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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
+103
-103
@@ -1,104 +1,104 @@
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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.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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/* <summary>
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WMA: (linearly) Weighted Moving Average
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The weights are linearly decreasing over the period and the most recent data has
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the heaviest weight.
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Sources:
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https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/weighted-moving-average-wma/
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https://www.technicalindicators.net/indicators-technical-analysis/83-moving-averages-simple-exponential-weighted
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</summary> */
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public class WMA_Series : TSeries {
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private readonly System.Collections.Generic.List<double> _buffer = new();
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private System.Collections.Generic.List<double> _weights;
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protected int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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protected int _len;
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public int Len {
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get { return _len; }
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set { _len = value; }
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}
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//core constructors
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public WMA_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"WMA({period})";
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_len = 1;
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_weights = CalculateWeights(_period);
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}
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public WMA_Series(TSeries source, int period, bool useNaN) : this(period, 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 WMA_Series() : this(period: 0, useNaN: false) { }
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public WMA_Series(int period) : this(period: period, useNaN: false) { }
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public WMA_Series(TBars source) : this(source.Close, 0, false) { }
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public WMA_Series(TBars source, int period) : this(source.Close, period, false) { }
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public WMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
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public WMA_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
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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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BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
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if (_period == 0) {
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_weights = CalculateWeights(_len);
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_len++;
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}
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double _wma = 0;
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double totalWeights = (_buffer.Count * (_buffer.Count + 1)) * 0.5;
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object lockObj = new object();
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Parallel.For(0, _buffer.Count, i =>
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{
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double temp = _buffer[i] * this._weights[i];
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lock (lockObj) { _wma += temp; }
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});
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_wma /= totalWeights;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _wma);
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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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//calculating weights
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private static List<double> CalculateWeights(int period) {
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List<double> weights = new List<double>(period);
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for (int i = 0; i < period; i++) {
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weights.Add(i + 1);
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}
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return weights;
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}
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//reset calculation
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public override void Reset() {
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_len = 0;
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_weights = CalculateWeights(_period);
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_buffer.Clear();
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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.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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/* <summary>
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WMA: (linearly) Weighted Moving Average
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The weights are linearly decreasing over the period and the most recent data has
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the heaviest weight.
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Sources:
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https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/weighted-moving-average-wma/
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https://www.technicalindicators.net/indicators-technical-analysis/83-moving-averages-simple-exponential-weighted
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</summary> */
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public class WMA_Series : TSeries {
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private readonly System.Collections.Generic.List<double> _buffer = new();
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private System.Collections.Generic.List<double> _weights;
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protected int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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protected int _len;
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public int Len {
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get { return _len; }
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set { _len = value; }
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}
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//core constructors
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public WMA_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"WMA({period})";
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_len = 1;
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_weights = CalculateWeights(_period);
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}
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public WMA_Series(TSeries source, int period, bool useNaN) : this(period, 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 WMA_Series() : this(period: 0, useNaN: false) { }
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public WMA_Series(int period) : this(period: period, useNaN: false) { }
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public WMA_Series(TBars source) : this(source.Close, 0, false) { }
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public WMA_Series(TBars source, int period) : this(source.Close, period, false) { }
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public WMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
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public WMA_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
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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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BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
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if (_period == 0) {
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_weights = CalculateWeights(_len);
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_len++;
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}
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double _wma = 0;
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double totalWeights = (_buffer.Count * (_buffer.Count + 1)) * 0.5;
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object lockObj = new object();
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Parallel.For(0, _buffer.Count, i =>
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{
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double temp = _buffer[i] * this._weights[i];
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lock (lockObj) { _wma += temp; }
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});
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_wma /= totalWeights;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _wma);
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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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//calculating weights
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private static List<double> CalculateWeights(int period) {
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List<double> weights = new List<double>(period);
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for (int i = 0; i < period; i++) {
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weights.Add(i + 1);
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}
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return weights;
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}
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//reset calculation
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public override void Reset() {
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_len = 0;
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_weights = CalculateWeights(_period);
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_buffer.Clear();
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}
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}
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