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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/volume/vwap/Vwap.Tests.cs
+8 -8
View File
@@ -316,7 +316,7 @@ public class VwapTests
[Fact]
public void Calculate_Static_ShouldReturnTSeries()
{
var result = Vwap.Calculate(_bars);
var result = Vwap.Batch(_bars);
Assert.NotNull(result);
Assert.Equal(_bars.Count, result.Count);
@@ -325,7 +325,7 @@ public class VwapTests
[Fact]
public void Calculate_Static_WithPeriod_ShouldWork()
{
var result = Vwap.Calculate(_bars, 100);
var result = Vwap.Batch(_bars, 100);
Assert.NotNull(result);
Assert.Equal(_bars.Count, result.Count);
@@ -336,7 +336,7 @@ public class VwapTests
[Fact]
public void Calculate_Span_ShouldMatchBatch()
{
var batchResult = Vwap.Calculate(_bars);
var batchResult = Vwap.Batch(_bars);
var high = _bars.High.Values.ToArray();
var low = _bars.Low.Values.ToArray();
@@ -344,7 +344,7 @@ public class VwapTests
var volume = _bars.Volume.Values.ToArray();
var spanOutput = new double[_bars.Count];
Vwap.Calculate(high, low, close, volume, spanOutput);
Vwap.Batch(high, low, close, volume, spanOutput);
for (int i = 0; i < _bars.Count; i++)
{
@@ -361,7 +361,7 @@ public class VwapTests
var volume = new double[100];
var output = new double[100];
Assert.Throws<ArgumentException>(() => Vwap.Calculate(high, low, close, volume, output));
Assert.Throws<ArgumentException>(() => Vwap.Batch(high, low, close, volume, output));
}
[Fact]
@@ -373,7 +373,7 @@ public class VwapTests
var volume = new double[100];
var output = new double[50]; // Mismatched
Assert.Throws<ArgumentException>(() => Vwap.Calculate(high, low, close, volume, output));
Assert.Throws<ArgumentException>(() => Vwap.Batch(high, low, close, volume, output));
}
[Fact]
@@ -385,7 +385,7 @@ public class VwapTests
var volume = new double[100];
var output = new double[100];
Assert.Throws<ArgumentException>(() => Vwap.Calculate(high, low, close, volume, output, -1));
Assert.Throws<ArgumentException>(() => Vwap.Batch(high, low, close, volume, output, -1));
}
// ============ Event Tests ============
@@ -418,7 +418,7 @@ public class VwapTests
}
// Batch
var batchResult = Vwap.Calculate(_bars);
var batchResult = Vwap.Batch(_bars);
// Compare last 100 values
for (int i = _bars.Count - 100; i < _bars.Count; i++)
lib/volume/vwap/Vwap.Validation.Tests.cs
+4 -4
View File
@@ -50,7 +50,7 @@ public class VwapValidationTests
}
// Batch
var batchResult = Vwap.Calculate(_data.Bars);
var batchResult = Vwap.Batch(_data.Bars);
var batchValues = batchResult.Values.ToArray();
// Cumulative indicators accumulate floating-point errors over many bars
@@ -75,7 +75,7 @@ public class VwapValidationTests
var volume = _data.Bars.Volume.Values.ToArray();
var spanValues = new double[high.Length];
Vwap.Calculate(high, low, close, volume, spanValues);
Vwap.Batch(high, low, close, volume, spanValues);
// Cumulative indicators accumulate floating-point errors over many bars
ValidationHelper.VerifyData(streamingValues.ToArray(), spanValues, 0, 100, 1e-10);
@@ -85,7 +85,7 @@ public class VwapValidationTests
public void Vwap_Batch_Matches_Span()
{
// Batch
var batchResult = Vwap.Calculate(_data.Bars);
var batchResult = Vwap.Batch(_data.Bars);
var batchValues = batchResult.Values.ToArray();
// Span
@@ -95,7 +95,7 @@ public class VwapValidationTests
var volume = _data.Bars.Volume.Values.ToArray();
var spanValues = new double[high.Length];
Vwap.Calculate(high, low, close, volume, spanValues);
Vwap.Batch(high, low, close, volume, spanValues);
// Batch and Span use identical code path, should match exactly
ValidationHelper.VerifyData(batchValues, spanValues, 0, 100, 1e-12);
lib/volume/vwap/Vwap.cs
+10 -3
View File
@@ -220,7 +220,7 @@ public sealed class Vwap : ITValuePublisher
/// <param name="source">Source bar series</param>
/// <param name="period">Period for VWAP reset (0 = no reset)</param>
/// <returns>TSeries containing VWAP values</returns>
public static TSeries Calculate(TBarSeries source, int period = 0)
public static TSeries Batch(TBarSeries source, int period = 0)
{
if (source.Count == 0)
{
@@ -230,7 +230,7 @@ public sealed class Vwap : ITValuePublisher
var t = source.Open.Times.ToArray();
var v = new double[source.Count];
Calculate(source.High.Values, source.Low.Values, source.Close.Values, source.Volume.Values, v, period);
Batch(source.High.Values, source.Low.Values, source.Close.Values, source.Volume.Values, v, period);
return new TSeries(t, v);
}
@@ -245,7 +245,7 @@ public sealed class Vwap : ITValuePublisher
/// <param name="output">Output span for VWAP values</param>
/// <param name="period">Period for VWAP reset (0 = no reset)</param>
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
public static void Calculate(ReadOnlySpan<double> high, ReadOnlySpan<double> low, ReadOnlySpan<double> close, ReadOnlySpan<double> volume, Span<double> output, int period = 0)
public static void Batch(ReadOnlySpan<double> high, ReadOnlySpan<double> low, ReadOnlySpan<double> close, ReadOnlySpan<double> volume, Span<double> output, int period = 0)
{
if (high.Length != low.Length)
{
@@ -368,4 +368,11 @@ public sealed class Vwap : ITValuePublisher
barsSinceReset++;
}
}
public static (TSeries Results, Vwap Indicator) Calculate(TBarSeries source, int period = 0)
{
var indicator = new Vwap(period);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}