mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 13:58:04 +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
@@ -1,96 +1,96 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
/* <summary>
|
||||
OBV: On-Balance Volume
|
||||
On-balance volume (OBV) is a technical trading momentum indicator that uses volume flow to predict
|
||||
changes in stock price. Joseph Granville first developed the OBV metric in the 1963 book
|
||||
Granville's New Key to Stock Market Profits.
|
||||
|
||||
| +volume; if close > close[previous]
|
||||
OBV = OBV[previous] + | 0; if close = close[previous]
|
||||
| -volume; if close < close[previous]
|
||||
|
||||
Sources:
|
||||
https://www.investopedia.com/terms/o/onbalancevolume.asp
|
||||
https://www.tradingview.com/wiki/On_Balance_Volume_(OBV)
|
||||
https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/on-balance-volume-obv/
|
||||
https://www.motivewave.com/studies/on_balance_volume.htm
|
||||
|
||||
Note:
|
||||
There is no consensus on what is the first OBV value in the series:
|
||||
- TA-LIB uses the first volume: OBV[0] = volume[0]
|
||||
- Skender stock library uses 0: OBV[0] = 0
|
||||
|
||||
</summary> */
|
||||
|
||||
public class OBV_Series : TSeries {
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TBars _data;
|
||||
private double _lastobv, _lastlastobv;
|
||||
private double _lastclose, _lastlastclose;
|
||||
|
||||
//core constructors
|
||||
public OBV_Series(int period, bool useNaN) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
Name = $"OBV({period})";
|
||||
this._lastobv = this._lastlastobv = 0;
|
||||
this._lastclose = this._lastlastclose = 0;
|
||||
}
|
||||
public OBV_Series(TBars 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: _data);
|
||||
}
|
||||
public OBV_Series() : this(period: 2, useNaN: false) { }
|
||||
public OBV_Series(int period) : this(period: period, useNaN: false) { }
|
||||
public OBV_Series(TBars source) : this(source, period: 2, useNaN: false) { }
|
||||
public OBV_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
|
||||
|
||||
//////////////////
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
|
||||
|
||||
if (update) {
|
||||
this._lastobv = this._lastlastobv;
|
||||
this._lastclose = this._lastlastclose;
|
||||
}
|
||||
|
||||
double _obv = this._lastobv;
|
||||
if (TBar.c > this._lastclose) { _obv += TBar.v; }
|
||||
if (TBar.c < this._lastclose) { _obv -= TBar.v; }
|
||||
|
||||
this._lastlastobv = this._lastobv;
|
||||
this._lastobv = _obv;
|
||||
|
||||
this._lastlastclose = this._lastclose;
|
||||
this._lastclose = TBar.c;
|
||||
|
||||
var res = (TBar.t, (this.Count < this._period && this._NaN) ? double.NaN : _obv);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
public new void Add(TBars data) {
|
||||
foreach (var item in data) { Add(item, false); }
|
||||
}
|
||||
public (DateTime t, double v) Add(bool update) {
|
||||
return this.Add(TBar: _data.Last, update: update);
|
||||
}
|
||||
public (DateTime t, double v) Add() {
|
||||
return Add(TBar: _data.Last, update: false);
|
||||
}
|
||||
private new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(TBar: _data.Last, update: e.update);
|
||||
}
|
||||
|
||||
//reset calculation
|
||||
public override void Reset() {
|
||||
this._lastobv = this._lastlastobv = 0;
|
||||
this._lastclose = this._lastlastclose = 0;
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
/* <summary>
|
||||
OBV: On-Balance Volume
|
||||
On-balance volume (OBV) is a technical trading momentum indicator that uses volume flow to predict
|
||||
changes in stock price. Joseph Granville first developed the OBV metric in the 1963 book
|
||||
Granville's New Key to Stock Market Profits.
|
||||
|
||||
| +volume; if close > close[previous]
|
||||
OBV = OBV[previous] + | 0; if close = close[previous]
|
||||
| -volume; if close < close[previous]
|
||||
|
||||
Sources:
|
||||
https://www.investopedia.com/terms/o/onbalancevolume.asp
|
||||
https://www.tradingview.com/wiki/On_Balance_Volume_(OBV)
|
||||
https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/on-balance-volume-obv/
|
||||
https://www.motivewave.com/studies/on_balance_volume.htm
|
||||
|
||||
Note:
|
||||
There is no consensus on what is the first OBV value in the series:
|
||||
- TA-LIB uses the first volume: OBV[0] = volume[0]
|
||||
- Skender stock library uses 0: OBV[0] = 0
|
||||
|
||||
</summary> */
|
||||
|
||||
public class OBV_Series : TSeries {
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TBars _data;
|
||||
private double _lastobv, _lastlastobv;
|
||||
private double _lastclose, _lastlastclose;
|
||||
|
||||
//core constructors
|
||||
public OBV_Series(int period, bool useNaN) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
Name = $"OBV({period})";
|
||||
this._lastobv = this._lastlastobv = 0;
|
||||
this._lastclose = this._lastlastclose = 0;
|
||||
}
|
||||
public OBV_Series(TBars 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: _data);
|
||||
}
|
||||
public OBV_Series() : this(period: 2, useNaN: false) { }
|
||||
public OBV_Series(int period) : this(period: period, useNaN: false) { }
|
||||
public OBV_Series(TBars source) : this(source, period: 2, useNaN: false) { }
|
||||
public OBV_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
|
||||
|
||||
//////////////////
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
|
||||
|
||||
if (update) {
|
||||
this._lastobv = this._lastlastobv;
|
||||
this._lastclose = this._lastlastclose;
|
||||
}
|
||||
|
||||
double _obv = this._lastobv;
|
||||
if (TBar.c > this._lastclose) { _obv += TBar.v; }
|
||||
if (TBar.c < this._lastclose) { _obv -= TBar.v; }
|
||||
|
||||
this._lastlastobv = this._lastobv;
|
||||
this._lastobv = _obv;
|
||||
|
||||
this._lastlastclose = this._lastclose;
|
||||
this._lastclose = TBar.c;
|
||||
|
||||
var res = (TBar.t, (this.Count < this._period && this._NaN) ? double.NaN : _obv);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
public new void Add(TBars data) {
|
||||
foreach (var item in data) { Add(item, false); }
|
||||
}
|
||||
public (DateTime t, double v) Add(bool update) {
|
||||
return this.Add(TBar: _data.Last, update: update);
|
||||
}
|
||||
public (DateTime t, double v) Add() {
|
||||
return Add(TBar: _data.Last, update: false);
|
||||
}
|
||||
private new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(TBar: _data.Last, update: e.update);
|
||||
}
|
||||
|
||||
//reset calculation
|
||||
public override void Reset() {
|
||||
this._lastobv = this._lastlastobv = 0;
|
||||
this._lastclose = this._lastlastclose = 0;
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user