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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.
This commit is contained in:
Miha Kralj
@@ -1,86 +1,86 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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/* <summary>
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CCI: Commodity Channel Index
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Commodity Channel Index is a momentum oscillator used to primarily identify overbought
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and oversold levels relative to a mean. CCI measures the current price level relative
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to an average price level over a given period of time:
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- CCI is relatively high when prices are far above their average.
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- CCI is relatively low when prices are far below their average.
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Using this method, CCI can be used to identify overbought and oversold levels.
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Sources:
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https://www.investopedia.com/terms/c/commoditychannelindex.asp
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https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cci
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</summary> */
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public class CCI_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TBars _data;
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private readonly System.Collections.Generic.List<double> _tp = new();
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//core constructors
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public CCI_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"CCI({period})";
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}
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public CCI_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(data: _data);
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}
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public CCI_Series() : this(period: 2, useNaN: false) { }
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public CCI_Series(int period) : this(period: period, useNaN: false) { }
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public CCI_Series(TBars source) : this(source, period: 2, useNaN: false) { }
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public CCI_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
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double _tpItem = (TBar.h + TBar.l + TBar.c) / 3.0;
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if (update) {
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this._tp[this._tp.Count - 1] = _tpItem;
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}
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else {
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this._tp.Add(_tpItem);
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}
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if (this._tp.Count > this._period) { this._tp.RemoveAt(0); }
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// average TP over _tp buffer
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double _avgTp = _tp.Average();
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// average Deviation over _tp buffer
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double _avgDv = 0;
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for (int i = 0; i < this._tp.Count; i++) { _avgDv += Math.Abs(_avgTp - this._tp[i]); }
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_avgDv /= this._tp.Count;
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double _cci = (_avgDv == 0) ? 0 : (this._tp[this._tp.Count - 1] - _avgTp) / (0.015 * _avgDv);
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var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _cci);
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return base.Add(res, update);
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}
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public new void Add(TBars data) {
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foreach (var item in data) { Add(item, false); }
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TBar: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TBar: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TBar: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset() {
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_tp.Clear();
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}
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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/* <summary>
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CCI: Commodity Channel Index
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Commodity Channel Index is a momentum oscillator used to primarily identify overbought
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and oversold levels relative to a mean. CCI measures the current price level relative
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to an average price level over a given period of time:
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- CCI is relatively high when prices are far above their average.
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- CCI is relatively low when prices are far below their average.
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Using this method, CCI can be used to identify overbought and oversold levels.
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Sources:
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https://www.investopedia.com/terms/c/commoditychannelindex.asp
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https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cci
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</summary> */
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public class CCI_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TBars _data;
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private readonly System.Collections.Generic.List<double> _tp = new();
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//core constructors
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public CCI_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"CCI({period})";
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}
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public CCI_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(data: _data);
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}
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public CCI_Series() : this(period: 2, useNaN: false) { }
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public CCI_Series(int period) : this(period: period, useNaN: false) { }
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public CCI_Series(TBars source) : this(source, period: 2, useNaN: false) { }
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public CCI_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
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double _tpItem = (TBar.h + TBar.l + TBar.c) / 3.0;
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if (update) {
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this._tp[this._tp.Count - 1] = _tpItem;
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}
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else {
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this._tp.Add(_tpItem);
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}
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if (this._tp.Count > this._period) { this._tp.RemoveAt(0); }
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// average TP over _tp buffer
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double _avgTp = _tp.Average();
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// average Deviation over _tp buffer
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double _avgDv = 0;
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for (int i = 0; i < this._tp.Count; i++) { _avgDv += Math.Abs(_avgTp - this._tp[i]); }
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_avgDv /= this._tp.Count;
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double _cci = (_avgDv == 0) ? 0 : (this._tp[this._tp.Count - 1] - _avgTp) / (0.015 * _avgDv);
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var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _cci);
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return base.Add(res, update);
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}
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public new void Add(TBars data) {
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foreach (var item in data) { Add(item, false); }
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TBar: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TBar: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TBar: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset() {
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_tp.Clear();
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}
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}
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