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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.

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This commit is contained in:
Miha Kralj
2024-07-25 17:42:09 -07:00
parent f7fd3fbf9f
commit 7dd938c368
86 changed files with 9367 additions and 9153 deletions
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Tests/Pairs/ADD_Test.cs
+64 -64
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@@ -1,64 +1,64 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class ADD_Test
{
[Fact]
public void ADDSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void ADDSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
ADD_Series c = new(a, 10.0);
Assert.Equal(15, c.Last().v);
}
[Fact]
public void ADDDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
ADD_Series c = new(10.0, a);
Assert.Equal(15, c.Last().v);
}
[Fact]
public void ADDEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
a.Add(2);
b.Add(2);
Assert.Equal(4, c.Last().v);
}
[Fact]
public void ADDUpdateDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
double b = 10;
ADD_Series c = new(a, b);
a.Add(0, true);
Assert.Equal(10, c.Last().v);
}
[Fact]
public void ADDUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
a.Add(10, true);
b.Add(10, true);
Assert.Equal(20, c.Last().v);
}
}
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class ADD_Test
{
[Fact]
public void ADDSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void ADDSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
ADD_Series c = new(a, 10.0);
Assert.Equal(15, c.Last().v);
}
[Fact]
public void ADDDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
ADD_Series c = new(10.0, a);
Assert.Equal(15, c.Last().v);
}
[Fact]
public void ADDEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
a.Add(2);
b.Add(2);
Assert.Equal(4, c.Last().v);
}
[Fact]
public void ADDUpdateDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
double b = 10;
ADD_Series c = new(a, b);
a.Add(0, true);
Assert.Equal(10, c.Last().v);
}
[Fact]
public void ADDUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
a.Add(10, true);
b.Add(10, true);
Assert.Equal(20, c.Last().v);
}
}
Tests/Pairs/DIV_Test.cs
+64 -64
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@@ -1,64 +1,64 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class DIV_Test
{
[Fact]
public void DIVSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
TSeries b = new() { 5, 4, 3, 2, 1, 3 };
DIV_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void DIVSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
DIV_Series c = new(a, 0);
Assert.Equal(double.PositiveInfinity, c.Last().v);
}
[Fact]
public void DIVDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 3.0 };
DIV_Series c = new(12.0, a);
Assert.Equal(4.0, c.Last().v);
}
[Fact]
public void DIVEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
DIV_Series c = new(a, b);
a.Add(12.0);
b.Add(2);
Assert.Equal(6.0, c.Last().v);
}
[Fact]
public void DIVUpdatewDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
double b = 2;
DIV_Series c = new(a, b);
a.Add(10, true);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void DIVUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
DIV_Series c = new(a, b);
a.Add(10, true);
b.Add(2, true);
Assert.Equal(5, c.Last().v);
}
}
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class DIV_Test
{
[Fact]
public void DIVSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
TSeries b = new() { 5, 4, 3, 2, 1, 3 };
DIV_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void DIVSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
DIV_Series c = new(a, 0);
Assert.Equal(double.PositiveInfinity, c.Last().v);
}
[Fact]
public void DIVDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 3.0 };
DIV_Series c = new(12.0, a);
Assert.Equal(4.0, c.Last().v);
}
[Fact]
public void DIVEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
DIV_Series c = new(a, b);
a.Add(12.0);
b.Add(2);
Assert.Equal(6.0, c.Last().v);
}
[Fact]
public void DIVUpdatewDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
double b = 2;
DIV_Series c = new(a, b);
a.Add(10, true);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void DIVUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
DIV_Series c = new(a, b);
a.Add(10, true);
b.Add(2, true);
Assert.Equal(5, c.Last().v);
}
}
Tests/Pairs/MUL_Test.cs
+64 -64
