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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/MAPE_Series.cs
+84 -84
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@@ -1,85 +1,85 @@
using System.Linq;
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
MAPE: Mean Absolute Percentage Error
Measures the size of the error in percentage terms
Calculation:
MAPE = Σ(|close – SMA| / |close|) / n
Sources:
https://en.wikipedia.org/wiki/Mean_absolute_percentage_error
Remark:
returns infinity if any of observations is 0.
Use SMAPE or WMAPE instead to avoid division-by-zero in MAPE
</summary> */
public class MAPE_Series : TSeries {
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
//core constructors
public MAPE_Series(int period, bool useNaN) {
_period = period;
_NaN = useNaN;
Name = $"MAPE({period})";
}
public MAPE_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 MAPE_Series() : this(period: 0, useNaN: false) { }
public MAPE_Series(int period) : this(period: period, useNaN: false) { }
public MAPE_Series(TBars source) : this(source.Close, 0, false) { }
public MAPE_Series(TBars source, int period) : this(source.Close, period, false) { }
public MAPE_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public MAPE_Series(TSeries source) : this(source, 0, false) { }
public MAPE_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
BufferTrim(buffer:_buffer, value:TValue.v, period:_period, update: update);
double _sma = _buffer.Average();
double _mape = 0;
for (int i = 0; i < _buffer.Count; i++) {
_mape += (_buffer[i] != 0) ? Math.Abs(_buffer[i] - _sma) / Math.Abs(_buffer[i]) : double.PositiveInfinity;
}
_mape /= (_buffer.Count > 0) ? _buffer.Count : 1;
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _mape);
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();
}
using System.Linq;
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/* <summary>
MAPE: Mean Absolute Percentage Error
Measures the size of the error in percentage terms
Calculation:
MAPE = Σ(|close – SMA| / |close|) / n
Sources:
https://en.wikipedia.org/wiki/Mean_absolute_percentage_error
Remark:
returns infinity if any of observations is 0.
Use SMAPE or WMAPE instead to avoid division-by-zero in MAPE
</summary> */
public class MAPE_Series : TSeries {
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
//core constructors
public MAPE_Series(int period, bool useNaN) {
_period = period;
_NaN = useNaN;
Name = $"MAPE({period})";
}
public MAPE_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 MAPE_Series() : this(period: 0, useNaN: false) { }
public MAPE_Series(int period) : this(period: period, useNaN: false) { }
public MAPE_Series(TBars source) : this(source.Close, 0, false) { }
public MAPE_Series(TBars source, int period) : this(source.Close, period, false) { }
public MAPE_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public MAPE_Series(TSeries source) : this(source, 0, false) { }
public MAPE_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
BufferTrim(buffer:_buffer, value:TValue.v, period:_period, update: update);
double _sma = _buffer.Average();
double _mape = 0;
for (int i = 0; i < _buffer.Count; i++) {
_mape += (_buffer[i] != 0) ? Math.Abs(_buffer[i] - _sma) / Math.Abs(_buffer[i]) : double.PositiveInfinity;
}
_mape /= (_buffer.Count > 0) ? _buffer.Count : 1;
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _mape);
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();
}
}