEmpty()
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{
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var apc = new Apchannel(0.2);
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var emptyBars = new TBarSeries();
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var results = apc.Update(emptyBars);
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Assert.Empty(results);
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}
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#endregion
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#region Update(TValue) Tests
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[Fact]
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public void UpdateTValue_UsesValueForBothHighAndLow()
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{
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var apc = new Apchannel(0.5);
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var time = DateTime.UtcNow;
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// When using TValue, value is used for both high and low
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var result = apc.Update(new TValue(time.Ticks, 100.0));
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// Upper and lower bands should equal the value (first bar)
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Assert.Equal(100.0, apc.UpperBand, Tolerance);
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Assert.Equal(100.0, apc.LowerBand, Tolerance);
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Assert.Equal(100.0, result.Value, Tolerance); // mid = (100+100)/2
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// Second value
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var result2 = apc.Update(new TValue(time.AddMinutes(1).Ticks, 110.0));
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// EMA: 0.5 * 100 + 0.5 * 110 = 105
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Assert.Equal(105.0, apc.UpperBand, Tolerance);
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Assert.Equal(105.0, apc.LowerBand, Tolerance);
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Assert.Equal(105.0, result2.Value, Tolerance);
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}
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[Fact]
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public void UpdateTValue_IsNew_False_RestoresState()
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{
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var apc = new Apchannel(0.2);
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var time = DateTime.UtcNow;
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apc.Update(new TValue(time.Ticks, 100.0), isNew: true);
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double valueAfterOne = apc.Last.Value;
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apc.Update(new TValue(time.AddMinutes(1).Ticks, 110.0), isNew: true);
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double valueAfterTwo = apc.Last.Value;
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Assert.NotEqual(valueAfterOne, valueAfterTwo);
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// Correction with same value restores prior state then reapplies
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apc.Update(new TValue(time.AddMinutes(1).Ticks, 110.0), isNew: false);
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double valueAfterSameCorrection = apc.Last.Value;
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// Correction with different value produces different result
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apc.Update(new TValue(time.AddMinutes(1).Ticks, 120.0), isNew: false);
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double valueAfterDifferent = apc.Last.Value;
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Assert.NotEqual(valueAfterSameCorrection, valueAfterDifferent);
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}
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#endregion
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#region Update(TSeries) Tests
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[Fact]
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public void UpdateTSeries_ReturnsTSeries()
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{
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var times = new List<long>();
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var values = new List<double>();
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var time = DateTime.UtcNow;
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for (int i = 0; i < 30; i++)
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{
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times.Add(time.AddMinutes(i).Ticks);
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values.Add(100.0 + i);
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}
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var source = new TSeries(times, values);
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var apc = new Apchannel(0.2);
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var results = apc.Update(source);
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Assert.Equal(30, results.Count);
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Assert.True(apc.IsHot);
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for (int i = 0; i < results.Count; i++)
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{
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Assert.True(double.IsFinite(results[i].Value));
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}
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}
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[Fact]
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public void UpdateTSeries_EmptySource_ReturnsEmpty()
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{
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var apc = new Apchannel(0.2);
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var emptySource = new TSeries([], []);
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var results = apc.Update(emptySource);
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Assert.Empty(results);
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}
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[Fact]
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public void UpdateTSeries_MatchesUpdateTValue()
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{
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var times = new List<long>();
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var values = new List<double>();
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var time = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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times.Add(time.AddMinutes(i).Ticks);
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values.Add(100.0 + (i * 2.5));
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}
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var source = new TSeries(times, values);
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// Batch via Update(TSeries)
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var apcBatch = new Apchannel(0.3);
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var batchResults = apcBatch.Update(source);
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// Iterative via Update(TValue)
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var apcIter = new Apchannel(0.3);
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for (int i = 0; i < source.Count; i++)
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{
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var val = apcIter.Update(source[i], isNew: true);
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Assert.Equal(val.Value, batchResults[i].Value, Tolerance);
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}
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}
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#endregion
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#region Prime Tests
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[Fact]
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public void Prime_SetsIndicatorToHot()
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{
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var apc = new Apchannel(0.2); // WarmupPeriod = 15
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double[] data = new double[20];
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for (int i = 0; i < data.Length; i++)
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{
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data[i] = 100.0 + i;
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}
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Assert.False(apc.IsHot);
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apc.Prime(data);
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Assert.True(apc.IsHot);
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Assert.True(double.IsFinite(apc.Last.Value));
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}
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[Fact]
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public void Prime_EmptySpan_DoesNotThrow()
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{
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var apc = new Apchannel(0.2);
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var ex = Record.Exception(() => apc.Prime(ReadOnlySpan<double>.Empty));
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Assert.Null(ex);
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Assert.False(apc.IsHot);
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}
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[Fact]
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public void Prime_ResetsBeforeProcessing()
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{
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var apc = new Apchannel(0.5);
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var time = DateTime.UtcNow;
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// Feed some bars first
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apc.Add(new TBar(time, 200, 210, 190, 200, 1000));
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apc.Add(new TBar(time.AddMinutes(1), 205, 215, 195, 205, 1000));
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double[] primeData = [100, 101, 102, 103, 104, 105, 106, 107, 108, 109];
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apc.Prime(primeData);
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// After Prime, upper=lower (since TValue uses same value for both)
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// and bands should track primeData, not the old bars
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Assert.Equal(apc.UpperBand, apc.LowerBand, Tolerance);
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Assert.True(apc.Last.Value < 150); // Should be near primeData values, not 200
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}
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[Fact]
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public void Prime_WithStep_UsesCorrectTimeSpacing()
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{
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var apc = new Apchannel(0.2);
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double[] data = [100, 102, 104, 106, 108];
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var step = TimeSpan.FromHours(1);
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apc.Prime(data, step);
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Assert.True(double.IsFinite(apc.Last.Value));
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// Verify that the time in Last reflects the step spacing
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Assert.True(apc.Last.Time > 0);
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}
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[Fact]
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public void Prime_ThenUpdate_ContinuesCorrectly()
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{
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var apc = new Apchannel(0.2);
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// Prime with 20 values to reach IsHot
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double[] primeData = new double[20];
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for (int i = 0; i < primeData.Length; i++)
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{
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primeData[i] = 100.0 + i;
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}
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apc.Prime(primeData);
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Assert.True(apc.IsHot);
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double valueAfterPrime = apc.Last.Value;
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// Continue with Update — should build on primed state
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var time = DateTime.UtcNow;
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apc.Add(new TBar(time, 125, 130, 120, 125, 1000));
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Assert.NotEqual(valueAfterPrime, apc.Last.Value);
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Assert.True(double.IsFinite(apc.Last.Value));
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Assert.True(double.IsFinite(apc.UpperBand));
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Assert.True(double.IsFinite(apc.LowerBand));
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}
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#endregion
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#region Batch(Span) Edge Cases
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[Fact]
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public void SpanBatch_EmptyArrays_DoesNotThrow()
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{
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double[] high = [];
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double[] low = [];
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double[] upper = [];
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double[] lower = [];
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var ex = Record.Exception(() => Apchannel.Batch(high, low, upper, lower, 0.2));
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Assert.Null(ex);
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}
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[Fact]
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public void SpanBatch_SingleElement_ReturnsInputValues()
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{
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double[] high = [110];
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double[] low = [90];
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double[] upper = new double[1];
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double[] lower = new double[1];
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Apchannel.Batch(high, low, upper, lower, 0.2);
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Assert.Equal(110, upper[0], Tolerance);
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Assert.Equal(90, lower[0], Tolerance);
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}
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#endregion
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}
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