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volume indicators
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Miha Kralj
@@ -0,0 +1,302 @@
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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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/// VROC: Volume Rate of Change
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/// Measures the rate of change in volume over a specified period,
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/// either as a percentage or as absolute point change.
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/// </summary>
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/// <remarks>
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/// VROC Formula:
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/// Percentage Mode: VROC = ((Current Volume - Historical Volume) / Historical Volume) × 100
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/// Point Mode: VROC = Current Volume - Historical Volume
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///
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/// Key characteristics:
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/// - Positive when current volume exceeds historical volume
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/// - Negative when current volume is below historical volume
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/// - Percentage mode normalizes across different securities
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/// - Point mode shows absolute volume changes
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///
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/// Sources:
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/// PineScript reference: vroc.pine
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Vroc : ITValuePublisher
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{
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[StructLayout(LayoutKind.Auto)]
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private record struct State(
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int Head,
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int Count,
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double LastValidVolume,
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int Index);
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private State _s;
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private State _ps;
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private readonly int _period;
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private readonly bool _usePercent;
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private readonly double[] _buffer;
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private double[]? _pBuffer;
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/// <inheritdoc/>
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public TValue Last { get; private set; }
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/// <inheritdoc/>
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public bool IsHot => _s.Index > _period;
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/// <inheritdoc/>
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public int WarmupPeriod => _period + 1;
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/// <inheritdoc/>
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public string Name { get; }
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/// <inheritdoc/>
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public event TValuePublishedHandler? Pub;
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/// <summary>
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/// Initializes a new instance of the VROC indicator.
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/// </summary>
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/// <param name="period">The lookback period (default: 12).</param>
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/// <param name="usePercent">True for percentage mode, false for point change (default: true).</param>
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/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
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public Vroc(int period = 12, bool usePercent = true)
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{
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if (period < 1)
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{
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throw new ArgumentException("Period must be at least 1", nameof(period));
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}
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_period = period;
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_usePercent = usePercent;
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_buffer = new double[period + 1]; // Need period + 1 to store historical value
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Name = $"Vroc({period},{(usePercent ? "%" : "pt")})";
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Reset();
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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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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Reset()
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{
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_s = new State(Head: 0, Count: 0, LastValidVolume: 0, Index: 0);
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_ps = _s;
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Array.Clear(_buffer);
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_pBuffer = null;
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Last = default;
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}
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/// <summary>
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/// Updates the VROC with a new bar.
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/// </summary>
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/// <param name="input">The bar data.</param>
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/// <param name="isNew">True if this is a new bar, false if updating current bar.</param>
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/// <returns>The current VROC value.</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TBar input, 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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_pBuffer = (double[])_buffer.Clone();
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}
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else
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{
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_s = _ps;
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if (_pBuffer != null)
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{
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Array.Copy(_pBuffer, _buffer, _buffer.Length);
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}
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}
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var s = _s;
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int bufLen = _period + 1;
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// Handle NaN/Infinity - substitute with last valid value
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double volume = double.IsFinite(input.Volume) && input.Volume >= 0 ? input.Volume : s.LastValidVolume;
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if (double.IsFinite(input.Volume) && input.Volume >= 0)
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{
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s.LastValidVolume = input.Volume;
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}
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double vrocResult;
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// Store current volume in buffer
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_buffer[s.Head] = volume;
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if (s.Count < _period)
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{
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// Still filling the buffer - not enough history yet
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s.Head = (s.Head + 1) % bufLen;
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s.Count++;
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vrocResult = 0;
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}
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else
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{
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// Get historical volume (the value 'period' positions back)
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// With ring buffer of size period+1, historical is at (head - period + bufLen) % bufLen
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// which simplifies to (head + 1) % bufLen when count >= period
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int histIdx = (s.Head + 1) % bufLen;
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double historicalVolume = _buffer[histIdx];
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// Advance head for next iteration
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s.Head = (s.Head + 1) % bufLen;
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if (s.Count < bufLen)
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{
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s.Count++;
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}
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// Calculate VROC
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if (_usePercent)
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{
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vrocResult = historicalVolume > 0
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? ((volume - historicalVolume) / historicalVolume) * 100.0
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: 0.0;
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}
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else
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{
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vrocResult = volume - historicalVolume;
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}
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}
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if (isNew)
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{
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s.Index++;
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}
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_s = s;
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Last = new TValue(input.Time, vrocResult);
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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 the VROC with a TValue input.
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/// </summary>
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/// <remarks>
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/// VROC requires volume data for proper calculation. Using TValue without volume data
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/// will keep VROC unchanged.
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/// </remarks>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TValue input, bool isNew = true)
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{
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// VROC requires volume; without it, we can't compute
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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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Last = new TValue(input.Time, Last.Value);
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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 the VROC with a series of bars (batch mode).
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/// </summary>
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/// <param name="source">The bar series.</param>
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/// <returns>The result series.</returns>
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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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/// Calculates VROC for a series of bars (static batch mode).
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/// </summary>
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/// <param name="source">The bar series.</param>
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/// <param name="period">The lookback period (default: 12).</param>
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/// <param name="usePercent">True for percentage mode, false for point change (default: true).</param>
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/// <returns>The result series.</returns>
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public static TSeries Calculate(TBarSeries source, int period = 12, bool usePercent = true)
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{
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if (source.Count == 0)
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{
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return [];
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}
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var t = source.Open.Times.ToArray();
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var v = new double[source.Count];
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Calculate(source.Volume.Values, v, period, usePercent);
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return new TSeries(t, v);
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}
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/// <summary>
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/// Calculates VROC for spans of volume data (high-performance span mode).
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/// </summary>
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/// <param name="volume">The volume span.</param>
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/// <param name="output">The output VROC span.</param>
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/// <param name="period">The lookback period (default: 12).</param>
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/// <param name="usePercent">True for percentage mode, false for point change (default: true).</param>
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/// <exception cref="ArgumentException">Thrown when parameters are invalid.</exception>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Calculate(ReadOnlySpan<double> volume, Span<double> output, int period = 12, bool usePercent = true)
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{
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if (period < 1)
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{
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throw new ArgumentException("Period must be at least 1", nameof(period));
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}
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if (volume.Length != output.Length)
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{
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throw new ArgumentException("Output span must be of the same length as input", nameof(output));
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}
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int len = volume.Length;
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if (len == 0)
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{
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return;
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}
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double lastValidVolume = 1.0;
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for (int i = 0; i < len; i++)
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{
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// Get valid volume
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double vol = double.IsFinite(volume[i]) && volume[i] >= 0 ? volume[i] : lastValidVolume;
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if (double.IsFinite(volume[i]) && volume[i] >= 0)
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{
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lastValidVolume = volume[i];
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}
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if (i < period)
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{
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// Not enough history
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output[i] = 0;
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}
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else
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{
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// Get historical volume
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double histVol = double.IsFinite(volume[i - period]) && volume[i - period] >= 0
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? volume[i - period]
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: lastValidVolume;
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if (usePercent)
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{
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output[i] = histVol > 0
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? ((vol - histVol) / histVol) * 100.0
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: 0.0;
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}
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else
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{
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output[i] = vol - histVol;
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}
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}
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}
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}
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}
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