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normalization of methods

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This commit is contained in:
Miha Kralj
2026-02-10 21:33:16 -08:00
parent 915d7a007b
commit 6d6259a47d
527 changed files with 10525 additions and 2123 deletions
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lib/channels/abber/Abber.cs
+24 -3
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@@ -30,13 +30,15 @@ namespace QuanTAlib;
/// Pine Script implementation: https://github.com/mihakralj/pinescript/blob/main/indicators/channels/abber.pine
/// </remarks>
[SkipLocalsInit]
public sealed class Abber : ITValuePublisher
public sealed class Abber : ITValuePublisher, IDisposable
{
private readonly int _period;
private readonly double _multiplier;
private readonly RingBuffer _sourceBuffer;
private readonly RingBuffer _deviationBuffer;
private readonly TValuePublishedHandler _handler;
private ITValuePublisher? _source;
private bool _disposed;
private const int ResyncInterval = 1000;
@@ -116,8 +118,9 @@ public sealed class Abber : ITValuePublisher
/// </summary>
public Abber(TSeries source, int period, double multiplier = 2.0) : this(period, multiplier)
{
_source = source ?? throw new ArgumentNullException(nameof(source));
Prime(source);
source.Pub += _handler;
_source.Pub += _handler;
}
/// <summary>
@@ -125,7 +128,8 @@ public sealed class Abber : ITValuePublisher
/// </summary>
public Abber(ITValuePublisher source, int period, double multiplier = 2.0) : this(period, multiplier)
{
source.Pub += _handler;
_source = source ?? throw new ArgumentNullException(nameof(source));
_source.Pub += _handler;
}
private void HandleValue(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
@@ -673,4 +677,21 @@ public sealed class Abber : ITValuePublisher
var results = abber.Update(source);
return (results, abber);
}
/// <summary>
/// Disposes the Abber instance, unsubscribing from the source publisher.
/// This method is idempotent.
/// </summary>
public void Dispose()
{
if (!_disposed)
{
if (_source != null)
{
_source.Pub -= _handler;
_source = null;
}
_disposed = true;
}
}
}
lib/channels/apchannel/apchannel.Tests.cs
+8 -8
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@@ -347,22 +347,22 @@ public class ApchannelTests
// Alpha must be > 0 and <= 1
Assert.Throws<ArgumentOutOfRangeException>(() =>
Apchannel.Calculate(high, low, upperBand, lowerBand, 0.0));
Apchannel.Batch(high, low, upperBand, lowerBand, 0.0));
Assert.Throws<ArgumentOutOfRangeException>(() =>
Apchannel.Calculate(high, low, upperBand, lowerBand, 1.5));
Apchannel.Batch(high, low, upperBand, lowerBand, 1.5));
// Arrays must be same length
double[] wrongSizeLow = new double[3];
Assert.Throws<ArgumentException>(() =>
Apchannel.Calculate(high, wrongSizeLow, upperBand, lowerBand, 0.2));
Apchannel.Batch(high, wrongSizeLow, upperBand, lowerBand, 0.2));
double[] wrongSizeUpper = new double[3];
Assert.Throws<ArgumentException>(() =>
Apchannel.Calculate(high, low, wrongSizeUpper, lowerBand, 0.2));
Apchannel.Batch(high, low, wrongSizeUpper, lowerBand, 0.2));
double[] wrongSizeLower = new double[3];
Assert.Throws<ArgumentException>(() =>
Apchannel.Calculate(high, low, upperBand, wrongSizeLower, 0.2));
Apchannel.Batch(high, low, upperBand, wrongSizeLower, 0.2));
}
[Fact]
@@ -377,7 +377,7 @@ public class ApchannelTests
double[] lowerBandSpan = new double[100];
// Calculate using span
Apchannel.Calculate(high, low, upperBandSpan, lowerBandSpan, 0.2);
