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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
@@ -1,116 +1,116 @@
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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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HEMA: Hull-EMA Moving Average - a hybrid indicator
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Modified HUll Moving Average; instead of using WMA (Weighted MA) for calculation,
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HEMA uses EMA for Hull's formula:
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EMA1 = EMA(n/2) of price - where k = 4/(n/2 +1)
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EMA2 = EMA(n) of price - where k = 3/(n+1)
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Raw HMA = (2 * EMA1) - EMA2
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EMA3 = EMA(sqrt(n)) of Raw HMA - where k = 2/(sqrt(n)+1)
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</summary> */
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public class HEMA_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 double _k1, _k2, _k3;
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private int _len;
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private double _lastema1, _oldema1;
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private double _lastema2, _oldema2;
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private double _lasthema, _oldhema;
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//core constructors
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public HEMA_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"HEMA({period})";
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(_k1, _k2, _k3) = CalculateK(_period);
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_len = 0;
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_lastema1 = _oldema1 = _lastema2 = _oldema2 = _lasthema = _oldhema = 0;
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}
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public HEMA_Series(TSeries 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);
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}
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public HEMA_Series() : this(period: 0, useNaN: false) { }
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public HEMA_Series(int period) : this(period: period, useNaN: false) { }
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public HEMA_Series(TBars source) : this(source.Close, 0, false) { }
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public HEMA_Series(TBars source, int period) : this(source.Close, period, false) { }
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public HEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
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public HEMA_Series(TSeries source) : this(source, 0, false) { }
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public HEMA_Series(TSeries 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 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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_lasthema = _oldhema;
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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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_oldhema = _lasthema;
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}
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double _ema1, _ema2, _hema;
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if (_period == 0) {
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_len++;
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(_k1, _k2, _k3) = CalculateK(_len);
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}
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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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} else if (this.Count == 0) {
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_ema1 = _ema2 = _hema = TValue.v;
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}
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else {
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_ema1 = _k1 * (TValue.v - _lastema1) + _lastema1;
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_ema2 = _k2 * (TValue.v - _lastema2) + _lastema2;
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_hema = _k3 * (((2 * _ema1) - _ema2) - _lasthema) + _lasthema;
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}
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_lastema1 = _ema1;
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_lastema2 = _ema2;
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_lasthema = _hema;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _hema);
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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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_lastema1 = _lastema2 = _lasthema = 0;
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_oldema1 = _oldema2 = _oldhema = 0;
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_len = 0;
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}
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public static (double k1, double k2, double k3) CalculateK(int len) {
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double k1 = 8 / (double)(len + 7);
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double k2 = 3 / (double)(len + 2);
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double k3 = 2 / Math.Sqrt(len + 3);
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return (k1, k2, k3);
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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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HEMA: Hull-EMA Moving Average - a hybrid indicator
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Modified HUll Moving Average; instead of using WMA (Weighted MA) for calculation,
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HEMA uses EMA for Hull's formula:
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EMA1 = EMA(n/2) of price - where k = 4/(n/2 +1)
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EMA2 = EMA(n) of price - where k = 3/(n+1)
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Raw HMA = (2 * EMA1) - EMA2
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EMA3 = EMA(sqrt(n)) of Raw HMA - where k = 2/(sqrt(n)+1)
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</summary> */
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public class HEMA_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 double _k1, _k2, _k3;
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private int _len;
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private double _lastema1, _oldema1;
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private double _lastema2, _oldema2;
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private double _lasthema, _oldhema;
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//core constructors
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public HEMA_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"HEMA({period})";
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(_k1, _k2, _k3) = CalculateK(_period);
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_len = 0;
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_lastema1 = _oldema1 = _lastema2 = _oldema2 = _lasthema = _oldhema = 0;
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}
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public HEMA_Series(TSeries 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);
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}
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public HEMA_Series() : this(period: 0, useNaN: false) { }
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public HEMA_Series(int period) : this(period: period, useNaN: false) { }
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public HEMA_Series(TBars source) : this(source.Close, 0, false) { }
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public HEMA_Series(TBars source, int period) : this(source.Close, period, false) { }
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public HEMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
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public HEMA_Series(TSeries source) : this(source, 0, false) { }
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public HEMA_Series(TSeries 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 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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_lasthema = _oldhema;
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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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_oldhema = _lasthema;
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}
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double _ema1, _ema2, _hema;
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if (_period == 0) {
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_len++;
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(_k1, _k2, _k3) = CalculateK(_len);
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}
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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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} else if (this.Count == 0) {
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_ema1 = _ema2 = _hema = TValue.v;
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}
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else {
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_ema1 = _k1 * (TValue.v - _lastema1) + _lastema1;
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_ema2 = _k2 * (TValue.v - _lastema2) + _lastema2;
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_hema = _k3 * (((2 * _ema1) - _ema2) - _lasthema) + _lasthema;
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}
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_lastema1 = _ema1;
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_lastema2 = _ema2;
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_lasthema = _hema;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _hema);
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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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_lastema1 = _lastema2 = _lasthema = 0;
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_oldema1 = _oldema2 = _oldhema = 0;
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_len = 0;
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}
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public static (double k1, double k2, double k3) CalculateK(int len) {
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double k1 = 8 / (double)(len + 7);
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double k2 = 3 / (double)(len + 2);
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double k3 = 2 / Math.Sqrt(len + 3);
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return (k1, k2, k3);
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}
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}
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