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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
@@ -1,127 +1,127 @@
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namespace QuanTAlib;
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using System;
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using System.Linq;
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/* <summary>
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DEMA: Double Exponential Moving Average
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DEMA uses EMA(EMA()) to calculate smoother Exponential moving average.
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Sources:
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https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/double-exponential-moving-average-dema/
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Remark:
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ema1 = EMA(close, length)
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ema2 = EMA(ema1, length)
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DEMA = 2 * ema1 - ema2
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</summary> */
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public class DEMA_Series : TSeries {
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private double _k;
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private double _sum, _oldsum;
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private double _lastema1, _oldema1, _lastema2, _oldema2;
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private int _len;
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private readonly bool _useSMA;
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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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//core constructor
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public DEMA_Series(int period, bool useNaN, bool useSMA) {
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_period = period;
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_NaN = useNaN;
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_useSMA = useSMA;
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Name = $"DEMA({period})";
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_k = 2.0 / (_period + 1);
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_len = 0;
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_sum = _oldsum = _lastema1 = _lastema2 = 0;
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}
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//generic constructors (source)
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public DEMA_Series() : this(0, false, true) {}
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public DEMA_Series(int period) : this(period, false, true) {}
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public DEMA_Series(TBars source) : this(source.Close, 0, false) {}
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public DEMA_Series(TBars source, int period) : this(source.Close, period, false) {}
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public DEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) {}
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public DEMA_Series(TSeries source, int period) : this(source, period, false, true) {}
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public DEMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) {}
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public DEMA_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
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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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// 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 (update) {
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_lastema1 = _oldema1;
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_lastema2 = _oldema2;
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_sum = _oldsum;
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}
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else {
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_oldema1 = _lastema1;
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_oldema2 = _lastema2;
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_oldsum = _sum;
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_len++;
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}
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if (_period == 0) {
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_k = 2.0 / (_len + 1);
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}
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double _ema1, _ema2, _dema;
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if (Count == 0) {
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_ema1 = _ema2 = _sum = TValue.v;
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}
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else if (_len <= _period && _useSMA && _period != 0) {
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_sum += TValue.v;
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_ema1 = _sum / Math.Min(_len, _period);
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_ema2 = _ema1;
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}
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else {
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_ema1 = (TValue.v - _lastema1) * _k + _lastema1;
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_ema2 = (_ema1 - _lastema2) * _k + _lastema2;
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}
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_dema = 2 * _ema1 - _ema2;
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_lastema1 = double.IsNaN(_ema1) ? _lastema1 : _ema1;
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_lastema2 = double.IsNaN(_ema2) ? _lastema2 : _ema2;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _dema);
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return base.Add(res, update);
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}
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//variation of Add()
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) {
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return (DateTime.Today, double.NaN);
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}
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foreach (var item in data) {
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Add(item, false);
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}
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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 Add(_data.Last, update);
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}
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public (DateTime t, double v) Add() {
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return Add(_data.Last, false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(_data.Last, e.update);
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}
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//reset calculation
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public override void Reset() {
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_sum = _oldsum = _lastema1 = _lastema2 = 0;
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_len = 0;
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}
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namespace QuanTAlib;
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using System;
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using System.Linq;
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/* <summary>
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DEMA: Double Exponential Moving Average
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DEMA uses EMA(EMA()) to calculate smoother Exponential moving average.
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Sources:
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https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/double-exponential-moving-average-dema/
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Remark:
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ema1 = EMA(close, length)
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ema2 = EMA(ema1, length)
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DEMA = 2 * ema1 - ema2
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</summary> */
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public class DEMA_Series : TSeries {
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private double _k;
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private double _sum, _oldsum;
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private double _lastema1, _oldema1, _lastema2, _oldema2;
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private int _len;
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private readonly bool _useSMA;
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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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//core constructor
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public DEMA_Series(int period, bool useNaN, bool useSMA) {
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_period = period;
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_NaN = useNaN;
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_useSMA = useSMA;
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Name = $"DEMA({period})";
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_k = 2.0 / (_period + 1);
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_len = 0;
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_sum = _oldsum = _lastema1 = _lastema2 = 0;
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}
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//generic constructors (source)
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public DEMA_Series() : this(0, false, true) {}
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public DEMA_Series(int period) : this(period, false, true) {}
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public DEMA_Series(TBars source) : this(source.Close, 0, false) {}
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public DEMA_Series(TBars source, int period) : this(source.Close, period, false) {}
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public DEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) {}
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public DEMA_Series(TSeries source, int period) : this(source, period, false, true) {}
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public DEMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) {}
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public DEMA_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
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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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// 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 (update) {
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_lastema1 = _oldema1;
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_lastema2 = _oldema2;
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_sum = _oldsum;
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}
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else {
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_oldema1 = _lastema1;
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_oldema2 = _lastema2;
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_oldsum = _sum;
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_len++;
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}
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if (_period == 0) {
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_k = 2.0 / (_len + 1);
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}
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double _ema1, _ema2, _dema;
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if (Count == 0) {
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_ema1 = _ema2 = _sum = TValue.v;
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}
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else if (_len <= _period && _useSMA && _period != 0) {
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_sum += TValue.v;
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_ema1 = _sum / Math.Min(_len, _period);
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_ema2 = _ema1;
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}
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else {
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_ema1 = (TValue.v - _lastema1) * _k + _lastema1;
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_ema2 = (_ema1 - _lastema2) * _k + _lastema2;
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}
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_dema = 2 * _ema1 - _ema2;
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_lastema1 = double.IsNaN(_ema1) ? _lastema1 : _ema1;
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_lastema2 = double.IsNaN(_ema2) ? _lastema2 : _ema2;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _dema);
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return base.Add(res, update);
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}
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//variation of Add()
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) {
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return (DateTime.Today, double.NaN);
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}
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foreach (var item in data) {
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Add(item, false);
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}
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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 Add(_data.Last, update);
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}
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public (DateTime t, double v) Add() {
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return Add(_data.Last, false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(_data.Last, e.update);
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}
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//reset calculation
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public override void Reset() {
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_sum = _oldsum = _lastema1 = _lastema2 = 0;
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_len = 0;
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}
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}
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