Apchannel.Batch(high, low, upperBandSpan, lowerBandSpan, 0.2);
// Calculate iteratively
var apc = new Apchannel(0.2);
@@ -407,7 +407,7 @@ public class ApchannelTests
double[] upperBand = new double[5];
double[] lowerBand = new double[5];
Apchannel.Calculate(high, low, upperBand, lowerBand, 0.2);
Apchannel.Batch(high, low, upperBand, lowerBand, 0.2);
foreach (var val in upperBand)
{
@@ -437,7 +437,7 @@ public class ApchannelTests
}
// Warm up
Apchannel.Calculate(high, low, upperBand, lowerBand, 0.2);
Apchannel.Batch(high, low, upperBand, lowerBand, 0.2);
// Verify method completes without OOM or stack overflow
Assert.True(double.IsFinite(upperBand[^1]));
lib/channels/apchannel/apchannel.Validation.Tests.cs
+3 -3
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@@ -66,7 +66,7 @@ public sealed class ApchannelValidationTests : IDisposable
double[] spanUpper = new double[bars.Count];
double[] spanLower = new double[bars.Count];
Apchannel.Calculate(high, low, spanUpper, spanLower, alpha);
Apchannel.Batch(high, low, spanUpper, spanLower, alpha);
// 3. Batch Mode (Calculate)
var (batchResults, _) = Apchannel.Calculate(bars, alpha);
@@ -156,7 +156,7 @@ public sealed class ApchannelValidationTests : IDisposable
double[] apchannelUpper = new double[high.Length];
double[] apchannelLower = new double[low.Length];
Apchannel.Calculate(high, low, apchannelUpper, apchannelLower, alpha);
Apchannel.Batch(high, low, apchannelUpper, apchannelLower, alpha);
// Calculate using Skender EMA for comparison
var skenderQuotesForHigh = bars.Select(b => new Quote
@@ -333,7 +333,7 @@ public sealed class ApchannelValidationTests : IDisposable
double[] low = bars.Select(b => b.Low).ToArray();
double[] spanUpper = new double[size];
double[] spanLower = new double[size];
Apchannel.Calculate(high, low, spanUpper, spanLower, alpha);
Apchannel.Batch(high, low, spanUpper, spanLower, alpha);
// Compare last values
Assert.Equal(streamingApc.UpperBand, spanUpper[^1], ValidationHelper.SkenderTolerance);
lib/channels/apchannel/apchannel.cs
+1 -1
View File
@@ -283,7 +283,7 @@ public sealed class Apchannel : AbstractBase
/// Calculates the Adaptive Price Channel using span-based batch processing.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> sourceHigh,
ReadOnlySpan<double> sourceLow,
Span<double> upperBand,
lib/channels/bbands/Bbands.Tests.cs
+6 -6
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@@ -214,7 +214,7 @@ public class BbandsTests
TSeries source = bars.Close;
// Act
TSeries result = Bbands.Calculate(source, period: 5, multiplier: 2.0);
TSeries result = Bbands.Batch(source, period: 5, multiplier: 2.0);
// Assert
Assert.Equal(source.Count, result.Count);
@@ -236,9 +236,9 @@ public class BbandsTests
double[] middleArray = new double[source.Count];
double[] upperArray = new double[source.Count];
double[] lowerArray = new double[source.Count];
Bbands.Calculate(sourceArray.AsSpan(), middleArray, upperArray, lowerArray, period, multiplier);
Bbands.Batch(sourceArray.AsSpan(), middleArray, upperArray, lowerArray, period, multiplier);
TSeries seriesResult = Bbands.Calculate(source, period, multiplier);
TSeries seriesResult = Bbands.Batch(source, period, multiplier);
// Assert - Compare last 10 values
for (int i = source.Count - 10; i < source.Count; i++)
@@ -258,7 +258,7 @@ public class BbandsTests
// Act & Assert
ArgumentException exception = Assert.Throws<ArgumentException>(
() => Bbands.Calculate(sourceArr.AsSpan(), middleArr.AsSpan(), upperArr.AsSpan(), lowerArr.AsSpan()));
