mirror of
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
+138
-138
@@ -1,138 +1,138 @@
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namespace QuanTAlib;
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using System;
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/* <summary>
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TBars class - includes all series for common data used in indicators and other calculations.
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Has a bit limited overloading and casting (compared to TSeries)
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Includes Select(int) method to simplify choosing the most optimal data source for indicators
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Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4
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(it is 'cheaper' to calculate them once during data capture than each time during data analysis)
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</summary> */
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public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
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{
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public string Name { get; set; }
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private readonly TSeries _open = new("open");
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private readonly TSeries _high = new("high");
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private readonly TSeries _low = new("low");
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private readonly TSeries _close = new("close");
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private readonly TSeries _volume = new("volume");
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private readonly TSeries _hl2 = new("HL2");
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private readonly TSeries _oc2 = new("OC2");
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private readonly TSeries _ohl3 = new("OHL3");
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private readonly TSeries _hlc3 = new("HLC3");
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private readonly TSeries _ohlc4 = new("OHLC4");
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private readonly TSeries _hlcc4 = new("HLCC4");
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public TSeries Open => this._open;
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public TSeries High => this._high;
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public TSeries Low => this._low;
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public TSeries Close => this._close;
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public TSeries Volume => this._volume;
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public TSeries HL2 => this._hl2;
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public TSeries OC2 => this._oc2;
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public TSeries OHL3 => this._ohl3;
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public TSeries HLC3 => this._hlc3;
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public TSeries OHLC4 => this._ohlc4;
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public TSeries HLCC4 => this._hlcc4;
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public TBars() { }
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public TBars(string Name) {
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this.Name = Name;
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}
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public (DateTime t, double o, double h, double l, double c, double v) Last => this[^1];
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public TBars Tail(int count = 10)
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{
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TBars outBars = new();
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if (count > this.Count) { count = this.Count; }
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for (int i = this.Count - count; i < this.Count; i++) { outBars.Add(this[i]); }
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return outBars;
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}
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public TSeries Select(int source)
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{
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return source switch
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{
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0 => _open,
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1 => _high,
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2 => _low,
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3 => _close,
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4 => _hl2,
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5 => _oc2,
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6 => _ohl3,
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7 => _hlc3,
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8 => _ohlc4,
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_ => _hlcc4,
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};
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}
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public static string SelectStr(int source)
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{
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return source switch
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{
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0 => "Open",
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1 => "High",
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2 => "Low",
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3 => "Close",
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4 => "HL2",
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5 => "OC2",
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6 => "OHL3",
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7 => "HLC3",
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8 => "OHLC4",
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_ => "HLCC4",
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};
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}
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public virtual (DateTime t, double v) Add((double o, double h, double l, double c, double v) p, bool update = false) =>
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Add((t: (this.Count == 0) ? DateTime.Today : this[^1].t.AddDays(1),p.o,p.h,p.l,p.c,p.v),update);
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public virtual (DateTime t, double v) Add(double o, double h, double l, double c, double v, bool update = false) =>
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Add((o,h,l,c,v),update);
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public virtual (DateTime t, double v) Add(DateTime t, double o, double h, double l, double c, double v, bool update = false) =>
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this.Add((t, o, h, l, c, v), update);
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public virtual (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
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if (update) { this[^1] = TBar; } else { base.Add(TBar); }
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_open.Add((TBar.t, TBar.o), update);
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_high.Add((TBar.t, TBar.h), update);
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_low.Add((TBar.t, TBar.l), update);
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_close.Add((TBar.t, TBar.c), update);
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_volume.Add((TBar.t, TBar.v), update);
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_hl2.Add((TBar.t, (TBar.h + TBar.l) * 0.5), update);
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_oc2.Add((TBar.t, (TBar.o + TBar.c) * 0.5), update);
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_ohl3.Add((TBar.t, (TBar.o + TBar.h + TBar.l) * 0.333333333333333), update);
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_hlc3.Add((TBar.t, (TBar.h + TBar.l + TBar.c) * 0.333333333333333), update);
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_ohlc4.Add((TBar.t, (TBar.o + TBar.h + TBar.l + TBar.c) * 0.25), update);
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_hlcc4.Add((TBar.t, (TBar.h + TBar.l + TBar.c + TBar.c) * 0.25), update);
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this.OnEvent(update);
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return (TBar.t, (TBar.o + TBar.h + TBar.l + TBar.c) * 0.25);
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}
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public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
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public event NewDataEventHandler Pub;
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protected virtual void OnEvent(bool update = false) { if (Pub != null && Pub.Target != this) {
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Pub(this, new TSeriesEventArgs { update = update }); } }
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public void Sub(object source, TSeriesEventArgs e) { TBars ss = (TBars)source; if (ss.Count > 1) {
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for (int i = 0; i < ss.Count; i++) { this.Add(ss[i]); }
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} else {
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this.Add(ss[^1], e.update);
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}
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}
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/// common helpers
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public static void BufferTrim(System.Collections.Generic.List<double> buffer, double value, int period, bool update) {
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if (!update) {
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buffer.Add(value);
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if (buffer.Count > period && period > 0) { buffer.RemoveAt(0); }
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return;
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}
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buffer[^1] = value;
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}
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public virtual void Reset() {
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}
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}
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namespace QuanTAlib;
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using System;
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/* <summary>
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TBars class - includes all series for common data used in indicators and other calculations.
