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normalization of methods

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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/volume/twap/Twap.Tests.cs
+5 -5
View File
@@ -241,7 +241,7 @@ public class TwapTests
}
// Batch
var batchResult = Twap.Calculate(bars, period: 10);
var batchResult = Twap.Batch(bars, period: 10);
Assert.Equal(bars.Count, batchResult.Count);
for (int i = 0; i < bars.Count; i++)
@@ -272,7 +272,7 @@ public class TwapTests
// Span
var output = new double[prices.Length];
Twap.Calculate(prices, output, period: 10);
Twap.Batch(prices, output, period: 10);
for (int i = 0; i < prices.Length; i++)
{
@@ -286,7 +286,7 @@ public class TwapTests
var price = new double[100];
var output = new double[99]; // Different length
Assert.Throws<ArgumentException>(() => Twap.Calculate(price, output));
Assert.Throws<ArgumentException>(() => Twap.Batch(price, output));
}
[Fact]
@@ -295,7 +295,7 @@ public class TwapTests
var price = new double[100];
var output = new double[100];
Assert.Throws<ArgumentException>(() => Twap.Calculate(price, output, period: -1));
Assert.Throws<ArgumentException>(() => Twap.Batch(price, output, period: -1));
}
[Fact]
@@ -304,7 +304,7 @@ public class TwapTests
var price = Array.Empty<double>();
var output = Array.Empty<double>();
Twap.Calculate(price, output);
Twap.Batch(price, output);
Assert.Empty(output);
}
lib/volume/twap/Twap.Validation.Tests.cs
+4 -4
View File
@@ -26,7 +26,7 @@ public class TwapValidationTests
}
// Batch
var batchResult = Twap.Calculate(_data.Bars, period);
var batchResult = Twap.Batch(_data.Bars, period);
var batchValues = batchResult.Values.ToArray();
ValidationHelper.VerifyData(streamingValues.ToArray(), batchValues, 0, 100, 1e-9);
@@ -55,7 +55,7 @@ public class TwapValidationTests
// Span
var spanOutput = new double[typicalPrices.Length];
Twap.Calculate(typicalPrices, spanOutput, period);
Twap.Batch(typicalPrices, spanOutput, period);
ValidationHelper.VerifyData(streamingValues.ToArray(), spanOutput, 0, 100, 1e-9);
}
@@ -138,12 +138,12 @@ public class TwapValidationTests
}
// Batch
var batchResult = Twap.Calculate(_data.Bars, period);
var batchResult = Twap.Batch(_data.Bars, period);
var batchValues = batchResult.Values.ToArray();
// Span
var spanOutput = new double[typicalPrices.Length];
Twap.Calculate(typicalPrices, spanOutput, period);
Twap.Batch(typicalPrices, spanOutput, period);
// Verify all modes match
ValidationHelper.VerifyData(streamingValues.ToArray(), batchValues, 0, 100, 1e-9);
lib/volume/twap/Twap.cs
+10 -3
View File
@@ -197,7 +197,7 @@ public sealed class Twap : ITValuePublisher
}
var output = new double[source.Count];
Calculate(prices, output, _period);
Batch(prices, output, _period);
for (int i = 0; i < source.Count; i++)
{
@@ -224,7 +224,7 @@ public sealed class Twap : ITValuePublisher
/// <param name="source">The bar series.</param>
/// <param name="period">The session period in bars (0 = never reset).</param>
/// <returns>The result series.</returns>
public static TSeries Calculate(TBarSeries source, int period = DefaultPeriod)
public static TSeries Batch(TBarSeries source, int period = DefaultPeriod)
{
var twap = new Twap(period);
var result = new TSeries(source.Count);
@@ -244,7 +244,7 @@ public sealed class Twap : ITValuePublisher
/// <param name="output">The output TWAP span.</param>
/// <param name="period">The session period in bars (0 = never reset). Default is 0.</param>
/// <exception cref="ArgumentException">Thrown when output length doesn't match price length or period is invalid.</exception>
public static void Calculate(ReadOnlySpan<double> price, Span<double> output, int period = DefaultPeriod)
public static void Batch(ReadOnlySpan<double> price, Span<double> output, int period = DefaultPeriod)
{
if (output.Length != price.Length)
{
@@ -288,4 +288,11 @@ public sealed class Twap : ITValuePublisher
output[i] = sumPrices / count;
}
}
public static (TSeries Results, Twap Indicator) Calculate(TBarSeries source, int period = DefaultPeriod)
{
var indicator = new Twap(period);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}