() => Bbands.Batch(sourceArr.AsSpan(), middleArr.AsSpan(), upperArr.AsSpan(), lowerArr.AsSpan()));
Assert.Equal("source", exception.ParamName);
}
@@ -305,14 +305,14 @@ public class BbandsTests
}
// Batch
TSeries batchResult = Bbands.Calculate(source, period, multiplier);
TSeries batchResult = Bbands.Batch(source, period, multiplier);
// Span - Copy arrays before using to avoid ref local lambda issue
double[] sourceArray = source.Values.ToArray();
double[] middleArray = new double[source.Count];
double[] upperArray = new double[source.Count];
double[] lowerArray = new double[source.Count];
Bbands.Calculate(sourceArray.AsSpan(), middleArray, upperArray, lowerArray, period, multiplier);
Bbands.Batch(sourceArray.AsSpan(), middleArray, upperArray, lowerArray, period, multiplier);
// Assert - Compare last 50 values (streaming only has last value)
Assert.Equal(batchResult[^1].Value, streamingBbands.Middle.Value, precision: 8);
lib/channels/bbands/Bbands.Validation.Tests.cs
+3 -3
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@@ -100,7 +100,7 @@ public sealed class BbandsValidationTests : IDisposable
double[] qMiddle = new double[sourceData.Length];
double[] qUpper = new double[sourceData.Length];
double[] qLower = new double[sourceData.Length];
Bbands.Calculate(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
Bbands.Batch(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
// Calculate Skender Bollinger Bands
var sResult = _testData.SkenderQuotes.GetBollingerBands(period, multiplier).ToList();
@@ -215,7 +215,7 @@ public sealed class BbandsValidationTests : IDisposable
double[] qMiddle = new double[sourceData.Length];
double[] qUpper = new double[sourceData.Length];
double[] qLower = new double[sourceData.Length];
Bbands.Calculate(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
Bbands.Batch(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
// Calculate TA-Lib Bollinger Bands
var retCode = Functions.Bbands<double>(
@@ -321,7 +321,7 @@ public sealed class BbandsValidationTests : IDisposable
double[] qMiddle = new double[sourceData.Length];
double[] qUpper = new double[sourceData.Length];
double[] qLower = new double[sourceData.Length];
Bbands.Calculate(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
Bbands.Batch(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
// Calculate Tulip Bollinger Bands
var bbandsIndicator = Tulip.Indicators.bbands;
lib/channels/bbands/Bbands.cs
+11 -3
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@@ -181,7 +181,7 @@ public sealed class Bbands : AbstractBase
Span<double> upperSpan = upperRented.AsSpan(0, len);
Span<double> lowerSpan = lowerRented.AsSpan(0, len);
Calculate(sourceSpan, middleSpan, upperSpan, lowerSpan, _period, _multiplier);
Batch(sourceSpan, middleSpan, upperSpan, lowerSpan, _period, _multiplier);
for (int i = 0; i < len; i++)
{
@@ -230,7 +230,7 @@ public sealed class Bbands : AbstractBase
/// <summary>
/// Calculates Bollinger Bands for the entire series and returns the middle band series.
/// </summary>
public static TSeries Calculate(TSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
public static TSeries Batch(TSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
{
Bbands bbands = new(period, multiplier);
return bbands.Update(source);
@@ -239,7 +239,7 @@ public sealed class Bbands : AbstractBase
/// <summary>
/// Calculates Bollinger Bands across all input values using SIMD-optimized operations where possible.
