Quantower adaptation

Quantower/Indicators/AAA_chart.cs

@@ -1,57 +1,57 @@
-using System.Diagnostics;
-using System.Drawing;
-using System.Linq;
-using TradingPlatform.BusinessLayer;
-namespace QuanTAlib;
-
-public class AAA_chart : Indicator {
-    #region Parameters
-
-    [InputParameter("Smoothing period", 0, 1, 999, 1, 1)]
-    private readonly int Period = 10;
-
-    #endregion Parameters
-
-    private TBars bars;
-    private JMA_Series ind_a;
-	private DWMA_Series ind_b;
-
-	public override string ShortName => $"AAA ({this.Period})";
-
-	public AAA_chart() : base()
-    {
-        this.SeparateWindow = false;
-
-        this.Name = "AAA - Test indicator";
-        this.Description = "Test indicator";
-
-		this.AddLineSeries("JMA", Color.RoyalBlue, 3, LineStyle.Solid);
-		this.AddLineSeries("DWMA", Color.OrangeRed, 3, LineStyle.Solid);
-
-		this.SeparateWindow = false;
-	}
-
-    protected override void OnInit()
-    {
-        this.bars = new();
-
-        this.ind_a = new(source: bars.Close, period: this.Period, useNaN: false);
-		this.ind_b = new(source: bars.OHLC4, period: this.Period, useNaN: false);
-	}
-
-	protected override void OnUpdate(UpdateArgs args)
-    {
-		bool update = !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar);
-
-        this.bars.Add(this.Time(),
-            this.GetPrice(PriceType.Open),
-            this.GetPrice(PriceType.High),
-            this.GetPrice(PriceType.Low),
-            this.GetPrice(PriceType.Close),
-            this.GetPrice(PriceType.Volume),
-            update);
-
-		this.SetValue(this.ind_a.v.Last(), 0);
-		this.SetValue(this.ind_b.v.Last(), 1);
-	}
-}
+using System.Diagnostics;
+using System.Drawing;
+using System.Linq;
+using TradingPlatform.BusinessLayer;
+namespace QuanTAlib;
+
+public class AAA_chart : Indicator {
+    #region Parameters
+
+    [InputParameter("Smoothing period", 0, 1, 999, 1, 1)]
+    private readonly int Period = 10;
+
+    #endregion Parameters
+
+    private TBars bars;
+    private JMA_Series ind_a;
+	private DWMA_Series ind_b;
+
+	public override string ShortName => $"AAA ({this.Period})";
+
+	public AAA_chart() : base()
+    {
+        this.SeparateWindow = false;
+
+        this.Name = "AAA - Test indicator";
+        this.Description = "Test indicator";
+
+		this.AddLineSeries("JMA", Color.RoyalBlue, 3, LineStyle.Solid);
+		this.AddLineSeries("DWMA", Color.OrangeRed, 3, LineStyle.Solid);
+
+		this.SeparateWindow = false;
+	}
+
+    protected override void OnInit()
+    {
+        this.bars = new();
+
+        this.ind_a = new(source: bars.Close, period: this.Period, useNaN: false);
+		this.ind_b = new(source: bars.OHLC4, period: this.Period, useNaN: false);
+	}
+
+	protected override void OnUpdate(UpdateArgs args)
+    {
+		bool update = !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar);
+
+        this.bars.Add(this.Time(),
+            this.GetPrice(PriceType.Open),
+            this.GetPrice(PriceType.High),
+            this.GetPrice(PriceType.Low),
+            this.GetPrice(PriceType.Close),
+            this.GetPrice(PriceType.Volume),
+            update);
+
+		this.SetValue(this.ind_a.v.Last(), 0);
+		this.SetValue(this.ind_b.v.Last(), 1);
+	}
+}

Tests/Validations/Trends/Skender.cs

@@ -33,6 +33,7 @@ public class Skender
   [Fact]
   public void ADL()
   {
+    // TODO: check precision of ADL()
     ADL_Series QL = new(bars, false);
     var SK = quotes.GetAdl().Select(i => i.Adl);
     for (int i = QL.Length; i > skip; i--)

