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python wrapper

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Miha Kralj
2026-02-28 14:14:35 -08:00
parent 82e0248eb0
commit 83e9511261
521 changed files with 62395 additions and 15669 deletions
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lib/numerics/binomdist/Binomdist.Quantower.Tests.cs
-172
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using Xunit;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public class BinomdistIndicatorTests
{
[Fact]
public void BinomdistIndicator_Constructor_SetsDefaults()
{
var indicator = new BinomdistIndicator();
Assert.Equal(SourceType.Close, indicator.Source);
Assert.Equal(50, indicator.Period);
Assert.Equal(20, indicator.Trials);
Assert.Equal(10, indicator.Threshold);
Assert.True(indicator.ShowColdValues);
Assert.Equal("BINOMDIST - Binomial Distribution CDF", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void BinomdistIndicator_MinHistoryDepths_EqualsPeriod()
{
var indicator = new BinomdistIndicator { Period = 30 };
Assert.Equal(30, indicator.MinHistoryDepths);
}
[Fact]
public void BinomdistIndicator_ShortName_IsCorrect()
{
var indicator = new BinomdistIndicator { Period = 20, Trials = 15, Threshold = 7 };
Assert.Equal("BINOMDIST(20,15,7)", indicator.ShortName);
}
[Fact]
public void BinomdistIndicator_Initialize_CreatesTwoLineSeries()
{
var indicator = new BinomdistIndicator();
indicator.Initialize();
Assert.Equal(2, indicator.LinesSeries.Count);
Assert.Equal("BinomDist", indicator.LinesSeries[0].Name);
Assert.Equal("Mid", indicator.LinesSeries[1].Name);
}
[Fact]
public void BinomdistIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new BinomdistIndicator { Period = 5, Trials = 10, Threshold = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 5; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105 + i, 95 - i, 100 + i);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
double val = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(val), "Output must be finite after warmup");
Assert.True(val >= 0.0 && val <= 1.0, $"Output {val} must be in [0,1]");
}
[Fact]
public void BinomdistIndicator_ProcessUpdate_NewBar_AddsNewValue()
{
var indicator = new BinomdistIndicator { Period = 3, Trials = 10, Threshold = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 3; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
indicator.HistoricalData.AddBar(now.AddMinutes(3), 0, 106, 96, 103);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(4, indicator.LinesSeries[0].Count);
}
[Fact]
public void BinomdistIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new BinomdistIndicator { Period = 3, Trials = 10, Threshold = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 0, 105, 95, 100);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void BinomdistIndicator_MidLine_IsAlwaysHalf()
{
var indicator = new BinomdistIndicator { Period = 3, Trials = 10, Threshold = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 5; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
for (int i = 0; i < indicator.LinesSeries[1].Count; i++)
{
double mid = indicator.LinesSeries[1].GetValue(i);
Assert.Equal(0.5, mid, 1e-10);
}
}
[Fact]
public void BinomdistIndicator_DifferentSourceType_Works()
{
var indicator = new BinomdistIndicator { Period = 3, Trials = 10, Threshold = 5, Source = SourceType.High };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 3; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 110 + i, 90, 100);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
double val = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(val));
}
[Fact]
public void BinomdistIndicator_OutputInRange_AfterManyBars()
{
var indicator = new BinomdistIndicator { Period = 20, Trials = 10, Threshold = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 62001);
var bars = gbm.Fetch(50, now.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Close.Count; i++)
{
double price = bars.Close[i].Value;
indicator.HistoricalData.AddBar(
new DateTime(bars.Close[i].Time, DateTimeKind.Utc),
0, price * 1.01, price * 0.99, price);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
for (int i = 0; i < indicator.LinesSeries[0].Count; i++)
{
double val = indicator.LinesSeries[0].GetValue(i);
Assert.True(val >= 0.0 && val <= 1.0, $"Value {val} at index {i} out of range");
}
}
[Fact]
public void BinomdistIndicator_ParameterChange_ReflectsInShortName()
{
var indicator = new BinomdistIndicator();
indicator.Period = 10;
indicator.Trials = 5;
indicator.Threshold = 2;
Assert.Equal("BINOMDIST(10,5,2)", indicator.ShortName);
}
}
lib/numerics/binomdist/Binomdist.Quantower.cs
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using System.Drawing;
using TradingPlatform.BusinessLayer;
using static QuanTAlib.IndicatorExtensions;
namespace QuanTAlib;
/// <summary>
/// BINOMDIST (Binomial Distribution CDF) Quantower indicator.
/// Computes P(X ≤ k) for X ~ Binomial(n, p), where p is derived from the
/// min-max normalized price within a rolling lookback window.
/// </summary>
public class BinomdistIndicator : Indicator, IWatchlistIndicator
{
[DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Period", sortIndex: 0, minimum: 1, maximum: 2000, increment: 1)]
public int Period { get; set; } = 50;
[InputParameter("Trials (n)", sortIndex: 1, minimum: 1, maximum: 1000, increment: 1)]
public int Trials { get; set; } = 20;
[InputParameter("Threshold (k)", sortIndex: 2, minimum: 0, maximum: 1000, increment: 1)]
public int Threshold { get; set; } = 10;
[InputParameter("Show Cold Values", sortIndex: 100)]
public bool ShowColdValues { get; set; } = true;
private Binomdist? _binomdist;
private Func<IHistoryItem, double>? _selector;
public int MinHistoryDepths => Period;
public override string ShortName => $"BINOMDIST({Period},{Trials},{Threshold})";
public BinomdistIndicator()
{
Name = "BINOMDIST - Binomial Distribution CDF";
Description = "Computes P(X ≤ k) for X ~ Binomial(n, p) from min-max normalized price";
SeparateWindow = true;
OnBackGround = true;
}
protected override void OnInit()
{
_binomdist = new Binomdist(Period, Trials, Threshold);
_selector = Source.GetPriceSelector();
AddLineSeries(new LineSeries("BinomDist", Color.Yellow, 2, LineStyle.Solid));
// Reference level at 0.5 (midpoint)
AddLineSeries(new LineSeries("Mid", Color.Gray, 1, LineStyle.Dash));
}
protected override void OnUpdate(UpdateArgs args)
{
if (_binomdist == null || _selector == null)
{
return;
}
var item = HistoricalData[0, SeekOriginHistory.End];
double value = _selector(item);
bool isNew = args.IsNewBar();
TValue input = new(item.TimeLeft, value);
_binomdist.Update(input, isNew);
bool isHot = _binomdist.IsHot;
LinesSeries[0].SetValue(_binomdist.Last.Value, isHot, ShowColdValues);
LinesSeries[1].SetValue(0.5, isHot, ShowColdValues);
}
}