/// </summary>
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> source,
Span<double> middle,
Span<double> upper,
@@ -360,4 +360,12 @@ public sealed class Bbands : AbstractBase
}
}
}
public static (TSeries Results, Bbands Indicator) Calculate(TSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
{
var indicator = new Bbands(period, multiplier);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}
lib/channels/dchannel/Dchannel.cs
+2 -2
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@@ -269,8 +269,8 @@ public sealed class Dchannel : ITValuePublisher
try
{
QuanTAlib.Highest.Calculate(high, top.AsSpan(0, len), period);
QuanTAlib.Lowest.Calculate(low, bot.AsSpan(0, len), period);
QuanTAlib.Highest.Batch(high, top.AsSpan(0, len), period);
QuanTAlib.Lowest.Batch(low, bot.AsSpan(0, len), period);
for (int i = 0; i < len; i++)
{
lib/channels/decaychannel/Decaychannel.cs
+2 -2
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@@ -428,8 +428,8 @@ public sealed class Decaychannel : ITValuePublisher
try
{
QuanTAlib.Highest.Calculate(high, rawMaxArr.AsSpan(0, len), period);
QuanTAlib.Lowest.Calculate(low, rawMinArr.AsSpan(0, len), period);
QuanTAlib.Highest.Batch(high, rawMaxArr.AsSpan(0, len), period);
QuanTAlib.Lowest.Batch(low, rawMinArr.AsSpan(0, len), period);
double currentMax = double.NaN;
double currentMin = double.NaN;
lib/channels/jbands/Jbands.Tests.cs
+4 -4
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@@ -202,11 +202,11 @@ public class JbandsTests
double[] shortOut = new double[2];
Assert.Throws<ArgumentException>(() =>
Jbands.Calculate(source.AsSpan(), shortOut.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14));
Jbands.Batch(source.AsSpan(), shortOut.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14));
Assert.Throws<ArgumentException>(() =>
Jbands.Calculate(source.AsSpan(), middle.AsSpan(), shortOut.AsSpan(), lower.AsSpan(), 14));
Jbands.Batch(source.AsSpan(), middle.AsSpan(), shortOut.AsSpan(), lower.AsSpan(), 14));
Assert.Throws<ArgumentException>(() =>
Jbands.Calculate(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), shortOut.AsSpan(), 14));
Jbands.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), shortOut.AsSpan(), 14));
}
[Fact]
@@ -223,7 +223,7 @@ public class JbandsTests
double[] upper = new double[100];
double[] lower = new double[100];
Jbands.Calculate(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14);
Jbands.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14);
var jStream = new Jbands(14);
for (int i = 0; i < source.Length; i++)
lib/channels/jbands/Jbands.Validation.Tests.cs
+3 -3
View File
@@ -103,7 +103,7 @@ public class JbandsValidationTests
double[] upper = new double[200];
double[] lower = new double[200];
Jbands.Calculate(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14);
Jbands.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14);
var jStream = new Jbands(14);
for (int i = 0; i < source.Length; i++)
@@ -144,7 +144,7 @@ public class JbandsValidationTests
double[] middleSpan = new double[150];
double[] upperSpan = new double[150];
double[] lowerSpan = new double[150];
Jbands.Calculate(rawValues.AsSpan(), middleSpan.AsSpan(), upperSpan.AsSpan(), lowerSpan.AsSpan(), 14, 25, 0.45);
Jbands.Batch(rawValues.AsSpan(), middleSpan.AsSpan(), upperSpan.AsSpan(), lowerSpan.AsSpan(), 14, 25, 0.45);
// Mode 4: Event-based
var jEvent = new Jbands(14, 25, 0.45);
@@ -240,7 +240,7 @@ public class JbandsValidationTests
double[] middle = new double[50];
double[] upper = new double[50];
double[] lower = new double[50];
Jbands.Calculate(rawValues.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14);
Jbands.Batch(rawValues.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 14);
// After warmup, values should be stable and match
for (int i = warmupPeriod; i < rawValues.Length; i++)
lib/channels/jbands/Jbands.cs
+1 -1
View File
@@ -386,7 +386,7 @@ public sealed class Jbands : ITValuePublisher, IDisposable
return jbands.Update(source);
}
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> source,
Span<double> middle,
Span<double> upper,
lib/channels/mmchannel/Mmchannel.cs
+2 -2
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@@ -252,8 +252,8 @@ public sealed class Mmchannel : ITValuePublisher
return;
}
Highest.Calculate(high, upper, period);
Lowest.Calculate(low, lower, period);
