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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
+160
-160
@@ -1,161 +1,161 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Numerics;
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/* <summary>
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T3: Tillson T3 Moving Average
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Tim Tillson described it in "Technical Analysis of Stocks and Commodities", January 1998 in the
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article "Better Moving Averages". Tillson’s moving average becomes a popular indicator of
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technical analysis as it gets less lag with the price chart and its curve is considerably smoother.
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Sources:
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https://technicalindicators.net/indicators-technical-analysis/150-t3-moving-average
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http://www.binarytribune.com/forex-trading-indicators/t3-moving-average-indicator/
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</summary> */
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public class T3_Series : TSeries {
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private readonly double _k, _k1m, _c1, _c2, _c3, _c4;
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private readonly System.Collections.Generic.List<double> _buffer1 = new();
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private readonly System.Collections.Generic.List<double> _buffer2 = new();
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private readonly System.Collections.Generic.List<double> _buffer3 = new();
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private readonly System.Collections.Generic.List<double> _buffer4 = new();
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private readonly System.Collections.Generic.List<double> _buffer5 = new();
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private readonly System.Collections.Generic.List<double> _buffer6 = new();
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private readonly bool _useSMA;
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private double _lastema1, _lastema2, _lastema3, _lastema4, _lastema5, _lastema6;
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private double _llastema1, _llastema2, _llastema3, _llastema4, _llastema5, _llastema6;
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protected int _len;
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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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//core constructors
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public T3_Series(int period, double vfactor, bool useSMA, bool useNaN) {
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_period = period;
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_len = 0;
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_NaN = useNaN;
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Name = $"T3({period})";
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_useSMA = useSMA;
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double _a = vfactor; //0.7; //0.618
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_c1 = -_a * _a * _a;
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_c2 = 3 * _a * _a + 3 * _a * _a * _a;
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_c3 = -6 * _a * _a - 3 * _a - 3 * _a * _a * _a;
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_c4 = 1 + 3 * _a + _a * _a * _a + 3 * _a * _a;
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_k = 2.0 / (_period + 1);
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_k1m = 1.0 - _k;
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_lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0;
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}
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public T3_Series(TSeries source, int period, double vfactor, bool useSMA, bool useNaN) : this(period, vfactor, useSMA, 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 T3_Series() : this(period: 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(int period) : this(period: period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source) : this(source.Close, 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source, int period) : this(source.Close, period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source, int period, bool useNaN) : this(source.Close, period, vfactor: 0.7, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TBars source, int period, double vfactor, bool useNaN) : this(source.Close, period, vfactor: vfactor, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TBars source, int period, bool useSMA, bool useNaN) : this(source.Close, period, vfactor: 0.7, useSMA: useSMA, useNaN: useNaN) { }
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public T3_Series(TSeries source) : this(source, 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period) : this(source: source, period: period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, vfactor: 0.7, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TSeries source, int period, double vfactor) : this(source: source, period: period, vfactor: vfactor, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period, double vfactor, bool useNaN) : this(source: source, period: period, vfactor: vfactor, useSMA: true, useNaN: useNaN) { }
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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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double _ema1, _ema2, _ema3, _ema4, _ema5, _ema6;
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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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}
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if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; _lastema4 = _llastema4; _lastema5 = _llastema5; _lastema6 = _llastema6; }
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else { _llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; _llastema4 = _lastema4; _llastema5 = _lastema5; _llastema6 = _lastema6; }
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if (_len == 0) { _lastema1 = _lastema2 = _lastema3 = _lastema4 = _lastema5 = _lastema6 = TValue.v; }
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if ((_len < _period) && _useSMA) {
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BufferTrim(_buffer1, TValue.v, _period, update);
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_ema1 = 0;
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for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; }
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_ema1 /= _buffer1.Count;
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BufferTrim(_buffer2, _ema1, _period, update);
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_ema2 = 0;
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for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
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_ema2 /= _buffer2.Count;
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BufferTrim(_buffer3, _ema2, _period, update);
