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Add Price Volume Trend (PVT) Indicator and Tests
- Implemented the PvtIndicator class for calculating Price Volume Trend in Quantower. - Created unit tests for the Pvt class to validate calculations and state management. - Added validation tests to ensure consistency with OoplesFinance's implementation. - Developed a comprehensive documentation (Pvt.md) explaining the PVT concept, calculations, and usage. - Included methods for batch calculations and streaming updates for PVT.
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Miha Kralj
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// PVR: Price Volume Rank
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/// A categorical indicator that ranks price-volume relationships into discrete states.
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/// Returns values 0-4 based on price and volume direction changes.
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/// </summary>
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/// <remarks>
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/// The PVR calculation process:
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/// Compares current price and volume with previous values:
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/// - 1: Price up, Volume up (strong bullish)
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/// - 2: Price up, Volume down (weak bullish)
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/// - 3: Price down, Volume down (weak bearish)
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/// - 4: Price down, Volume up (strong bearish)
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/// - 0: Price unchanged
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///
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/// Key characteristics:
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/// - Categorical output (0, 1, 2, 3, or 4)
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/// - No warmup period needed (only requires 1 previous bar)
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/// - Useful for filtering trade signals based on price-volume confirmation
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///
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/// Sources:
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/// https://github.com/mihakralj/pinescript/blob/main/indicators/volume/pvr.md
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Pvr : ITValuePublisher
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{
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[StructLayout(LayoutKind.Auto)]
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private record struct State
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{
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public double PrevPrice;
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public double PrevVolume;
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public double LastValidPrice;
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public double LastValidVolume;
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public bool HasPrevious;
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}
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private State _s;
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private State _ps;
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public string Name { get; }
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public int WarmupPeriod { get; } = 1;
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public TValue Last { get; private set; }
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public bool IsHot { get; private set; }
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public event TValuePublishedHandler? Pub;
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/// <summary>
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/// Initializes a new instance of the Pvr class.
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/// </summary>
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public Pvr()
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{
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Name = "Pvr";
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_s = new State { LastValidPrice = 0.0, LastValidVolume = 0.0 };
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_ps = _s;
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}
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/// <summary>
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/// Updates the indicator with a new bar.
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/// </summary>
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/// <param name="bar">The bar data containing Close and Volume</param>
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/// <param name="isNew">Whether this is a new bar or an update to the current bar</param>
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/// <returns>The PVR rank (0-4)</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TBar bar, bool isNew = true)
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{
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return Update(bar.Close, bar.Volume, bar.Time, isNew);
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}
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/// <summary>
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/// Updates the indicator with price and volume values.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(double price, double volume, long time, bool isNew = true)
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{
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if (isNew)
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{
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_ps = _s;
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}
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else
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{
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_s = _ps;
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}
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var s = _s;
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// Handle NaN/Infinity
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double currentPrice = double.IsFinite(price) ? price : s.LastValidPrice;
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double currentVolume = double.IsFinite(volume) ? Math.Max(volume, 0.0) : s.LastValidVolume;
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if (double.IsFinite(price))
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{
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s.LastValidPrice = price;
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}
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if (double.IsFinite(volume))
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{
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s.LastValidVolume = Math.Max(volume, 0.0);
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}
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double pvrValue;
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if (!s.HasPrevious)
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{
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// First bar - no previous to compare
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pvrValue = 0.0;
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s.HasPrevious = true;
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IsHot = false;
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}
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else
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{
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// Calculate PVR based on price and volume direction
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double prevPrice = s.PrevPrice;
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double prevVolume = s.PrevVolume;
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if (currentPrice > prevPrice)
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{
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pvrValue = currentVolume > prevVolume ? 1.0 : 2.0;
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}
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else if (currentPrice < prevPrice)
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{
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pvrValue = currentVolume < prevVolume ? 3.0 : 4.0;
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}
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else
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{
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pvrValue = 0.0;
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}
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IsHot = true;
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}
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// Store current values for next comparison
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s.PrevPrice = currentPrice;
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s.PrevVolume = currentVolume;
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_s = s;
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Last = new TValue(time, pvrValue);
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Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
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return Last;
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}
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/// <summary>
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/// Updates PVR with a bar series.
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/// </summary>
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public TSeries Update(TBarSeries source)
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{
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var t = new List<long>(source.Count);
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var v = new List<double>(source.Count);
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Reset();
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for (int i = 0; i < source.Count; i++)
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{
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var val = Update(source[i], isNew: true);
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t.Add(val.Time);
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v.Add(val.Value);
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}
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return new TSeries(t, v);
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}
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/// <summary>
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/// Resets the indicator to its initial state.
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/// </summary>
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public void Reset()
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{
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_s = new State { LastValidPrice = 0.0, LastValidVolume = 0.0 };
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_ps = _s;
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Last = default;
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IsHot = false;
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}
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/// <summary>
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/// Calculates PVR for a series of bars.
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/// </summary>
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public static TSeries Calculate(TBarSeries bars)
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{
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if (bars.Count == 0)
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{
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return [];
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}
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var t = bars.Open.Times.ToArray();
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var v = new double[bars.Count];
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Calculate(bars.Close.Values, bars.Volume.Values, v);
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return new TSeries(t, v);
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}
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/// <summary>
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/// Calculates PVR values using span-based processing.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Calculate(ReadOnlySpan<double> price, ReadOnlySpan<double> volume, Span<double> output)
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{
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if (price.Length != output.Length)
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{
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throw new ArgumentException("Output span must have the same length as price input", nameof(output));
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}
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if (price.Length != volume.Length)
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{
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throw new ArgumentException("Volume span must have the same length as price input", nameof(volume));
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}
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int length = price.Length;
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if (length == 0)
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{
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return;
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}
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// First bar - validate initial values (mirror instance Update behavior)
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output[0] = 0.0;
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double prevPrice = double.IsFinite(price[0]) ? price[0] : 0.0;
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double prevVolume = double.IsFinite(volume[0]) ? Math.Max(volume[0], 0.0) : 0.0;
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// If first values were NaN, find first finite values as fallback
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if (prevPrice == 0.0 && !double.IsFinite(price[0]))
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{
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for (int j = 1; j < length; j++)
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{
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if (double.IsFinite(price[j]))
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{
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prevPrice = price[j];
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break;
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}
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}
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}
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if (prevVolume == 0.0 && !double.IsFinite(volume[0]))
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{
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for (int j = 1; j < length; j++)
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{
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if (double.IsFinite(volume[j]))
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{
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prevVolume = Math.Max(volume[j], 0.0);
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break;
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}
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}
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}
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for (int i = 1; i < length; i++)
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{
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double currentPrice = price[i];
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double currentVolume = volume[i];
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// Handle NaN
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if (!double.IsFinite(currentPrice))
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{
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currentPrice = prevPrice;
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}
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if (!double.IsFinite(currentVolume))
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{
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currentVolume = prevVolume;
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}
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currentVolume = Math.Max(currentVolume, 0.0);
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// Calculate PVR
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if (currentPrice > prevPrice)
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{
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output[i] = currentVolume > prevVolume ? 1.0 : 2.0;
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}
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else if (currentPrice < prevPrice)
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{
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output[i] = currentVolume < prevVolume ? 3.0 : 4.0;
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}
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else
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{
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output[i] = 0.0;
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}
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prevPrice = currentPrice;
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prevVolume = currentVolume;
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}
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}
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}
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