Highest.Batch(high, upper, period);
Lowest.Batch(low, lower, period);
}
public static (TSeries Upper, TSeries Lower) Batch(TBarSeries source, int period)
lib/channels/pchannel/Pchannel.cs
+2 -2
View File
@@ -376,8 +376,8 @@ public sealed class Pchannel : ITValuePublisher
try
{
Highest.Calculate(high, top.AsSpan(0, len), period);
Lowest.Calculate(low, bot.AsSpan(0, len), period);
Highest.Batch(high, top.AsSpan(0, len), period);
Lowest.Batch(low, bot.AsSpan(0, len), period);
for (int i = 0; i < len; i++)
{
lib/channels/stbands/Stbands.Tests.cs
+5 -5
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@@ -279,7 +279,7 @@ public class StbandsTests
TBarSeries bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
// Act
TSeries result = Stbands.Calculate(bars, period: 5, multiplier: 2.0);
TSeries result = Stbands.Batch(bars, period: 5, multiplier: 2.0);
// Assert
Assert.Equal(bars.Count, result.Count);
@@ -302,7 +302,7 @@ public class StbandsTests
double[] trend = new double[bars.Count];
// Act
Stbands.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(), upper.AsSpan(), lower.AsSpan(), trend.AsSpan(), period, multiplier);
Stbands.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(), upper.AsSpan(), lower.AsSpan(), trend.AsSpan(), period, multiplier);
// Assert
for (int i = 0; i < bars.Count; i++)
@@ -327,7 +327,7 @@ public class StbandsTests
// Act & Assert
ArgumentException exception = Assert.Throws<ArgumentException>(
() => Stbands.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(), upper.AsSpan(), lower.AsSpan(), trend.AsSpan()));
() => Stbands.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(), upper.AsSpan(), lower.AsSpan(), trend.AsSpan()));
Assert.Equal("high", exception.ParamName);
}
@@ -348,7 +348,7 @@ public class StbandsTests
}
// Batch
TSeries batchResult = Stbands.Calculate(bars, period, multiplier);
TSeries batchResult = Stbands.Batch(bars, period, multiplier);
// Assert - Last values should match
Assert.Equal(batchResult[^1].Value, streamingStbands.Last.Value, precision: 8);
@@ -377,7 +377,7 @@ public class StbandsTests
double[] upper = new double[bars.Count];
double[] lower = new double[bars.Count];
double[] trend = new double[bars.Count];
Stbands.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(), upper.AsSpan(), lower.AsSpan(), trend.AsSpan(), period, multiplier);
Stbands.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(), upper.AsSpan(), lower.AsSpan(), trend.AsSpan(), period, multiplier);
// Assert - Last values should match
Assert.Equal(upper[^1], streamingStbands.Upper.Value, precision: 8);
lib/channels/stbands/Stbands.Validation.Tests.cs
+4 -4
View File
@@ -69,7 +69,7 @@ public sealed class StbandsValidationTests : IDisposable
}
// Batch mode
var batchResult = Stbands.Calculate(bars, period, multiplier);
var batchResult = Stbands.Batch(bars, period, multiplier);
// Compare last 100 values
int compareCount = Math.Min(100, bars.Count - period);
@@ -118,7 +118,7 @@ public sealed class StbandsValidationTests : IDisposable
double[] spanLower = new double[bars.Count];
double[] spanTrend = new double[bars.Count];
Stbands.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(),
Stbands.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(),
spanUpper.AsSpan(), spanLower.AsSpan(), spanTrend.AsSpan(), period, multiplier);
// Compare last 100 values
@@ -155,7 +155,7 @@ public sealed class StbandsValidationTests : IDisposable
double[] lower = new double[bars.Count];
double[] trend = new double[bars.Count];
Stbands.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(),
Stbands.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(),
upper.AsSpan(), lower.AsSpan(), trend.AsSpan(), period, multiplier);
// Verify Upper >= Lower for all points
@@ -192,7 +192,7 @@ public sealed class StbandsValidationTests : IDisposable
double[] lower = new double[bars.Count];
double[] trend = new double[bars.Count];
Stbands.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(),
Stbands.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(),
upper.AsSpan(), lower.AsSpan(), trend.AsSpan(), period, multiplier);
int trendChanges = 0;
lib/channels/stbands/Stbands.cs
+10 -2
View File
@@ -286,7 +286,7 @@ public sealed class Stbands : AbstractBase
/// <summary>
/// Calculates Super Trend Bands for the entire bar series.
