volume indicators

lib/filters/bessel/Bessel.cs

@@ -329,7 +329,7 @@ public sealed class Bessel : AbstractBase
         }
 
         Last = new TValue(input.Time, filt);
-        PubEvent(Last);
+        PubEvent(Last, isNew);
         return Last;
     }
 

lib/filters/bpf/Bpf.Quantower.Tests.cs

@@ -9,8 +9,8 @@ public class BpfIndicatorTests
     {
         var indicator = new BpfIndicator();
 
-        Assert.Equal(40, indicator.LowerPeriod);
-        Assert.Equal(10, indicator.UpperPeriod);
+        Assert.Equal(10, indicator.LowerPeriod);
+        Assert.Equal(40, indicator.UpperPeriod);
         Assert.Equal(SourceType.Close, indicator.Source);
         Assert.True(indicator.ShowColdValues);
         Assert.Equal("BPF - Bandpass Filter", indicator.Name);
@@ -21,7 +21,7 @@ public class BpfIndicatorTests
     [Fact]
     public void BpfIndicator_MinHistoryDepths_EqualsZero()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 20, UpperPeriod = 5 };
+        var indicator = new BpfIndicator { LowerPeriod = 5, UpperPeriod = 20 };
 
         Assert.Equal(0, BpfIndicator.MinHistoryDepths);
         Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
@@ -30,17 +30,17 @@ public class BpfIndicatorTests
     [Fact]
     public void BpfIndicator_ShortName_IncludesParameters()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10 };
+        var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40 };
 
         Assert.Contains("BPF", indicator.ShortName, StringComparison.Ordinal);
-        Assert.Contains("40", indicator.ShortName, StringComparison.Ordinal);
         Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("40", indicator.ShortName, StringComparison.Ordinal);
     }
 
     [Fact]
     public void BpfIndicator_Initialize_CreatesInternalBpf()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10 };
+        var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40 };
 
         // Initialize should not throw
         indicator.Initialize();
@@ -52,7 +52,7 @@ public class BpfIndicatorTests
     [Fact]
     public void BpfIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10 };
+        var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40 };
         indicator.Initialize();
 
         // Add historical data
@@ -71,7 +71,7 @@ public class BpfIndicatorTests
     [Fact]
     public void BpfIndicator_ProcessUpdate_NewBar_ComputesValue()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10 };
+        var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40 };
         indicator.Initialize();
 
         var now = DateTime.UtcNow;
@@ -87,7 +87,7 @@ public class BpfIndicatorTests
     [Fact]
     public void BpfIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10 };
+        var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40 };
         indicator.Initialize();
 
         var now = DateTime.UtcNow;
@@ -110,7 +110,7 @@ public class BpfIndicatorTests
 
         foreach (var source in sources)
         {
-            var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10, Source = source };
+            var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40, Source = source };
             indicator.Initialize();
 
             var now = DateTime.UtcNow;
@@ -125,13 +125,13 @@ public class BpfIndicatorTests
     [Fact]
     public void BpfIndicator_Periods_CanBeChanged()
     {
-        var indicator = new BpfIndicator { LowerPeriod = 40, UpperPeriod = 10 };
-        Assert.Equal(40, indicator.LowerPeriod);
-        Assert.Equal(10, indicator.UpperPeriod);
+        var indicator = new BpfIndicator { LowerPeriod = 10, UpperPeriod = 40 };
+        Assert.Equal(10, indicator.LowerPeriod);
+        Assert.Equal(40, indicator.UpperPeriod);
 
-        indicator.LowerPeriod = 60;
-        indicator.UpperPeriod = 20;
-        Assert.Equal(60, indicator.LowerPeriod);
-        Assert.Equal(20, indicator.UpperPeriod);
+        indicator.LowerPeriod = 20;
+        indicator.UpperPeriod = 60;
+        Assert.Equal(20, indicator.LowerPeriod);
+        Assert.Equal(60, indicator.UpperPeriod);
     }
 }

lib/filters/bpf/Bpf.Quantower.cs

@@ -7,11 +7,11 @@ namespace QuanTAlib;
 [SkipLocalsInit]
 public sealed class BpfIndicator : Indicator, IWatchlistIndicator
 {
-    [InputParameter("Max Period (HP)", sortIndex: 1, 1, 2000, 1, 0)]
-    public int LowerPeriod { get; set; } = 40;
+    [InputParameter("Lower Period (HP)", sortIndex: 1, 1, 2000, 1, 0)]
+    public int LowerPeriod { get; set; } = 10;
 
-    [InputParameter("Min Period (LP)", sortIndex: 2, 1, 2000, 1, 0)]
-    public int UpperPeriod { get; set; } = 10;
+    [InputParameter("Upper Period (LP)", sortIndex: 2, 1, 2000, 1, 0)]
+    public int UpperPeriod { get; set; } = 40;
 