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Has a bit limited overloading and casting (compared to TSeries)
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Includes Select(int) method to simplify choosing the most optimal data source for indicators
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Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4
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(it is 'cheaper' to calculate them once during data capture than each time during data analysis)
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</summary> */
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public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
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{
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public string Name { get; set; }
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private readonly TSeries _open = new("open");
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private readonly TSeries _high = new("high");
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private readonly TSeries _low = new("low");
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private readonly TSeries _close = new("close");
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private readonly TSeries _volume = new("volume");
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private readonly TSeries _hl2 = new("HL2");
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private readonly TSeries _oc2 = new("OC2");
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private readonly TSeries _ohl3 = new("OHL3");
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private readonly TSeries _hlc3 = new("HLC3");
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private readonly TSeries _ohlc4 = new("OHLC4");
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private readonly TSeries _hlcc4 = new("HLCC4");
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public TSeries Open => this._open;
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public TSeries High => this._high;
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public TSeries Low => this._low;
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public TSeries Close => this._close;
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public TSeries Volume => this._volume;
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public TSeries HL2 => this._hl2;
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public TSeries OC2 => this._oc2;
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public TSeries OHL3 => this._ohl3;
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public TSeries HLC3 => this._hlc3;
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public TSeries OHLC4 => this._ohlc4;
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public TSeries HLCC4 => this._hlcc4;
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public TBars() { }
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public TBars(string Name) {
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this.Name = Name;
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}
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public (DateTime t, double o, double h, double l, double c, double v) Last => this[^1];
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public TBars Tail(int count = 10)
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{
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TBars outBars = new();
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if (count > this.Count) { count = this.Count; }
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for (int i = this.Count - count; i < this.Count; i++) { outBars.Add(this[i]); }
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return outBars;
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}
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public TSeries Select(int source)
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{
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return source switch
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{
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0 => _open,
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1 => _high,
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2 => _low,
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3 => _close,
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4 => _hl2,
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5 => _oc2,
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6 => _ohl3,
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7 => _hlc3,
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8 => _ohlc4,
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_ => _hlcc4,
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};
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}
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public static string SelectStr(int source)
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{
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return source switch
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{
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0 => "Open",
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1 => "High",
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2 => "Low",
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3 => "Close",
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4 => "HL2",
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5 => "OC2",
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6 => "OHL3",
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7 => "HLC3",
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8 => "OHLC4",
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_ => "HLCC4",
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};
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}
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public virtual (DateTime t, double v) Add((double o, double h, double l, double c, double v) p, bool update = false) =>
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Add((t: (this.Count == 0) ? DateTime.Today : this[^1].t.AddDays(1),p.o,p.h,p.l,p.c,p.v),update);
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public virtual (DateTime t, double v) Add(double o, double h, double l, double c, double v, bool update = false) =>
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Add((o,h,l,c,v),update);
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public virtual (DateTime t, double v) Add(DateTime t, double o, double h, double l, double c, double v, bool update = false) =>
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this.Add((t, o, h, l, c, v), update);
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public virtual (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
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if (update) { this[^1] = TBar; } else { base.Add(TBar); }
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_open.Add((TBar.t, TBar.o), update);
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_high.Add((TBar.t, TBar.h), update);
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_low.Add((TBar.t, TBar.l), update);
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_close.Add((TBar.t, TBar.c), update);
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_volume.Add((TBar.t, TBar.v), update);
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_hl2.Add((TBar.t, (TBar.h + TBar.l) * 0.5), update);
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_oc2.Add((TBar.t, (TBar.o + TBar.c) * 0.5), update);
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_ohl3.Add((TBar.t, (TBar.o + TBar.h + TBar.l) * 0.333333333333333), update);
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_hlc3.Add((TBar.t, (TBar.h + TBar.l + TBar.c) * 0.333333333333333), update);
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_ohlc4.Add((TBar.t, (TBar.o + TBar.h + TBar.l + TBar.c) * 0.25), update);
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_hlcc4.Add((TBar.t, (TBar.h + TBar.l + TBar.c + TBar.c) * 0.25), update);
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this.OnEvent(update);
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return (TBar.t, (TBar.o + TBar.h + TBar.l + TBar.c) * 0.25);
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}
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public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
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public event NewDataEventHandler Pub;
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protected virtual void OnEvent(bool update = false) { if (Pub != null && Pub.Target != this) {
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Pub(this, new TSeriesEventArgs { update = update }); } }
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public void Sub(object source, TSeriesEventArgs e) { TBars ss = (TBars)source; if (ss.Count > 1) {
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for (int i = 0; i < ss.Count; i++) { this.Add(ss[i]); }
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} else {
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this.Add(ss[^1], e.update);
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}
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}
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/// common helpers
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public static void BufferTrim(System.Collections.Generic.List<double> buffer, double value, int period, bool update) {
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if (!update) {
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buffer.Add(value);
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if (buffer.Count > period && period > 0) { buffer.RemoveAt(0); }
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return;
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}
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buffer[^1] = value;
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}
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public virtual void Reset() {
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}
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}
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