mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 05:48:06 +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
@@ -1,90 +1,90 @@
|
||||
namespace QuanTAlib;
|
||||
|
||||
using System;
|
||||
using System.Linq;
|
||||
|
||||
/* <summary>
|
||||
ZL: Zero Lag
|
||||
Data is de-lagged by removing the data from “lag” days ago, thus removing
|
||||
(or attempting to) the cumulative effect of the moving average.
|
||||
|
||||
Calculation:
|
||||
Lag = (Period-1)/2
|
||||
ZL = Data + (Data - Data(Lag days ago) )
|
||||
|
||||
Sources:
|
||||
https://mudrex.com/blog/zero-lag-ema-trading-strategy/
|
||||
|
||||
</summary> */
|
||||
|
||||
public class ZL_Series: TSeries {
|
||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||
private int _len;
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _data;
|
||||
private readonly EMA_Series _ema;
|
||||
|
||||
//core constructor
|
||||
public ZL_Series(int period, bool useNaN, bool useSMA) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
Name = $"ZL({period})";
|
||||
_len = 1;
|
||||
_ema = new(period);
|
||||
}
|
||||
//generic constructors (source)
|
||||
|
||||
public ZL_Series() : this(0, false, true) { }
|
||||
public ZL_Series(int period) : this(period, false, true) { }
|
||||
public ZL_Series(TBars source) : this(source.Close, 0, false) { }
|
||||
public ZL_Series(TBars source, int period) : this(source.Close, period, false) { }
|
||||
public ZL_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
|
||||
public ZL_Series(TSeries source, int period) : this(source, period, false, true) { }
|
||||
public ZL_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
|
||||
public ZL_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
|
||||
_data = source;
|
||||
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
|
||||
_data.Pub += Sub;
|
||||
Add(_data);
|
||||
}
|
||||
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
||||
BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
|
||||
int _lag;
|
||||
if (_period == 0) {
|
||||
_lag = (int)((_len - 1) * 0.5);
|
||||
_len++;
|
||||
}
|
||||
else { _lag = (int)((_period - 1) * 0.5); }
|
||||
_lag = Math.Min(_lag, _buffer.Count - 1);
|
||||
_lag = Math.Max(_lag, 0) + 1;
|
||||
double _zlValue = 2 * TValue.v - _buffer[^_lag];
|
||||
|
||||
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _zlValue);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
//variation of Add()
|
||||
public override (DateTime t, double v) Add(TSeries data) {
|
||||
if (data == null) { return (DateTime.Today, Double.NaN); }
|
||||
foreach (var item in data) { Add(item, false); }
|
||||
return _data.Last;
|
||||
}
|
||||
public (DateTime t, double v) Add(bool update) {
|
||||
return this.Add(TValue: _data.Last, update: update);
|
||||
}
|
||||
public (DateTime t, double v) Add() {
|
||||
return Add(TValue: _data.Last, update: false);
|
||||
}
|
||||
private new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(TValue: _data.Last, update: e.update);
|
||||
}
|
||||
|
||||
//reset calculation
|
||||
public override void Reset() {
|
||||
_buffer.Clear();
|
||||
_ema.Reset();
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
|
||||
using System;
|
||||
using System.Linq;
|
||||
|
||||
/* <summary>
|
||||
ZL: Zero Lag
|
||||
Data is de-lagged by removing the data from “lag” days ago, thus removing
|
||||
(or attempting to) the cumulative effect of the moving average.
|
||||
|
||||
Calculation:
|
||||
Lag = (Period-1)/2
|
||||
ZL = Data + (Data - Data(Lag days ago) )
|
||||
|
||||
Sources:
|
||||
https://mudrex.com/blog/zero-lag-ema-trading-strategy/
|
||||
|
||||
</summary> */
|
||||
|
||||
public class ZL_Series: TSeries {
|
||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||
private int _len;
|
||||
protected readonly int _period;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _data;
|
||||
private readonly EMA_Series _ema;
|
||||
|
||||
//core constructor
|
||||
public ZL_Series(int period, bool useNaN, bool useSMA) {
|
||||
_period = period;
|
||||
_NaN = useNaN;
|
||||
Name = $"ZL({period})";
|
||||
_len = 1;
|
||||
_ema = new(period);
|
||||
}
|
||||
//generic constructors (source)
|
||||
|
||||
public ZL_Series() : this(0, false, true) { }
|
||||
public ZL_Series(int period) : this(period, false, true) { }
|
||||
public ZL_Series(TBars source) : this(source.Close, 0, false) { }
|
||||
public ZL_Series(TBars source, int period) : this(source.Close, period, false) { }
|
||||
public ZL_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
|
||||
public ZL_Series(TSeries source, int period) : this(source, period, false, true) { }
|
||||
public ZL_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }
|
||||
public ZL_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
|
||||
_data = source;
|
||||
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
|
||||
_data.Pub += Sub;
|
||||
Add(_data);
|
||||
}
|
||||
|
||||
// core Add() algo
|
||||
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
||||
BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
|
||||
int _lag;
|
||||
if (_period == 0) {
|
||||
_lag = (int)((_len - 1) * 0.5);
|
||||
_len++;
|
||||
}
|
||||
else { _lag = (int)((_period - 1) * 0.5); }
|
||||
_lag = Math.Min(_lag, _buffer.Count - 1);
|
||||
_lag = Math.Max(_lag, 0) + 1;
|
||||
double _zlValue = 2 * TValue.v - _buffer[^_lag];
|
||||
|
||||
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _zlValue);
|
||||
return base.Add(res, update);
|
||||
}
|
||||
|
||||
//variation of Add()
|
||||
public override (DateTime t, double v) Add(TSeries data) {
|
||||
if (data == null) { return (DateTime.Today, Double.NaN); }
|
||||
foreach (var item in data) { Add(item, false); }
|
||||
return _data.Last;
|
||||
}
|
||||
public (DateTime t, double v) Add(bool update) {
|
||||
return this.Add(TValue: _data.Last, update: update);
|
||||
}
|
||||
public (DateTime t, double v) Add() {
|
||||
return Add(TValue: _data.Last, update: false);
|
||||
}
|
||||
private new void Sub(object source, TSeriesEventArgs e) {
|
||||
Add(TValue: _data.Last, update: e.update);
|
||||
}
|
||||
|
||||
//reset calculation
|
||||
public override void Reset() {
|
||||
_buffer.Clear();
|
||||
_ema.Reset();
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user