Merge branch 'dev'

quantower/Averages/AfirmaIndicator.cs

@@ -3,23 +3,35 @@ namespace QuanTAlib;
 
 public class AfirmaIndicator : IndicatorBase
 {
-    [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
-    public int Period { get; set; } = 10;
+    [InputParameter("Taps (number of weights)", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Taps { get; set; } = 6;
+
+    [InputParameter("Periods for lowpass cutoff", sortIndex: 2, 1, 2000, 1, 0)]
+    public int Periods { get; set; } = 6;
+
+
+
+    [InputParameter("Window Type", sortIndex: 3, variants: [
+        "Rectangular", Afirma.WindowType.Rectangular,
+        "Hanning", Afirma.WindowType.Hanning1,
+        "Hamming", Afirma.WindowType.Hanning2,
+        "Blackman", Afirma.WindowType.Blackman,
+        "Blackman-Harris", Afirma.WindowType.BlackmanHarris
+    ])]
+    public Afirma.WindowType Window { get; set; } = Afirma.WindowType.Hanning1;
 
-    [InputParameter("Alpha", sortIndex: 2, 0.01, 0.99, 0.01, 2)]
-    public double Alpha { get; set; } = 0.1;
     private Afirma? ma;
     protected override AbstractBase QuanTAlib => ma!;
-    public override string ShortName => $"AFIRMA {Period} : {SourceName}";
+    public override string ShortName => $"AFIRMA {Taps}:{Periods}:{Window} : {SourceName}";
 
     public AfirmaIndicator()
     {
-        Name = "AFIRMA - Adaptive Filtering Integrated Recursive Moving Average";
-        Description = "Adaptive Filtering Integrated Recursive Moving Average";
+        Name = "AFIRMA - Adaptive Finite Impulse Response Moving Average";
+        Description = "Adaptive Finite Impulse Response Moving Average with ARMA component";
     }
 
     protected override void InitIndicator()
     {
-        ma = new Afirma(period: Period, alpha: Alpha);
+        ma = new Afirma(periods: Periods, taps: Taps, window: Window);
     }
 }

quantower/Averages/Averages.csproj

@@ -8,7 +8,6 @@
   </PropertyGroup>
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
-    <PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
     <Compile Include="..\..\lib\**\*.cs" Exclude="..\..\lib\obj\**">
         <Link>lib\%(RecursiveDir)%(Filename)%(Extension)</Link>
     </Compile>
@@ -19,6 +18,9 @@
   </Target>
 
   <ItemGroup>
+    <Compile Include="..\*.cs">
+      <Link>%(Filename)%(Extension)</Link>
+    </Compile>
     <Reference Include="TradingPlatform.BusinessLayer">
     <HintPath>..\..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
     </Reference>

quantower/Statistics/Statistics.csproj

@@ -8,7 +8,6 @@
   </PropertyGroup>
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
-    <PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
     <Compile Include="..\..\lib\**\*.cs" Exclude="..\..\lib\obj\**">
         <Link>lib\%(RecursiveDir)%(Filename)%(Extension)</Link>
     </Compile>
@@ -19,6 +18,9 @@
   </Target>
 
   <ItemGroup>
+    <Compile Include="..\*.cs">
+      <Link>%(Filename)%(Extension)</Link>
+    </Compile>
     <Reference Include="TradingPlatform.BusinessLayer">
     <HintPath>..\..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
     </Reference>

quantower/Volatility/AtrIndicator.cs

@@ -0,0 +1,23 @@
+using TradingPlatform.BusinessLayer;
+namespace QuanTAlib;
+
+public class AtrIndicator : IndicatorBarBase
+{
+    [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    private Atr? atr;
+    protected override AbstractBarBase QuanTAlib => atr!;
+    public override string ShortName => $"ATR {Period}";
+    public AtrIndicator()
+    {
+        Name = "ATR - Average True Range";
+        SeparateWindow = true;
+    }
+
+    protected override void InitIndicator()
+    {
+        atr = new(Period);
+        MinHistoryDepths = atr!.WarmupPeriod;
+    }
+}