Tests/Validations/Trends/Tulip.cs

@@ -1,195 +1,195 @@
-using Xunit;
-using System;
-using Tulip;
-using QuanTAlib;
-
-namespace Validations;
-public class Tulip_Test
-{
-  private readonly GBM_Feed bars;
-  private readonly Random rnd = new();
-  private readonly int period, digits, skip;
-  private readonly double[] outdata;
-  private readonly double[] inopen;
-  private readonly double[] inhigh;
-  private readonly double[] inlow;
-  private readonly double[] inclose;
-  private readonly double[] involume;
-
-  public Tulip_Test()
-  {
-    bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
-    period = rnd.Next(28) + 3;
-    skip = 200;
-    digits = 10;
-
-    outdata = new double[bars.Count];
-    inopen = bars.Open.v.ToArray();
-    inhigh = bars.High.v.ToArray();
-    inlow = bars.Low.v.ToArray();
-    inclose = bars.Close.v.ToArray()!;
-    involume = bars.Volume.v.ToArray()!;
-
-  }
-	[Fact]
-	public void ADL()
-	{
-		double[][] arrin = {inhigh, inlow, inclose, involume };
-		double[][] arrout = { outdata };
-		ADL_Series QL = new(bars, false);
-		Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--)
-		{
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-	public void ADD()
-	{
-		double[][] arrin = { inhigh, inlow };
-		double[][] arrout = { outdata };
-		ADD_Series QL = new(bars.High, bars.Low);
-		Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--)
-		{
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-	public void ADOSC()
-	{
-		double[][] arrin = { inhigh, inlow, inclose, involume };
-		double[][] arrout = { outdata };
-		int s = 3;
-		ADOSC_Series QL = new(bars, s, period, false);
-		Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--) 
-		{
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i-period+1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-	public void ATR()
-	{
-		double[][] arrin = { inhigh, inlow, inclose };
-		double[][] arrout = { outdata };
-
-		ATR_Series QL = new(bars, period, false);
-		Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--)
-		{
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i - period + 1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-	public void BBANDS()
-	{
-		double[][] arrin = { inclose };
-		double[] outmid = new double[bars.Count];
-		double[] outlower = new double[bars.Count];
-		double[] outupper = new double[bars.Count];
-		double[][] arrout = { outlower, outmid, outupper};
-		BBANDS_Series QL = new(bars.Close, period, 2, false);
-		Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--)
-		{
-			double QL_item = Math.Round(QL.Lower[i].v, digits: digits);
-			double TU_item = Math.Round(outlower[i - period + 1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-			QL_item = Math.Round(QL.Mid[i].v, digits: digits);
-			TU_item = Math.Round(outmid[i - period + 1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-			QL_item = Math.Round(QL.Upper[i].v, digits: digits);
-			TU_item = Math.Round(outupper[i - period + 1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-	public void DEMA() {
-		double[][] arrin = { inclose };
-		double[][] arrout = { outdata };
-		DEMA_Series QL = new(bars.Close, period, useNaN: false, useSMA: false);
-		Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--) {
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i-(period+period-2)], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-  public void EMA()
-  {
-    double[][] arrin = { inclose };
-		double[][] arrout = { outdata };
-		EMA_Series QL = new(bars.Close, period, false);
-    Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-    for (int i = QL.Length - 1; i > skip; i--)
-    {
-      double QL_item = Math.Round(QL[i].v, digits: digits);
-      double TU_item = Math.Round(arrout[0][i], digits);
-      Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-    }
-  }
-	[Fact]
-	public void AVGPRICE()
-	{
-		double[][] arrin = { inopen, inhigh, inlow, inclose };
-		double[][] arrout = { outdata };
-
-		TSeries QL = bars.OHLC4;
-		Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--)
-		{
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	[Fact]
-	public void SMA()
-	{
-		double[][] arrin = { inclose };
-		double[][] arrout = { outdata };
-		SMA_Series QL = new(bars.Close, period, false);
-		Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--)
-		{
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i-period+1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-	/*
-	[Fact]
-	public void HMA() {
-		double[][] arrin = { inclose };
-		double[][] arrout = { outdata };
-		HMA_Series QL = new(bars.Close, period, false);
-		Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--) {
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i-period-1], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}*/
-	[Fact]
-	public void CMO() {
-		double[][] arrin = { inclose };
-		double[][] arrout = { outdata };
-		CMO_Series QL = new(bars.Close, period, useNaN: false);
-		Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
-		for (int i = QL.Length - 1; i > skip; i--) {
-			double QL_item = Math.Round(QL[i].v, digits: digits);
-			double TU_item = Math.Round(arrout[0][i-period], digits);
-			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
