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
+117
-103
@@ -1,103 +1,117 @@
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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.Collections.ObjectModel;
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using System.Data;
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using System.Linq;
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/* <summary>
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TSeries is the cornerstone of all QuanTAlib classes.
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TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads
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and other helpers that simplify usage of library.
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Think of TSeries as an equivalent of Numpy array.
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- includes Length property (to mimic array's method)
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- includes publishing and subscribing methods that attach to events
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</summary> */
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public class TSeriesEventArgs : EventArgs {
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public bool update { get; set; }
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}
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public class TSeries : List<(DateTime t, double v)> {
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private readonly (DateTime t, double v) Default = (DateTime.MinValue, double.NaN);
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public IEnumerable<DateTime> t => this.Select(item => item.t);
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public IEnumerable<double> v => this.Select(item => item.v);
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public (DateTime t, double v) Last => Count > 0 ? this[^1] : Default;
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public int Length => Count;
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public string Name { get; set; }
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public TSeries() {
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this.Name = "data";
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}
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public TSeries(string Name) {
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this.Name = Name;
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}
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public virtual (DateTime t, double v) Add(double v, bool update = false) {
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return Add((t: Count == 0 ? DateTime.Today : this[^1].t.AddDays(1), v), update);
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}
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public virtual (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
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if (update) {
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this[^1] = TValue;
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}
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else {
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base.Add(TValue);
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}
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OnEvent(update);
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return TValue;
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}
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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) {
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this[this.Count - 1] = (TBar.t, TBar.c);
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}
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else {
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base.Add((TBar.t, TBar.c));
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}
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OnEvent(update);
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return (TBar.t, TBar.c);
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}
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public virtual (DateTime t, double v) Add(TSeries data) {
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foreach (var item in data) { Add(item); }
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return data.Last;
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}
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public virtual (DateTime t, double v) Add(TBars data) {
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foreach (var item in data) { Add(item.c, false); }
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return (data.Last.t, data.Last.c);
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}
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public void Sub(object source, TSeriesEventArgs e) {
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var data = (TSeries) source;
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if (data == null) { return; }
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foreach (var item in data) { Add(item); }
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}
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public delegate void NewEventHandler(object source, TSeriesEventArgs args);
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public event NewEventHandler Pub;
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protected virtual void OnEvent(bool update = false)
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{
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Pub?.Invoke(this, new TSeriesEventArgs {update = update});
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}
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/// common helpers
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public static void BufferTrim(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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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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using System.Data;
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using System.Linq;
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/* <summary>
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TSeries is the cornerstone of all QuanTAlib classes.
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TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads
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and other helpers that simplify usage of library.
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Think of TSeries as an equivalent of Numpy array.
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- includes Length property (to mimic array's method)
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- includes publishing and subscribing methods that attach to events
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</summary> */
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public class TSeriesEventArgs : EventArgs {
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public bool update { get; set; }
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}
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public class TSeries : List<(DateTime t, double v)> {
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private readonly (DateTime t, double v) Default = (DateTime.MinValue, double.NaN);
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public IEnumerable<DateTime> t => this.Select(item => item.t);
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public IEnumerable<double> v => this.Select(item => item.v);
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public (DateTime t, double v) Last => Count > 0 ? this[^1] : Default;
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public int Length => Count;
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public string Name { get; set; }
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public int Keep = 0;
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public TSeries() {
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this.Name = "data";
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}
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public TSeries(string Name) {
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this.Name = Name;
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}
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public virtual (DateTime t, double v) Add(double v, bool update = false) {
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return Add((t: Count == 0 ? DateTime.Today : this[^1].t.AddDays(1), v), update);
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}
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public virtual (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
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if (update) {
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this[^1] = TValue;
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}
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else {
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base.Add(TValue);
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}
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OnEvent(update);
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return TValue;
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}
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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) {
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this[this.Count - 1] = (TBar.t, TBar.c);
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}
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else {
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base.Add((TBar.t, TBar.c));
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}
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OnEvent(update);
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return (TBar.t, TBar.c);
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}
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public virtual (DateTime t, double v) Add(TSeries data) {
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foreach (var item in data) { Add(item); }
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return data.Last;
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}
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public virtual (DateTime t, double v) Add(TBars data) {
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foreach (var item in data) { Add(item.c, false); }
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return (data.Last.t, data.Last.c);
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}
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public void Sub(object source, TSeriesEventArgs e) {
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var data = (TSeries) source;
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if (data == null) { return; }
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foreach (var item in data) { Add(item); }
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}
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public delegate void NewEventHandler(object source, TSeriesEventArgs args);
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public event NewEventHandler Pub;
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protected virtual void OnEvent(bool update = false)
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{
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if (Keep > 0) {
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TrimToSize(keep:Keep);
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}
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Pub?.Invoke(this, new TSeriesEventArgs {update = update});
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}
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/// common helpers
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public static void BufferTrim(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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public void TrimToSize(int keep) {
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if (keep >= this.Count) {
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return; // No need to trim if the series is already smaller than or equal to n
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}
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// Remove elements from the beginning of the list
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int elementsToRemove = this.Count - keep;
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RemoveRange(0, elementsToRemove);
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}
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}
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