     [IndicatorExtensions.DataSourceInput]
     public SourceType Source { get; set; } = SourceType.Close;

lib/filters/bpf/Bpf.cs

@@ -62,6 +62,13 @@ public sealed class Bpf : AbstractBase
             throw new ArgumentOutOfRangeException(nameof(upperPeriod), "Upper period must be >= 1");
         }
 
+        if (lowerPeriod >= upperPeriod)
+        {
+            throw new ArgumentException(
+                $"Lower cutoff period ({lowerPeriod}) must be less than upper cutoff period ({upperPeriod}) for a valid passband.",
+                nameof(lowerPeriod));
+        }
+
         LowerPeriod = lowerPeriod;
         UpperPeriod = upperPeriod;
         Name = $"BPF({lowerPeriod},{upperPeriod})";

lib/filters/butter/Butter.cs

@@ -32,7 +32,7 @@ public sealed class Butter : AbstractBase
         _period = period;
         CalculateCoefficients();
         Name = $"Butter({_period})";
-        WarmupPeriod = 2;
+        WarmupPeriod = 4 * period;
         _handler = new TValuePublishedHandler(Handle);
         Init();
     }

lib/filters/elliptic/Elliptic.cs

@@ -94,6 +94,9 @@ public sealed class Elliptic : AbstractBase
         _b2 = b2_val * gain_corr;
         _a1 = a1_val;
         _a2 = a2_val;
+
+        // Initialize LastValid to NaN so first non-finite input doesn't use uninitialized 0.0
+        _state.LastValid = double.NaN;
     }
 
     public Elliptic(ITValuePublisher source, int period) : this(period)
@@ -201,6 +204,7 @@ public sealed class Elliptic : AbstractBase
     public override void Reset()
     {
         _state = default;
+        _state.LastValid = double.NaN;
         _p_state = default;
         Last = default;
     }

lib/filters/gauss/Gauss.cs

@@ -1,3 +1,4 @@
+using System.Buffers;
 using System.Runtime.CompilerServices;
 using System.Runtime.InteropServices;
 
@@ -235,6 +236,8 @@ public sealed class Gauss : AbstractBase
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
     public static void Calculate(ReadOnlySpan<double> source, Span<double> output, double sigma)
     {
+        const int StackallocThreshold = 256;
+
         if (source.Length != output.Length)
         {
             throw new ArgumentException("Source and output spans must be of equal length.", nameof(output));
@@ -242,25 +245,40 @@ public sealed class Gauss : AbstractBase
 
         int kernelSize = (int)(2 * Math.Ceiling(3.0 * sigma) + 1);
 
-        // Precompute weights
-        Span<double> weights = stackalloc double[kernelSize];
-        double sum = 0;
-        int center = kernelSize / 2;
-        double twoSigmaSq = 2.0 * sigma * sigma;
+        // Use stackalloc for small kernels, ArrayPool for large ones to avoid stack overflow
+        double[]? rented = null;
+        scoped Span<double> weights;
+        scoped Span<double> stackBuffer = stackalloc double[Math.Min(kernelSize, StackallocThreshold)];
 
-        for (int i = 0; i < kernelSize; i++)
+        if (kernelSize <= StackallocThreshold)
         {
-            double x = i - center;
-            double weight = Math.Exp(-(x * x) / twoSigmaSq);
-            weights[i] = weight;
-            sum += weight;
+            weights = stackBuffer.Slice(0, kernelSize);
+        }
+        else
+        {
+            rented = ArrayPool<double>.Shared.Rent(kernelSize);
+            weights = rented.AsSpan(0, kernelSize);
         }
 
-        double invSum = 1.0 / sum;
-        for (int i = 0; i < kernelSize; i++)
+        try
         {
-            weights[i] *= invSum;
-        }
+            double sum = 0;
+            int center = kernelSize / 2;
+            double twoSigmaSq = 2.0 * sigma * sigma;
+
+            for (int i = 0; i < kernelSize; i++)
+            {
+                double x = i - center;
+                double weight = Math.Exp(-(x * x) / twoSigmaSq);
+                weights[i] = weight;
+                sum += weight;
+            }
+
+            double invSum = 1.0 / sum;
+            for (int i = 0; i < kernelSize; i++)
+            {
+                weights[i] *= invSum;
+            }
 
         // Apply filter
         for (int i = 0; i < source.Length; i++)
@@ -309,6 +327,14 @@ public sealed class Gauss : AbstractBase
                 output[i] = double.NaN;
             }
         }
+        }
+        finally
+        {
+            if (rented != null)
+            {
+                ArrayPool<double>.Shared.Return(rented, clearArray: false);
+            }
+        }
     }
 