/// </summary>
public static TSeries Calculate(TBarSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
public static TSeries Batch(TBarSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
{
Stbands stbands = new(period, multiplier);
return stbands.Update(source);
@@ -295,7 +295,7 @@ public sealed class Stbands : AbstractBase
/// <summary>
/// Calculates Super Trend Bands across OHLC data using spans.
/// </summary>
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> high,
ReadOnlySpan<double> low,
ReadOnlySpan<double> close,
@@ -399,4 +399,12 @@ public sealed class Stbands : AbstractBase
prevClose = c;
}
}
public static (TSeries Results, Stbands Indicator) Calculate(TBarSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
{
var indicator = new Stbands(period, multiplier);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}
lib/channels/ubands/Ubands.Tests.cs
+7 -7
View File
@@ -285,7 +285,7 @@ public class UbandsTests
TSeries series = bars.Close;
// 1. Batch Mode
var batchResult = Ubands.Calculate(series, period, multiplier);
var batchResult = Ubands.Batch(series, period, multiplier);
double batchLast = batchResult.Last.Value;
// 2. Span Mode
@@ -293,7 +293,7 @@ public class UbandsTests
double[] spanUpper = new double[source.Length];
double[] spanMiddle = new double[source.Length];
double[] spanLower = new double[source.Length];
Ubands.Calculate(source.AsSpan(), spanUpper.AsSpan(), spanMiddle.AsSpan(), spanLower.AsSpan(), period, multiplier);
Ubands.Batch(source.AsSpan(), spanUpper.AsSpan(), spanMiddle.AsSpan(), spanLower.AsSpan(), period, multiplier);
double spanLast = spanMiddle[^1];
// 3. Streaming Mode
@@ -319,13 +319,13 @@ public class UbandsTests
// Period must be >= 1
Assert.Throws<ArgumentOutOfRangeException>(() =>
Ubands.Calculate(source.AsSpan(), upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 0));
Ubands.Batch(source.AsSpan(), upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 0));
Assert.Throws<ArgumentOutOfRangeException>(() =>
Ubands.Calculate(source.AsSpan(), upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), -1));
Ubands.Batch(source.AsSpan(), upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), -1));
// All arrays must be same length
Assert.Throws<ArgumentException>(() =>
Ubands.Calculate(source.AsSpan(), wrongSize.AsSpan(), middle.AsSpan(), lower.AsSpan(), 3));
Ubands.Batch(source.AsSpan(), wrongSize.AsSpan(), middle.AsSpan(), lower.AsSpan(), 3));
}
[Fact]
@@ -336,7 +336,7 @@ public class UbandsTests
double[] middle = new double[5];
double[] lower = new double[5];
Ubands.Calculate(source.AsSpan(), upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 3, 1.0);
Ubands.Batch(source.AsSpan(), upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 3, 1.0);
foreach (var val in middle)
{
@@ -404,7 +404,7 @@ public class UbandsTests
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
TSeries series = bars.Close;
var result = Ubands.Calculate(series, 10, 1.0);
var result = Ubands.Batch(series, 10, 1.0);
Assert.Equal(50, result.Count);
Assert.True(double.IsFinite(result.Last.Value));
lib/channels/ubands/Ubands.Validation.Tests.cs
+2 -2
View File
@@ -71,7 +71,7 @@ public sealed class UbandsValidationTests : IDisposable
}
// Batch mode
var batchResult = Ubands.Calculate(series, period, multiplier);
var batchResult = Ubands.Batch(series, period, multiplier);
// Compare last 100 values
int compareCount = Math.Min(100, series.Count - period);
@@ -119,7 +119,7 @@ public sealed class UbandsValidationTests : IDisposable
double[] spanMiddle = new double[series.Count];
double[] spanLower = new double[series.Count];
Ubands.Calculate(source.AsSpan(), spanUpper.AsSpan(), spanMiddle.AsSpan(),
Ubands.Batch(source.AsSpan(), spanUpper.AsSpan(), spanMiddle.AsSpan(),
spanLower.AsSpan(), period, multiplier);
// Compare last 100 values
lib/channels/ubands/Ubands.cs
+11 -3
View File
@@ -268,7 +268,7 @@ public sealed class Ubands : AbstractBase
/// <summary>
/// Calculates Ultimate Bands for the entire series.