-		}
-	}
-}
+using Xunit;
+using System;
+using Tulip;
+using QuanTAlib;
+
+namespace Validations;
+public class Tulip_Test
+{
+  private readonly GBM_Feed bars;
+  private readonly Random rnd = new();
+  private readonly int period, digits, skip;
+  private readonly double[] outdata;
+  private readonly double[] inopen;
+  private readonly double[] inhigh;
+  private readonly double[] inlow;
+  private readonly double[] inclose;
+  private readonly double[] involume;
+
+  public Tulip_Test()
+  {
+    bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
+    period = rnd.Next(28) + 3;
+    skip = 200;
+    digits = 10;
+
+    outdata = new double[bars.Count];
+    inopen = bars.Open.v.ToArray();
+    inhigh = bars.High.v.ToArray();
+    inlow = bars.Low.v.ToArray();
+    inclose = bars.Close.v.ToArray()!;
+    involume = bars.Volume.v.ToArray()!;
+
+  }
+	[Fact]
+	public void ADL()
+	{
+		double[][] arrin = {inhigh, inlow, inclose, involume };
+		double[][] arrout = { outdata };
+		ADL_Series QL = new(bars, false);
+		Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--)
+		{
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+	public void ADD()
+	{
+		double[][] arrin = { inhigh, inlow };
+		double[][] arrout = { outdata };
+		ADD_Series QL = new(bars.High, bars.Low);
+		Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--)
+		{
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+	public void ADOSC()
+	{
+		double[][] arrin = { inhigh, inlow, inclose, involume };
+		double[][] arrout = { outdata };
+		int s = 3;
+		ADOSC_Series QL = new(bars, s, period, false);
+		Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--) 
+		{
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i-period+1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+	public void ATR()
+	{
+		double[][] arrin = { inhigh, inlow, inclose };
+		double[][] arrout = { outdata };
+
+		ATR_Series QL = new(bars, period, false);
+		Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--)
+		{
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i - period + 1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+	public void BBANDS()
+	{
+		double[][] arrin = { inclose };
+		double[] outmid = new double[bars.Count];
+		double[] outlower = new double[bars.Count];
+		double[] outupper = new double[bars.Count];
+		double[][] arrout = { outlower, outmid, outupper};
+		BBANDS_Series QL = new(bars.Close, period, 2, false);
+		Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--)
+		{
+			double QL_item = Math.Round(QL.Lower[i].v, digits: digits);
+			double TU_item = Math.Round(outlower[i - period + 1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+			QL_item = Math.Round(QL.Mid[i].v, digits: digits);
+			TU_item = Math.Round(outmid[i - period + 1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+			QL_item = Math.Round(QL.Upper[i].v, digits: digits);
+			TU_item = Math.Round(outupper[i - period + 1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+	public void DEMA() {
+		double[][] arrin = { inclose };
+		double[][] arrout = { outdata };
+		DEMA_Series QL = new(bars.Close, period, useNaN: false, useSMA: false);
+		Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--) {
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i-(period+period-2)], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+  public void EMA()
+  {
+    double[][] arrin = { inclose };
+		double[][] arrout = { outdata };
+		EMA_Series QL = new(bars.Close, period, false);
+    Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+    for (int i = QL.Length - 1; i > skip; i--)
+    {
+      double QL_item = Math.Round(QL[i].v, digits: digits);
+      double TU_item = Math.Round(arrout[0][i], digits);
+      Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+    }
+  }
+	[Fact]
+	public void AVGPRICE()
+	{
+		double[][] arrin = { inopen, inhigh, inlow, inclose };
+		double[][] arrout = { outdata };
+
+		TSeries QL = bars.OHLC4;
+		Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--)
+		{
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	[Fact]
+	public void SMA()
+	{
+		double[][] arrin = { inclose };
+		double[][] arrout = { outdata };
+		SMA_Series QL = new(bars.Close, period, false);
+		Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--)
+		{
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i-period+1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+	/*
+	[Fact]
+	public void HMA() {
+		double[][] arrin = { inclose };
+		double[][] arrout = { outdata };
+		HMA_Series QL = new(bars.Close, period, false);
+		Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--) {
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i-period-1], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}*/
+	[Fact]
+	public void CMO() {
+		double[][] arrin = { inclose };
+		double[][] arrout = { outdata };
+		CMO_Series QL = new(bars.Close, period, useNaN: false);
+		Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
+		for (int i = QL.Length - 1; i > skip; i--) {
+			double QL_item = Math.Round(QL[i].v, digits: digits);
+			double TU_item = Math.Round(arrout[0][i-period], digits);
+			Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
+		}
+	}
+}