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_ema3 = 0;
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for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; }
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_ema3 /= _buffer3.Count;
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BufferTrim(_buffer4, _ema3, _period, update);
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_ema4 = 0;
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for (int i = 0; i < _buffer4.Count; i++) { _ema4 += _buffer4[i]; }
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_ema4 /= _buffer4.Count;
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BufferTrim(_buffer5, _ema4, _period, update);
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_ema5 = 0;
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for (int i = 0; i < _buffer5.Count; i++) { _ema5 += _buffer5[i]; }
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_ema5 /= _buffer5.Count;
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BufferTrim(_buffer6, _ema5, _period, update);
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_ema6 = 0;
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for (int i = 0; i < _buffer6.Count; i++) { _ema6 += _buffer6[i]; }
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_ema6 /= _buffer6.Count;
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}
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else {
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_ema1 = (TValue.v * this._k) + (this._lastema1 * this._k1m);
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_ema2 = (_ema1 * this._k) + (this._lastema2 * this._k1m);
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_ema3 = (_ema2 * this._k) + (this._lastema3 * this._k1m);
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_ema4 = (_ema3 * this._k) + (this._lastema4 * this._k1m);
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_ema5 = (_ema4 * this._k) + (this._lastema5 * this._k1m);
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_ema6 = (_ema5 * this._k) + (this._lastema6 * this._k1m);
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}
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_len++;
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_lastema1 = _ema1;
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_lastema2 = _ema2;
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_lastema3 = _ema3;
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_lastema4 = _ema4;
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_lastema5 = _ema5;
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_lastema6 = _ema6;
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double _T3 = _c1 * _ema6 + _c2 * _ema5 + _c3 * _ema4 + _c4 * _ema3;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _T3);
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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 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0;
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_buffer1.Clear();
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_buffer2.Clear();
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_buffer3.Clear();
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_buffer4.Clear();
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_buffer5.Clear();
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_buffer6.Clear();
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_len = 0;
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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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using System.Numerics;
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/* <summary>
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T3: Tillson T3 Moving Average
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Tim Tillson described it in "Technical Analysis of Stocks and Commodities", January 1998 in the
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article "Better Moving Averages". Tillson’s moving average becomes a popular indicator of
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technical analysis as it gets less lag with the price chart and its curve is considerably smoother.
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Sources:
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https://technicalindicators.net/indicators-technical-analysis/150-t3-moving-average
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http://www.binarytribune.com/forex-trading-indicators/t3-moving-average-indicator/
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</summary> */
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public class T3_Series : TSeries {
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private readonly double _k, _k1m, _c1, _c2, _c3, _c4;
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private readonly System.Collections.Generic.List<double> _buffer1 = new();
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private readonly System.Collections.Generic.List<double> _buffer2 = new();
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private readonly System.Collections.Generic.List<double> _buffer3 = new();
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private readonly System.Collections.Generic.List<double> _buffer4 = new();
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private readonly System.Collections.Generic.List<double> _buffer5 = new();
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private readonly System.Collections.Generic.List<double> _buffer6 = new();
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private readonly bool _useSMA;
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private double _lastema1, _lastema2, _lastema3, _lastema4, _lastema5, _lastema6;
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private double _llastema1, _llastema2, _llastema3, _llastema4, _llastema5, _llastema6;
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protected int _len;
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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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//core constructors
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public T3_Series(int period, double vfactor, bool useSMA, bool useNaN) {
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_period = period;
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_len = 0;
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_NaN = useNaN;
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Name = $"T3({period})";
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_useSMA = useSMA;
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double _a = vfactor; //0.7; //0.618
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_c1 = -_a * _a * _a;
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_c2 = 3 * _a * _a + 3 * _a * _a * _a;
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_c3 = -6 * _a * _a - 3 * _a - 3 * _a * _a * _a;
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_c4 = 1 + 3 * _a + _a * _a * _a + 3 * _a * _a;
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_k = 2.0 / (_period + 1);
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_k1m = 1.0 - _k;