/// </summary>
public static TSeries Calculate(TSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
public static TSeries Batch(TSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
{
Ubands ubands = new(period, multiplier);
return ubands.Update(source);
@@ -277,7 +277,7 @@ public sealed class Ubands : AbstractBase
/// <summary>
/// Calculates Ultimate Bands across data using spans.
/// </summary>
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> source,
Span<double> upper,
Span<double> middle,
@@ -397,4 +397,12 @@ public sealed class Ubands : AbstractBase
lower[i] = usf - bandOffset;
}
}
}
public static (TSeries Results, Ubands Indicator) Calculate(TSeries source, int period = DefaultPeriod, double multiplier = DefaultMultiplier)
{
var indicator = new Ubands(period, multiplier);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}
lib/channels/uchannel/Uchannel.Tests.cs
+5 -5
View File
@@ -306,7 +306,7 @@ public class UchannelTests
double[] spanUpper = new double[highArr.Length];
double[] spanMiddle = new double[highArr.Length];
double[] spanLower = new double[highArr.Length];
Uchannel.Calculate(highArr.AsSpan(), lowArr.AsSpan(), closeArr.AsSpan(),
Uchannel.Batch(highArr.AsSpan(), lowArr.AsSpan(), closeArr.AsSpan(),
spanUpper.AsSpan(), spanMiddle.AsSpan(), spanLower.AsSpan(),
strPeriod, centerPeriod, multiplier);
double spanLast = spanMiddle[^1];
@@ -336,15 +336,15 @@ public class UchannelTests
// Period must be >= 1
Assert.Throws<ArgumentOutOfRangeException>(() =>
Uchannel.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(),
Uchannel.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(),
upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 0));
Assert.Throws<ArgumentOutOfRangeException>(() =>
Uchannel.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(),
Uchannel.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(),
upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), -1));
// All arrays must be same length
Assert.Throws<ArgumentException>(() =>
Uchannel.Calculate(high.AsSpan(), wrongSize.AsSpan(), close.AsSpan(),
Uchannel.Batch(high.AsSpan(), wrongSize.AsSpan(), close.AsSpan(),
upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 3));
}
@@ -358,7 +358,7 @@ public class UchannelTests
double[] middle = new double[5];
double[] lower = new double[5];
Uchannel.Calculate(high.AsSpan(), low.AsSpan(), close.AsSpan(),
Uchannel.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(),
upper.AsSpan(), middle.AsSpan(), lower.AsSpan(), 3, 3, 1.0);
foreach (var val in middle)
lib/channels/uchannel/Uchannel.Validation.Tests.cs
+1 -1
View File
@@ -70,7 +70,7 @@ public class UchannelValidationTests
double[] spanUpper = new double[highArr.Length];
double[] spanMiddle = new double[highArr.Length];
double[] spanLower = new double[highArr.Length];
Uchannel.Calculate(highArr.AsSpan(), lowArr.AsSpan(), closeArr.AsSpan(),
Uchannel.Batch(highArr.AsSpan(), lowArr.AsSpan(), closeArr.AsSpan(),
spanUpper.AsSpan(), spanMiddle.AsSpan(), spanLower.AsSpan(),
DefaultStrPeriod, DefaultCenterPeriod, DefaultMultiplier);
lib/channels/uchannel/Uchannel.cs
+1 -1
View File
@@ -377,7 +377,7 @@ public sealed class Uchannel : AbstractBase
/// <param name="strPeriod">Period for STR smoothing.</param>
/// <param name="centerPeriod">Period for centerline smoothing.</param>
/// <param name="multiplier">Band multiplier.</param>
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> high,
ReadOnlySpan<double> low,
ReadOnlySpan<double> close,
lib/channels/vwapbands/Vwapbands.Tests.cs
+3 -3
View File
@@ -446,12 +446,12 @@ public class VwapbandsTests
// Multiplier must be >= MinMultiplier
