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https://github.com/mihakralj/QuanTAlib.git
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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
@@ -1,83 +1,83 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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/* <summary>
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DECAY:
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Linear decay can be modeled by a straight line with a negative slope of 1/period.
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The value decreases in a straight line from the last maximum to 0.
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Decay = Last Max - distance/period
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Exponential decay is modeled as an exponential curve with diminishing factor of
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1-1/p
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</summary> */
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public class DECAY_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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private readonly bool _exp;
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private double _pdecay, _ppdecay;
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private readonly double _dfactor;
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//core constructors
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public DECAY_Series(int period, bool exponential, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"DECAY({period})";
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_exp = exponential;
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_dfactor = (_exp) ? 1.0 - 1.0 / (double)_period : 1 / (double)_period;
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_pdecay = _ppdecay = 0;
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}
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public DECAY_Series(TSeries source, int period, bool exponential, bool useNaN) : this(period, exponential, 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);
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}
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public DECAY_Series() : this(period: 0, exponential: false, useNaN: false) { }
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public DECAY_Series(int period) : this(period: period, exponential: false, useNaN: false) { }
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public DECAY_Series(TBars source) : this(source.Close, period: 0, exponential: false, useNaN: false) { }
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public DECAY_Series(TBars source, int period) : this(source.Close, period: period, exponential:false, useNaN:false) { }
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public DECAY_Series(TBars source, int period, bool useNaN) : this(source.Close, period: period, exponential: false, useNaN) { }
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public DECAY_Series(TSeries source) : this(source, period: 0, exponential: false, useNaN:false) { }
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public DECAY_Series(TSeries source, int period) : this(source: source, period: period, exponential: false, useNaN: false) { }
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public DECAY_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, exponential: false, useNaN: useNaN) { }
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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 v) TValue, bool update = false) {
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if (double.IsNaN(TValue.v)) {
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return base.Add((TValue.t, Double.NaN), update);
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}
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if (update) { _pdecay = _ppdecay; }
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else { _ppdecay = _pdecay; }
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if (this.Count == 0) { _pdecay = TValue.v; }
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double _decay = Math.Max(TValue.v, Math.Max((_exp) ? _pdecay * _dfactor : _pdecay - _dfactor, 0));
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_pdecay = _decay;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _decay);
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return base.Add(res, update);
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}
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TValue: _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(TValue: _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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_pdecay = _ppdecay = 0;
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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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/* <summary>
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DECAY:
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Linear decay can be modeled by a straight line with a negative slope of 1/period.
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The value decreases in a straight line from the last maximum to 0.
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Decay = Last Max - distance/period
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Exponential decay is modeled as an exponential curve with diminishing factor of
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1-1/p
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</summary> */
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public class DECAY_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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private readonly bool _exp;
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private double _pdecay, _ppdecay;
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private readonly double _dfactor;
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//core constructors
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public DECAY_Series(int period, bool exponential, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"DECAY({period})";
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_exp = exponential;
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_dfactor = (_exp) ? 1.0 - 1.0 / (double)_period : 1 / (double)_period;
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_pdecay = _ppdecay = 0;
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}
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public DECAY_Series(TSeries source, int period, bool exponential, bool useNaN) : this(period, exponential, 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);
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}
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public DECAY_Series() : this(period: 0, exponential: false, useNaN: false) { }
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public DECAY_Series(int period) : this(period: period, exponential: false, useNaN: false) { }
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public DECAY_Series(TBars source) : this(source.Close, period: 0, exponential: false, useNaN: false) { }
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public DECAY_Series(TBars source, int period) : this(source.Close, period: period, exponential:false, useNaN:false) { }
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public DECAY_Series(TBars source, int period, bool useNaN) : this(source.Close, period: period, exponential: false, useNaN) { }
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public DECAY_Series(TSeries source) : this(source, period: 0, exponential: false, useNaN:false) { }
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public DECAY_Series(TSeries source, int period) : this(source: source, period: period, exponential: false, useNaN: false) { }
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public DECAY_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, exponential: false, useNaN: useNaN) { }
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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 v) TValue, bool update = false) {
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if (double.IsNaN(TValue.v)) {
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return base.Add((TValue.t, Double.NaN), update);
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}
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if (update) { _pdecay = _ppdecay; }
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else { _ppdecay = _pdecay; }
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if (this.Count == 0) { _pdecay = TValue.v; }
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double _decay = Math.Max(TValue.v, Math.Max((_exp) ? _pdecay * _dfactor : _pdecay - _dfactor, 0));
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_pdecay = _decay;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _decay);
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return base.Add(res, update);
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}
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TValue: _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(TValue: _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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_pdecay = _ppdecay = 0;
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}
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}
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