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@@ -1,64 +1,64 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class MUL_Test
{
[Fact]
public void MULSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
MUL_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void MULSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
MUL_Series c = new(a, 10.0);
Assert.Equal(50, c.Last().v);
}
[Fact]
public void MULDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
MUL_Series c = new(5.0, a);
Assert.Equal(25, c.Last().v);
}
[Fact]
public void MULEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
MUL_Series c = new(a, b);
a.Add(2);
b.Add(5);
Assert.Equal(10, c.Last().v);
}
[Fact]
public void MULUpdateDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
double b = 10;
MUL_Series c = new(a, b);
a.Add(2, true);
Assert.Equal(20, c.Last().v);
}
[Fact]
public void MULUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
MUL_Series c = new(a, b);
a.Add(10, true);
b.Add(10, true);
Assert.Equal(100, c.Last().v);
}
}
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class MUL_Test
{
[Fact]
public void MULSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
MUL_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void MULSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
MUL_Series c = new(a, 10.0);
Assert.Equal(50, c.Last().v);
}
[Fact]
public void MULDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
MUL_Series c = new(5.0, a);
Assert.Equal(25, c.Last().v);
}
[Fact]
public void MULEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
MUL_Series c = new(a, b);
a.Add(2);
b.Add(5);
Assert.Equal(10, c.Last().v);
}
[Fact]
public void MULUpdateDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
double b = 10;
MUL_Series c = new(a, b);
a.Add(2, true);
Assert.Equal(20, c.Last().v);
}
[Fact]
public void MULUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
MUL_Series c = new(a, b);
a.Add(10, true);
b.Add(10, true);
Assert.Equal(100, c.Last().v);
}
}
Tests/Pairs/SUB_Test.cs
+64 -64
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@@ -1,64 +1,64 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class SUB_Test
{
[Fact]
public void SUBSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
SUB_Series c = new(a, b);
Assert.Equal(4, c.Last().v);
}
[Fact]
public void SUBSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
SUB_Series c = new(a, 10.0);
Assert.Equal(5.0, c.Last().v);
}
[Fact]
public void SUBDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
SUB_Series c = new(10.0, a);
Assert.Equal(-5.0, c.Last().v);
}
[Fact]
public void SUBEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
SUB_Series c = new(a, b);
a.Add(7.0);
b.Add(2);
Assert.Equal(5.0, c.Last().v);
}
[Fact]
public void SUBUpdatewDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
double b = 10;
SUB_Series c = new(a, b);
a.Add(1, true);
Assert.Equal(-9, c.Last().v);
}
[Fact]
public void SUBUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
SUB_Series c = new(a, b);
a.Add(10, true);
b.Add(0, true);
Assert.Equal(10, c.Last().v);
}
}
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class SUB_Test
{
[Fact]
public void SUBSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
SUB_Series c = new(a, b);
Assert.Equal(4, c.Last().v);
}
[Fact]
public void SUBSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
SUB_Series c = new(a, 10.0);
Assert.Equal(5.0, c.Last().v);
}
[Fact]
public void SUBDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
SUB_Series c = new(10.0, a);
Assert.Equal(-5.0, c.Last().v);
}
[Fact]
public void SUBEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
SUB_Series c = new(a, b);
a.Add(7.0);
b.Add(2);
Assert.Equal(5.0, c.Last().v);
}
[Fact]
public void SUBUpdatewDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
double b = 10;
SUB_Series c = new(a, b);
a.Add(1, true);
Assert.Equal(-9, c.Last().v);
}
[Fact]
public void SUBUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
SUB_Series c = new(a, b);
a.Add(10, true);
b.Add(0, true);
Assert.Equal(10, c.Last().v);
}
}
Tests/Pairs/TBars_Test.cs
+112 -112
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@@ -1,112 +1,112 @@
using Xunit;
using System;
using QuanTAlib;
namespace Bars;
public class TBars_Test
{
[Fact]
public void InsertingTuple()
{
TBars s = new() { (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue, c: Double.NegativeInfinity, v: Double.PositiveInfinity) };