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_lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0;
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}
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public T3_Series(TSeries source, int period, double vfactor, bool useSMA, bool useNaN) : this(period, vfactor, useSMA, 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 T3_Series() : this(period: 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(int period) : this(period: period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source) : this(source.Close, 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source, int period) : this(source.Close, period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TBars source, int period, bool useNaN) : this(source.Close, period, vfactor: 0.7, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TBars source, int period, double vfactor, bool useNaN) : this(source.Close, period, vfactor: vfactor, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TBars source, int period, bool useSMA, bool useNaN) : this(source.Close, period, vfactor: 0.7, useSMA: useSMA, useNaN: useNaN) { }
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public T3_Series(TSeries source) : this(source, 0, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period) : this(source: source, period: period, vfactor: 0.7, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, vfactor: 0.7, useSMA: true, useNaN: useNaN) { }
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public T3_Series(TSeries source, int period, double vfactor) : this(source: source, period: period, vfactor: vfactor, useSMA: true, useNaN: false) { }
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public T3_Series(TSeries source, int period, double vfactor, bool useNaN) : this(source: source, period: period, vfactor: vfactor, useSMA: true, useNaN: useNaN) { }
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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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double _ema1, _ema2, _ema3, _ema4, _ema5, _ema6;
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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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}
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if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; _lastema4 = _llastema4; _lastema5 = _llastema5; _lastema6 = _llastema6; }
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else { _llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; _llastema4 = _lastema4; _llastema5 = _lastema5; _llastema6 = _lastema6; }
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if (_len == 0) { _lastema1 = _lastema2 = _lastema3 = _lastema4 = _lastema5 = _lastema6 = TValue.v; }
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if ((_len < _period) && _useSMA) {
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BufferTrim(_buffer1, TValue.v, _period, update);
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_ema1 = 0;
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for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; }
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_ema1 /= _buffer1.Count;
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BufferTrim(_buffer2, _ema1, _period, update);
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_ema2 = 0;
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for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
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_ema2 /= _buffer2.Count;
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BufferTrim(_buffer3, _ema2, _period, update);
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_ema3 = 0;
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for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; }
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_ema3 /= _buffer3.Count;
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BufferTrim(_buffer4, _ema3, _period, update);
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_ema4 = 0;
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for (int i = 0; i < _buffer4.Count; i++) { _ema4 += _buffer4[i]; }
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_ema4 /= _buffer4.Count;
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BufferTrim(_buffer5, _ema4, _period, update);
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_ema5 = 0;
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for (int i = 0; i < _buffer5.Count; i++) { _ema5 += _buffer5[i]; }
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_ema5 /= _buffer5.Count;
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BufferTrim(_buffer6, _ema5, _period, update);
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_ema6 = 0;
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for (int i = 0; i < _buffer6.Count; i++) { _ema6 += _buffer6[i]; }
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_ema6 /= _buffer6.Count;
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}
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else {
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_ema1 = (TValue.v * this._k) + (this._lastema1 * this._k1m);
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_ema2 = (_ema1 * this._k) + (this._lastema2 * this._k1m);
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_ema3 = (_ema2 * this._k) + (this._lastema3 * this._k1m);
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_ema4 = (_ema3 * this._k) + (this._lastema4 * this._k1m);
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_ema5 = (_ema4 * this._k) + (this._lastema5 * this._k1m);
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_ema6 = (_ema5 * this._k) + (this._lastema6 * this._k1m);
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}
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_len++;
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_lastema1 = _ema1;
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_lastema2 = _ema2;
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_lastema3 = _ema3;
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_lastema4 = _ema4;
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_lastema5 = _ema5;
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_lastema6 = _ema6;
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double _T3 = _c1 * _ema6 + _c2 * _ema5 + _c3 * _ema4 + _c4 * _ema3;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _T3);
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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 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0;
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_buffer1.Clear();
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_buffer2.Clear();
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_buffer3.Clear();
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_buffer4.Clear();
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_buffer5.Clear();
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_buffer6.Clear();
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_len = 0;
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}
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}
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