gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-24 21:48:03 +00:00
Code Issues Packages Projects Releases Wiki Activity

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.

Browse Source
This commit is contained in:
Miha Kralj
2024-07-25 17:42:09 -07:00
parent f7fd3fbf9f
commit 7dd938c368
86 changed files with 9367 additions and 9153 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Calculations/_Updated/ATRP_Series.cs
+86 -86
View File
@@ -1,87 +1,87 @@
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
ATRP: Average True Range Percent
Average True Range Percent is (ATR/Close Price)*100.
This normalizes so it can be compared to other stocks.
Sources:
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
</summary> */
public class ATRP_Series : TSeries {
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TBars _data;
private double _k;
private int _len;
private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
//core constructors
public ATRP_Series(int period, bool useNaN) {
_period = period;
_k = 1.0 / (double)(_period);
_NaN = useNaN;
_len = 0;
Name = $"ATRP({period})";
}
public ATRP_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(data: _data);
}
public ATRP_Series() : this(period: 1, useNaN: false) { }
public ATRP_Series(int period) : this(period: period, useNaN: false) { }
public ATRP_Series(TBars source) : this(source, period: 1, useNaN: false) { }
public ATRP_Series(TBars source, int period) : this(source: source, period: period, 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) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
else {
_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
_k = (_period == 0) ? 1 / (double)_len : _k;
_len++;
}
if (_len == 1) { _cm1 = TBar.c; }
double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h);
double d3 = Math.Abs(_cm1 - TBar.l);
(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
_cm1 = TBar.c;
double _atr = 0;
if (this.Count == 0) { _atr = d.v; }
else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
else { _atr = _k * (d.v - _lastatr) + _lastatr; }
_lastatr = _atr;
double _atrp = 100 * (_atr / TBar.c);
var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atrp);
return base.Add(res, 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() {
_len = 0;
}
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
ATRP: Average True Range Percent
Average True Range Percent is (ATR/Close Price)*100.
This normalizes so it can be compared to other stocks.
Sources:
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
</summary> */
public class ATRP_Series : TSeries {
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TBars _data;
private double _k;
private int _len;
private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
//core constructors
public ATRP_Series(int period, bool useNaN) {
_period = period;
_k = 1.0 / (double)(_period);
_NaN = useNaN;
_len = 0;
Name = $"ATRP({period})";
}
public ATRP_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(data: _data);
}
public ATRP_Series() : this(period: 1, useNaN: false) { }
public ATRP_Series(int period) : this(period: period, useNaN: false) { }
public ATRP_Series(TBars source) : this(source, period: 1, useNaN: false) { }
public ATRP_Series(TBars source, int period) : this(source: source, period: period, 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) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
else {
_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
_k = (_period == 0) ? 1 / (double)_len : _k;
_len++;
}
if (_len == 1) { _cm1 = TBar.c; }
double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h);
double d3 = Math.Abs(_cm1 - TBar.l);
(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
_cm1 = TBar.c;
double _atr = 0;
if (this.Count == 0) { _atr = d.v; }
else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
else { _atr = _k * (d.v - _lastatr) + _lastatr; }
_lastatr = _atr;
double _atrp = 100 * (_atr / TBar.c);
var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atrp);
return base.Add(res, 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() {
_len = 0;
}
}