mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +00:00
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
@@ -1,122 +1,122 @@
|
||||
namespace QuanTAlib;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
/* <summary>
|
||||
DWMA: Double Weighted Moving Average
|
||||
The weights are decreasing over the period with p^2 decay
|
||||
and the most recent data has the heaviest weight.
|
||||
|
||||
</summary> */
|
||||
|
||||
public class DWMA_Series : TSeries {
|
||||
private readonly List<double> _buffer = new();
|
||||
private List<double> _weights;
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _data;
|
||||
protected int _len;
|
||||
|
||||
//core constructors
|
||||
public DWMA_Series(int period, bool useNaN) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
Name = $"DWMA({period})";
|
||||
_len = 0;
|
||||
_weights = CalculateWeights(_period);
|
||||
}
|
||||
|
||||
public DWMA_Series(TSeries 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);
|
||||
}
|
||||
|
||||
public DWMA_Series() : this(0, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(int period) : this(period, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TBars source) : this(source.Close, 0, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TBars source, int period) : this(source.Close, period, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TSeries source, int period) : this(source, period, false) {
|
||||
}
|
||||
|
||||
//////////////////
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
||||
BufferTrim(_buffer, TValue.v, _period, update);
|
||||
if (_period == 0) {
|
||||
_len++;
|
||||
_weights = CalculateWeights(_len);
|
||||
}
|
||||
|
||||
double _dwma = 0, _wsum = 0;
|
||||
var bufferCount = _buffer.Count;
|
||||
|
||||
var lockObj = new object();
|
||||
Parallel.For(0, bufferCount, i =>
|
||||
{
|
||||
var temp = _buffer[i] * _weights[i];
|
||||
lock (lockObj) {
|
||||
_dwma += temp;
|
||||
_wsum += _weights[i];
|
||||
}
|
||||
});
|
||||
_dwma /= _wsum;
|
||||
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _dwma);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
public override (DateTime t, double v) Add(TSeries data) {
|
||||
if (data == null) {
|
||||
return (DateTime.Today, double.NaN);
|
||||
}
|
||||
|
||||
foreach (var item in data) {
|
||||
Add(item, false);
|
||||
}
|
||||
|
||||
return _data.Last;
|
||||
}
|
||||
|
||||
public (DateTime t, double v) Add(bool update) {
|
||||
return Add(_data.Last, update);
|
||||
}
|
||||
|
||||
public (DateTime t, double v) Add() {
|
||||
return Add(_data.Last, false);
|
||||
}
|
||||
|
||||
private new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(_data.Last, e.update);
|
||||
}
|
||||
|
||||
//calculating weights
|
||||
private static List<double> CalculateWeights(int period) {
|
||||
var weights = new List<double>(period);
|
||||
for (var i = 0; i < period; i++) {
|
||||
weights.Add((i + 1) * (i + 1));
|
||||
}
|
||||
|
||||
return weights;
|
||||
}
|
||||
|
||||
//reset calculation
|
||||
public override void Reset() {
|
||||
_len = 0;
|
||||
_buffer.Clear();
|
||||
_weights = CalculateWeights(_period);
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
/* <summary>
|
||||
DWMA: Double Weighted Moving Average
|
||||
The weights are decreasing over the period with p^2 decay
|
||||
and the most recent data has the heaviest weight.
|
||||
|
||||
</summary> */
|
||||
|
||||
public class DWMA_Series : TSeries {
|
||||
private readonly List<double> _buffer = new();
|
||||
private List<double> _weights;
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _data;
|
||||
protected int _len;
|
||||
|
||||
//core constructors
|
||||
public DWMA_Series(int period, bool useNaN) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
Name = $"DWMA({period})";
|
||||
_len = 0;
|
||||
_weights = CalculateWeights(_period);
|
||||
}
|
||||
|
||||
public DWMA_Series(TSeries 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);
|
||||
}
|
||||
|
||||
public DWMA_Series() : this(0, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(int period) : this(period, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TBars source) : this(source.Close, 0, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TBars source, int period) : this(source.Close, period, false) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) {
|
||||
}
|
||||
|
||||
public DWMA_Series(TSeries source, int period) : this(source, period, false) {
|
||||
}
|
||||
|
||||
//////////////////
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
||||
BufferTrim(_buffer, TValue.v, _period, update);
|
||||
if (_period == 0) {
|
||||
_len++;
|
||||
_weights = CalculateWeights(_len);
|
||||
}
|
||||
|
||||
double _dwma = 0, _wsum = 0;
|
||||
var bufferCount = _buffer.Count;
|
||||
|
||||
var lockObj = new object();
|
||||
Parallel.For(0, bufferCount, i =>
|
||||
{
|
||||
var temp = _buffer[i] * _weights[i];
|
||||
lock (lockObj) {
|
||||
_dwma += temp;
|
||||
_wsum += _weights[i];
|
||||
}
|
||||
});
|
||||
_dwma /= _wsum;
|
||||
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _dwma);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
public override (DateTime t, double v) Add(TSeries data) {
|
||||
if (data == null) {
|
||||
return (DateTime.Today, double.NaN);
|
||||
}
|
||||
|
||||
foreach (var item in data) {
|
||||
Add(item, false);
|
||||
}
|
||||
|
||||
return _data.Last;
|
||||
}
|
||||
|
||||
public (DateTime t, double v) Add(bool update) {
|
||||
return Add(_data.Last, update);
|
||||
}
|
||||
|
||||
public (DateTime t, double v) Add() {
|
||||
return Add(_data.Last, false);
|
||||
}
|
||||
|
||||
private new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(_data.Last, e.update);
|
||||
}
|
||||
|
||||
//calculating weights
|
||||
private static List<double> CalculateWeights(int period) {
|
||||
var weights = new List<double>(period);
|
||||
for (var i = 0; i < period; i++) {
|
||||
weights.Add((i + 1) * (i + 1));
|
||||
}
|
||||
|
||||
return weights;
|
||||
}
|
||||
|
||||
//reset calculation
|
||||
public override void Reset() {
|
||||
_len = 0;
|
||||
_buffer.Clear();
|
||||
_weights = CalculateWeights(_period);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user