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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.

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Miha Kralj
2024-07-25 17:42:09 -07:00
parent f7fd3fbf9f
commit 7dd938c368
86 changed files with 9367 additions and 9153 deletions
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Calculations/_Updated/MACD_Series.cs
+77 -77
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@@ -1,78 +1,78 @@
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
MACD: Moving Average Convergence/Divergence
Moving average convergence divergence (MACD) is a trend-following momentum
indicator that shows the relationship between two moving averages of a series.
The MACD is calculated by subtracting the 26-period exponential moving average (EMA)
from the 12-period EMA. MACD Signal is 9-day EMA of MACD.
</summary> */
public class MACD_Series : TSeries {
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _slow, _fast, _signal;
protected readonly bool _NaN;
protected readonly TSeries _data;
private readonly EMA_Series _TSlow;
private readonly EMA_Series _TFast;
public EMA_Series Signal { get; }
//core constructors
public MACD_Series(int slow = 26, int fast = 12, int signal = 9, bool useNaN = false) {
_slow = slow;
_fast = fast;
_signal = signal;
_NaN = useNaN;
Name = $"MACD({slow},{fast},{signal})";
_TSlow = new(slow, useNaN:false, useSMA:true);
_TFast = new(fast, useNaN: false, useSMA: true);
Signal = new(signal, useNaN: false, useSMA: true);
}
public MACD_Series(TSeries source, int slow, int fast, int signal, bool useNaN) : this(slow, fast, signal, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(_data);
}
public MACD_Series(TSeries source) : this(source:source, slow:26, fast:12, signal:9 , useNaN:false) { }
public MACD_Series(TSeries source, int slow, int fast, int signal) : this(source: source, slow: slow, fast:fast, signal:signal, useNaN: false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
if (double.IsNaN(TValue.v)) {
return base.Add((TValue.t, Double.NaN), update);
}
var _sslow = _TSlow.Add(TValue,update);
var _sfast = _TFast.Add(TValue, update);
Signal.Add((TValue.t, _sfast.v-_sslow.v));
var res = (TValue.t, Count < _fast - 1 && _NaN ? double.NaN : _sfast.v-_sslow.v);
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 this.Add(TValue: _data.Last, update: update);
}
public (DateTime t, double v) Add() {
return Add(TValue: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e) {
Add(TValue: _data.Last, update: e.update);
}
//reset calculation
public override void Reset() {
_buffer.Clear();
}
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
MACD: Moving Average Convergence/Divergence
Moving average convergence divergence (MACD) is a trend-following momentum
indicator that shows the relationship between two moving averages of a series.
The MACD is calculated by subtracting the 26-period exponential moving average (EMA)
from the 12-period EMA. MACD Signal is 9-day EMA of MACD.
</summary> */
public class MACD_Series : TSeries {
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _slow, _fast, _signal;
protected readonly bool _NaN;
protected readonly TSeries _data;
private readonly EMA_Series _TSlow;
private readonly EMA_Series _TFast;
public EMA_Series Signal { get; }
//core constructors
public MACD_Series(int slow = 26, int fast = 12, int signal = 9, bool useNaN = false) {
_slow = slow;
_fast = fast;
_signal = signal;
_NaN = useNaN;
Name = $"MACD({slow},{fast},{signal})";
_TSlow = new(slow, useNaN:false, useSMA:true);
_TFast = new(fast, useNaN: false, useSMA: true);
Signal = new(signal, useNaN: false, useSMA: true);
}
public MACD_Series(TSeries source, int slow, int fast, int signal, bool useNaN) : this(slow, fast, signal, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(_data);
}
public MACD_Series(TSeries source) : this(source:source, slow:26, fast:12, signal:9 , useNaN:false) { }
public MACD_Series(TSeries source, int slow, int fast, int signal) : this(source: source, slow: slow, fast:fast, signal:signal, useNaN: false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
if (double.IsNaN(TValue.v)) {
return base.Add((TValue.t, Double.NaN), update);
}
var _sslow = _TSlow.Add(TValue,update);
var _sfast = _TFast.Add(TValue, update);
Signal.Add((TValue.t, _sfast.v-_sslow.v));
var res = (TValue.t, Count < _fast - 1 && _NaN ? double.NaN : _sfast.v-_sslow.v);
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 this.Add(TValue: _data.Last, update: update);
}
public (DateTime t, double v) Add() {
return Add(TValue: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e) {
Add(TValue: _data.Last, update: e.update);
}
//reset calculation
public override void Reset() {
_buffer.Clear();
}
}