quantower/Volatility/Volatility.csproj

@@ -0,0 +1,32 @@
+<Project Sdk="Microsoft.NET.Sdk">
+  <PropertyGroup>
+    <AlgoType>Indicator</AlgoType>
+    <OutputPath>bin\$(Configuration)\</OutputPath>
+    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
+    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
+    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
+  </PropertyGroup>
+  <ItemGroup>
+    <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
+    <Compile Include="..\..\lib\**\*.cs" Exclude="..\..\lib\obj\**">
+        <Link>lib\%(RecursiveDir)%(Filename)%(Extension)</Link>
+    </Compile>
+  </ItemGroup>
+
+  <Target Name="CopyCustomContent" AfterTargets="AfterBuild"  Condition="'$(IsLocalBuild)' == 'true'">
+    <Copy SourceFiles="$(OutputPath)\Volatility.dll" DestinationFolder="$(QuantowerRoot)\Settings\Scripts\Indicators\QuanTAlib\Volatility" />
+  </Target>
+
+  <ItemGroup>
+    <Compile Include="..\*.cs">
+      <Link>%(Filename)%(Extension)</Link>
+    </Compile>
+    <Reference Include="TradingPlatform.BusinessLayer">
+    <HintPath>..\..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
+    </Reference>
+    <None Include="..\..\.github\TradingPlatform.BusinessLayer.xml">
+      <Link>TradingPlatform.BusinessLayer.xml</Link>
+    </None>
+  </ItemGroup>
+
+</Project>

quantower/_IndicatorBarBase.cs

@@ -9,23 +9,9 @@ using TradingPlatform.BusinessLayer.TimeSync;
 namespace QuanTAlib;
 
 #pragma warning disable CA1416 // Validate platform compatibility
-public abstract class IndicatorBase : Indicator, IWatchlistIndicator
+public abstract class IndicatorBarBase : Indicator, IWatchlistIndicator
 {
 
-    [InputParameter("Data source", sortIndex: 17, variants: [
-        "Open", 1,
-        "High", 2,
-        "Low", 3,
-        "Close", 4,
-        "HL/2 (Median)", 5,
-        "OC/2 (Midpoint)", 6,
-        "OHL/3 (Mean)", 7,
-        "HLC/3 (Typical)", 8,
-        "OHLC/4 (Average)", 9,
-        "HLCC/4 (Weighted)", 10
-    ])]
-    public int Source { get; set; } = 4;
-
     [InputParameter("Show cold values", sortIndex: 20)]
     public bool ShowColdValues { get; set; } = true;
     public int MinHistoryDepths;
@@ -33,16 +19,14 @@ public abstract class IndicatorBase : Indicator, IWatchlistIndicator
     // LineSeries.LineSeries(string, Color, int, LineStyle)'
 
     protected LineSeries? Series;
-    protected string SourceName;
-    protected abstract AbstractBase QuanTAlib { get; }
+    protected abstract AbstractBarBase QuanTAlib { get; }
 
     int IWatchlistIndicator.MinHistoryDepths => 0;
 
-    protected IndicatorBase() : base()
+    protected IndicatorBarBase()
     {
         OnBackGround = true;
         SeparateWindow = false;
-        SourceName = GetName(Source);
         Series = new(name: $"{Name}", color: Color.RoyalBlue, width: 2, style: LineStyle.Solid);
 
         AddLineSeries(Series);
@@ -70,23 +54,7 @@ public abstract class IndicatorBase : Indicator, IWatchlistIndicator
             Volume: GetPrice(PriceType.Volume),
             IsNew: args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar);
 
-        double price = Source switch
-        {
-            1 => bar.Open,
-            2 => bar.High,
-            3 => bar.Low,
-            4 => bar.Close,
-            5 => bar.HL2,
-            6 => bar.OC2,
-            7 => bar.OHL3,
-            8 => bar.HLC3,
-            9 => bar.OHLC4,
-            10 => bar.HLCC4,
-            _ => bar.Close
-        };
-
-        TValue input = new TValue(bar.Time, price, bar.IsNew);
-        TValue result = QuanTAlib.Calc(input);
+        TValue result = QuanTAlib.Calc(bar);
         Series!.SetValue(result.Value);
         Series!.SetMarker(0, Color.Transparent);
 
@@ -169,22 +137,4 @@ public abstract class IndicatorBase : Indicator, IWatchlistIndicator
         gr.FillRectangle(SystemBrushes.ControlDarkDark, textRect);
         gr.DrawString(text, font, Brushes.White, new PointF(textRect.X + 6, textRect.Y + 5));
     }
-    protected string GetName(int pType)
-    {
-        return pType switch
-        {
-            1 => "Open",
-            2 => "High",
-            3 => "Low",
-            4 => "Close",
-            5 => "Median",
-            6 => "Midpoint",
-            7 => "Mean",
-            8 => "Typical",
-            9 => "Average",
-            10 => "Weighted",
-            _ => "N/A"
-        };
-    }
-
 }