     /// <summary>

lib/filters/kalman/Kalman.cs

@@ -38,6 +38,8 @@ public sealed class Kalman : AbstractBase
     private readonly ITValuePublisher? _publisher;
     private readonly TValuePublishedHandler? _handler;
 
+    private const double MaxCovariance = 1e10;
+
     private State _state;
     private State _pState;
 
@@ -138,7 +140,7 @@ public sealed class Kalman : AbstractBase
             }
             else
             {
-                _state.P += ProcessNoise;
+                _state.P = Math.Min(_state.P + ProcessNoise, MaxCovariance);
                 Last = new TValue(input.Time, _state.X);
             }
 
@@ -243,7 +245,7 @@ public sealed class Kalman : AbstractBase
                 }
                 else
                 {
-                    p += q;        // predict-only
+                    p = Math.Min(p + q, MaxCovariance); // predict-only, capped
                     output[i] = x;
                 }
                 continue;

lib/filters/notch/Notch.cs

@@ -147,27 +147,13 @@ public sealed class Notch : AbstractBase
 
         if (srcSpan.Length > 0)
         {
-            _index += srcSpan.Length;
-            // Best effort state restoration from the end of the block
-            // We assume the strict history for X is valid.
-            double lastVal = srcSpan[^1];
-            _state.LastValue = lastVal;
-
-            if (srcSpan.Length >= 2)
+            // Replay last few bars through streaming Update to properly restore state
+            int replayStart = Math.Max(0, srcSpan.Length - Math.Max(WarmupPeriod, 4));
+            Reset();
+            for (int i = replayStart; i < srcSpan.Length; i++)
             {
-                _state.X1 = srcSpan[^1];
-                _state.X2 = srcSpan[^2];
-                _state.Y1 = outArray[^1];
-                _state.Y2 = outArray[^2];
+                Update(new TValue(source.Times[i], srcSpan[i]), isNew: true);
             }
-            else
-            {
-                _state.X2 = _state.X1;
-                _state.X1 = srcSpan[0];
-                _state.Y2 = _state.Y1;
-                _state.Y1 = outArray[0];
-            }
-            _p_state = _state;
         }
 
         return result;

lib/filters/sgf/Sgf.cs

@@ -78,7 +78,8 @@ public sealed class Sgf : AbstractBase
             }
             else
             {
-                weight = 1.0 - Math.Abs((double)k) / (double)halfWindow;
+                // Guard against division by zero when halfWindow == 0 (period == 1)
+                weight = (halfWindow == 0) ? 1.0 : 1.0 - Math.Abs((double)k) / (double)halfWindow;
             }
 
             _weights[i] = weight;
@@ -282,7 +283,8 @@ public sealed class Sgf : AbstractBase
             }
             else
             {
-                weight = 1.0 - Math.Abs((double)k) / (double)halfWindow;
+                // Guard against division by zero when halfWindow == 0 (period == 1)
+                weight = (halfWindow == 0) ? 1.0 : 1.0 - Math.Abs((double)k) / (double)halfWindow;
             }
 
             weights[i] = weight;

lib/filters/usf/Usf.cs

@@ -77,13 +77,13 @@ public sealed class Usf : AbstractBase
 
     public Usf(TSeries source, int period) : this(period)
     {
+        _publisher = source;
+        source.Pub += _handler;
         Prime(source.Values);
         if (source.Count > 0)
         {
             Last = new TValue(source.LastTime, Last.Value);
         }
-        _publisher = source;
-        source.Pub += _handler;
     }
 
     private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);

lib/filters/wiener/Wiener.cs

@@ -40,8 +40,12 @@ public sealed class Wiener : AbstractBase
     {
         if (double.IsNaN(input.Value) || double.IsInfinity(input.Value))
         {
-            // If we have a valid last value, return it, otherwise return input
-            return isNew ? Last : new TValue(input.Time, Last.Value);
+            // If we have a valid last value, use it; otherwise fallback to input value
+            double fallbackValue = double.IsFinite(Last.Value) ? Last.Value : input.Value;
+            var fallbackResult = new TValue(input.Time, fallbackValue);
+            Last = fallbackResult;
+            PubEvent(fallbackResult, isNew);
+            return fallbackResult;
         }
 
         _buffer.Add(input.Value, isNew);
@@ -55,9 +59,9 @@ public sealed class Wiener : AbstractBase
             return res;
         }
 
-        double result = Calc();
+        double calcResult = Calc();
 
-        var ret = new TValue(input.Time, result);
+        var ret = new TValue(input.Time, calcResult);
         Last = ret;
         PubEvent(ret, isNew);
         return ret;