Assert.Throws<ArgumentOutOfRangeException>(() =>
Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapbands.Batch(price.AsSpan(), volume.AsSpan(),
upper1.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 0));
// All arrays must be same length
Assert.Throws<ArgumentException>(() =>
Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapbands.Batch(price.AsSpan(), volume.AsSpan(),
wrongSize.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0));
}
@@ -467,7 +467,7 @@ public class VwapbandsTests
double[] vwap = new double[5];
double[] stdDev = new double[5];
Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapbands.Batch(price.AsSpan(), volume.AsSpan(),
upper1.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0);
foreach (var val in vwap)
lib/channels/vwapbands/Vwapbands.Validation.Tests.cs
+1 -1
View File
@@ -126,7 +126,7 @@ public sealed class VwapbandsValidationTests : IDisposable
double[] spanLower2 = new double[bars.Count];
double[] spanStdDev = new double[bars.Count];
Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapbands.Batch(price.AsSpan(), volume.AsSpan(),
spanUpper1.AsSpan(), spanLower1.AsSpan(),
spanUpper2.AsSpan(), spanLower2.AsSpan(),
spanVwap.AsSpan(), spanStdDev.AsSpan(), multiplier);
lib/channels/vwapbands/Vwapbands.cs
+1 -1
View File
@@ -364,7 +364,7 @@ public sealed class Vwapbands : AbstractBase
/// <param name="vwap">Output span for VWAP values</param>
/// <param name="stdDev">Output span for standard deviation values</param>
/// <param name="multiplier">Band multiplier (default 1.0)</param>
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> price,
ReadOnlySpan<double> volume,
Span<double> upper1,
lib/channels/vwapsd/Vwapsd.Tests.cs
+4 -4
View File
@@ -472,17 +472,17 @@ public class VwapsdTests
// NumDevs must be >= MinNumDevs
Assert.Throws<ArgumentOutOfRangeException>(() =>
Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapsd.Batch(price.AsSpan(), volume.AsSpan(),
upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 0));
// NumDevs must be <= MaxNumDevs
Assert.Throws<ArgumentOutOfRangeException>(() =>
Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapsd.Batch(price.AsSpan(), volume.AsSpan(),
upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 6.0));
// All arrays must be same length
Assert.Throws<ArgumentException>(() =>
Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapsd.Batch(price.AsSpan(), volume.AsSpan(),
wrongSize.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0));
}
@@ -496,7 +496,7 @@ public class VwapsdTests
double[] vwap = new double[5];
double[] stdDev = new double[5];
Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapsd.Batch(price.AsSpan(), volume.AsSpan(),
upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0);
foreach (var val in vwap)
lib/channels/vwapsd/Vwapsd.Validation.Tests.cs
+1 -1
View File
@@ -120,7 +120,7 @@ public sealed class VwapsdValidationTests : IDisposable
double[] spanLower = new double[bars.Count];
double[] spanStdDev = new double[bars.Count];
Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
Vwapsd.Batch(price.AsSpan(), volume.AsSpan(),
spanUpper.AsSpan(), spanLower.AsSpan(),
spanVwap.AsSpan(), spanStdDev.AsSpan(), numDevs);
lib/channels/vwapsd/Vwapsd.cs
+1 -1
View File
@@ -344,7 +344,7 @@ public sealed class Vwapsd : AbstractBase
/// <param name="vwap">Output span for VWAP values</param>
/// <param name="stdDev">Output span for standard deviation values</param>
/// <param name="numDevs">Number of standard deviations for bands (default 2.0)</param>
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> price,
ReadOnlySpan<double> volume,
Span<double> upper,