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Add new data structures and event handling classes for trading platform. Include base classes, value and bar structs, event arguments, emitters, listeners. Update ruleset for SonarLint.

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Miha Kralj
2024-07-25 17:42:09 -07:00
parent f7fd3fbf9f
commit 7dd938c368
86 changed files with 9367 additions and 9153 deletions
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Calculations/_Updated/ADOSC_Series.cs
+89 -89
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@@ -1,90 +1,90 @@
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
ADOSC: Chaikin Accumulation/Distribution Oscillator
ADO measures the momentum of ADL using the difference between slow (10-day) EMA(ADL)
and fast (3-day) EMA(ADL):
Chaikin A/D Oscillator is defined as 3-day EMA of ADL minus 10-day EMA of ADL
Sources:
https://school.stockcharts.com/doku.php?id=technical_indicators:chaikin_oscillator
</summary> */
public class ADOSC_Series : TSeries {
protected readonly TBars _data;
private readonly double _k1, _k2;
private double _lastema1, _lastlastema1, _lastema2, _lastlastema2;
private double _lastadl, _lastlastadl;
//core constructors
public ADOSC_Series(int shortPeriod, int longPeriod, bool useNaN = false) {
Name = $"ADOSC()";
_k1 = 2.0 / (shortPeriod + 1);
_k2 = 2.0 / (longPeriod + 1);
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
}
public ADOSC_Series(TBars source, int shortPeriod, int longPeriod, bool useNaN = false) :this(shortPeriod, longPeriod, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_lastadl = _lastlastadl = 0;
_data.Pub += Sub;
Add(data: _data);
}
public ADOSC_Series() : this(shortPeriod: 3, longPeriod: 10, useNaN: false) {}
public ADOSC_Series(TBars source) : this(source, shortPeriod: 3, longPeriod:10, useNaN:false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update= false) {
if (update) {
_lastadl = _lastlastadl;
_lastema1 = _lastlastema1;
_lastema2 = _lastlastema2;
}
double _adl = 0;
double tmp = TBar.h - TBar.l;
if (tmp > 0.0) { _adl = _lastadl + ((2 * TBar.c - TBar.l - TBar.h) / tmp * TBar.v); }
if (this.Count == 0) { _lastema1 = _lastema2 = _adl; }
double _ema1 = (_adl - _lastema1) * _k1 + _lastema1;
double _ema2 = (_adl - _lastema2) * _k2 + _lastema2;
_lastlastadl = _lastadl;
_lastadl = _adl;
_lastlastema1 = _lastema1;
_lastema1 = _ema1;
_lastlastema2 = _lastema2;
_lastema2 = _ema2;
double _adosc = _ema1 - _ema2;
var ret = (TBar.t, _adosc);
return base.Add(ret, update);
}
public new void Add(TBars data) {
foreach (var item in data) { Add(item, false); }
}
public (DateTime t, double v) Add(bool update) {
return this.Add(TBar: _data.Last, update: update);
}
public (DateTime t, double v) Add() {
return Add(TBar: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e) {
Add(TBar: _data.Last, update: e.update);
}
//reset calculation
public override void Reset() {
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
}
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
ADOSC: Chaikin Accumulation/Distribution Oscillator
ADO measures the momentum of ADL using the difference between slow (10-day) EMA(ADL)
and fast (3-day) EMA(ADL):
Chaikin A/D Oscillator is defined as 3-day EMA of ADL minus 10-day EMA of ADL
Sources:
https://school.stockcharts.com/doku.php?id=technical_indicators:chaikin_oscillator
</summary> */
public class ADOSC_Series : TSeries {
protected readonly TBars _data;
private readonly double _k1, _k2;
private double _lastema1, _lastlastema1, _lastema2, _lastlastema2;
private double _lastadl, _lastlastadl;
//core constructors
public ADOSC_Series(int shortPeriod, int longPeriod, bool useNaN = false) {
Name = $"ADOSC()";
_k1 = 2.0 / (shortPeriod + 1);
_k2 = 2.0 / (longPeriod + 1);
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
}
public ADOSC_Series(TBars source, int shortPeriod, int longPeriod, bool useNaN = false) :this(shortPeriod, longPeriod, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_lastadl = _lastlastadl = 0;
_data.Pub += Sub;
Add(data: _data);
}
public ADOSC_Series() : this(shortPeriod: 3, longPeriod: 10, useNaN: false) {}
public ADOSC_Series(TBars source) : this(source, shortPeriod: 3, longPeriod:10, useNaN:false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update= false) {
if (update) {
_lastadl = _lastlastadl;
_lastema1 = _lastlastema1;
_lastema2 = _lastlastema2;
}
double _adl = 0;
double tmp = TBar.h - TBar.l;
if (tmp > 0.0) { _adl = _lastadl + ((2 * TBar.c - TBar.l - TBar.h) / tmp * TBar.v); }
if (this.Count == 0) { _lastema1 = _lastema2 = _adl; }
double _ema1 = (_adl - _lastema1) * _k1 + _lastema1;
double _ema2 = (_adl - _lastema2) * _k2 + _lastema2;
_lastlastadl = _lastadl;
_lastadl = _adl;
_lastlastema1 = _lastema1;
_lastema1 = _ema1;
_lastlastema2 = _lastema2;
_lastema2 = _ema2;
double _adosc = _ema1 - _ema2;
var ret = (TBar.t, _adosc);
return base.Add(ret, update);
}
public new void Add(TBars data) {
foreach (var item in data) { Add(item, false); }
}
public (DateTime t, double v) Add(bool update) {
return this.Add(TBar: _data.Last, update: update);
}
public (DateTime t, double v) Add() {
return Add(TBar: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e) {
Add(TBar: _data.Last, update: e.update);
}
//reset calculation
public override void Reset() {
_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
}
}