var tup = (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue,
c: Double.NegativeInfinity, v: Double.PositiveInfinity);
Assert.Equal(tup, s[^1]);
}
[Fact]
public void Casting_Parameters()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false }
};
Assert.Equal(0.1, s[^1].o);
Assert.Equal(1.1, s[^1].h);
Assert.Equal(2.1, s[^1].l);
Assert.Equal(3.1, s[^1].c);
Assert.Equal(4.1, s[^1].v);
Assert.Equal(DateTime.Today, s[^1].t);
Assert.Single(s);
}
[Fact]
public void Updating_Value()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 }
};
s.Add(DateTime.Today, 1.0, 1.0, 1.0, 1.0, 1.0, update: false);
s.Add(DateTime.Today, 0.0, 0.0, 0.0, 0.0, 0.0, update: true);
Assert.Equal(0.0, s[^1].o);
Assert.Equal(0.0, s[^1].h);
Assert.Equal(0.0, s[^1].l);
Assert.Equal(0.0, s[^1].c);
Assert.Equal(0.0, s[^1].v);
Assert.Equal(2, s.Count);
}
[Fact]
public void Extracting_TSeries()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 },
{ DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1 }
};
TSeries t = s.Open;
Assert.Equal(t.t, s.Open.t);
Assert.Equal(t.v, s.Open.v);
t = s.High;
Assert.Equal(t.t, s.High.t);
Assert.Equal(t.v, s.High.v);
t = s.Low;
Assert.Equal(t.t, s.Low.t);
Assert.Equal(t.v, s.Low.v);
t = s.Close;
Assert.Equal(t.t, s.Close.t);
Assert.Equal(t.v, s.Close.v);
t = s.Volume;
Assert.Equal(t.t, s.Volume.t);
Assert.Equal(t.v, s.Volume.v);
t = s.HL2;
Assert.Equal(t.t, s.HL2.t);
Assert.Equal(t.v, s.HL2.v);
t = s.OC2;
Assert.Equal(t.t, s.OC2.t);
Assert.Equal(t.v, s.OC2.v);
t = s.OHL3;
Assert.Equal(t.t, s.OHL3.t);
Assert.Equal(t.v, s.OHL3.v);
t = s.HLC3;
Assert.Equal(t.t, s.HLC3.t);
Assert.Equal(t.v, s.HLC3.v);
t = s.OHLC4;
Assert.Equal(t.t, s.OHLC4.t);
Assert.Equal(t.v, s.OHLC4.v);
t = s.HLCC4;
Assert.Equal(t.t, s.HLCC4.t);
Assert.Equal(t.v, s.HLCC4.v);
}
[Fact]
public void Broadcasting_Events()
{
TBars s = new() { (DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1) };
TSeries t = new();
s.Close.Pub += t.Sub;
s.Add(DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false);
Assert.Equal(s.Close.v, t.v);
Assert.Equal(s.Close.Count, t.Count);
}
}
using Xunit;
using System;
using QuanTAlib;
namespace Bars;
public class TBars_Test
{
[Fact]
public void InsertingTuple()
{
TBars s = new() { (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue, c: Double.NegativeInfinity, v: Double.PositiveInfinity) };
var tup = (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue,
c: Double.NegativeInfinity, v: Double.PositiveInfinity);
Assert.Equal(tup, s[^1]);
}
[Fact]
public void Casting_Parameters()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false }
};
Assert.Equal(0.1, s[^1].o);
Assert.Equal(1.1, s[^1].h);
Assert.Equal(2.1, s[^1].l);
Assert.Equal(3.1, s[^1].c);
Assert.Equal(4.1, s[^1].v);
Assert.Equal(DateTime.Today, s[^1].t);
Assert.Single(s);
}
[Fact]
public void Updating_Value()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 }
};
s.Add(DateTime.Today, 1.0, 1.0, 1.0, 1.0, 1.0, update: false);
s.Add(DateTime.Today, 0.0, 0.0, 0.0, 0.0, 0.0, update: true);
Assert.Equal(0.0, s[^1].o);
Assert.Equal(0.0, s[^1].h);
Assert.Equal(0.0, s[^1].l);
Assert.Equal(0.0, s[^1].c);
Assert.Equal(0.0, s[^1].v);
Assert.Equal(2, s.Count);
}
[Fact]
public void Extracting_TSeries()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 },
{ DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1 }
};
TSeries t = s.Open;
Assert.Equal(t.t, s.Open.t);
Assert.Equal(t.v, s.Open.v);
t = s.High;
Assert.Equal(t.t, s.High.t);
Assert.Equal(t.v, s.High.v);
t = s.Low;
Assert.Equal(t.t, s.Low.t);
Assert.Equal(t.v, s.Low.v);
t = s.Close;
Assert.Equal(t.t, s.Close.t);
Assert.Equal(t.v, s.Close.v);
t = s.Volume;
Assert.Equal(t.t, s.Volume.t);
Assert.Equal(t.v, s.Volume.v);
t = s.HL2;
Assert.Equal(t.t, s.HL2.t);
Assert.Equal(t.v, s.HL2.v);
t = s.OC2;
Assert.Equal(t.t, s.OC2.t);
Assert.Equal(t.v, s.OC2.v);
t = s.OHL3;
Assert.Equal(t.t, s.OHL3.t);
Assert.Equal(t.v, s.OHL3.v);
t = s.HLC3;
Assert.Equal(t.t, s.HLC3.t);
Assert.Equal(t.v, s.HLC3.v);
t = s.OHLC4;
Assert.Equal(t.t, s.OHLC4.t);
Assert.Equal(t.v, s.OHLC4.v);
t = s.HLCC4;
Assert.Equal(t.t, s.HLCC4.t);
Assert.Equal(t.v, s.HLCC4.v);
}
[Fact]
public void Broadcasting_Events()
{
TBars s = new() { (DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1) };
TSeries t = new();
s.Close.Pub += t.Sub;
s.Add(DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false);
Assert.Equal(s.Close.v, t.v);
Assert.Equal(s.Close.Count, t.Count);
}
}