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python wrapper
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Miha Kralj
@@ -1,213 +0,0 @@
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using Xunit;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class DwtIndicatorTests
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{
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[Fact]
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public void DwtIndicator_Constructor_SetsDefaults()
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{
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var indicator = new DwtIndicator();
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Assert.Equal(SourceType.Close, indicator.Source);
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Assert.Equal(4, indicator.Levels);
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Assert.Equal(0, indicator.OutputComponent);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("DWT - Discrete Wavelet Transform", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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}
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[Fact]
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public void DwtIndicator_MinHistoryDepths_CorrectForLevel4()
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{
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// levels=4: bufferSize = 2^4 = 16
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var indicator = new DwtIndicator { Levels = 4 };
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Assert.Equal(16, indicator.MinHistoryDepths);
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}
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[Fact]
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public void DwtIndicator_MinHistoryDepths_CorrectForLevel2()
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{
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// levels=2: bufferSize = 2^2 = 4
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var indicator = new DwtIndicator { Levels = 2 };
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Assert.Equal(4, indicator.MinHistoryDepths);
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}
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[Fact]
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public void DwtIndicator_MinHistoryDepths_CorrectForLevel8()
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{
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// levels=8: bufferSize = 2^8 = 256
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var indicator = new DwtIndicator { Levels = 8 };
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Assert.Equal(256, indicator.MinHistoryDepths);
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}
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[Fact]
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public void DwtIndicator_ShortName_IsCorrect()
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{
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var indicator = new DwtIndicator { Levels = 3, OutputComponent = 1 };
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Assert.Equal("DWT(3,1)", indicator.ShortName);
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}
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[Fact]
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public void DwtIndicator_Initialize_CreatesTwoLineSeries()
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{
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var indicator = new DwtIndicator();
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indicator.Initialize();
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Assert.Equal(2, indicator.LinesSeries.Count);
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Assert.Equal("DWT Component", indicator.LinesSeries[0].Name);
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Assert.Equal("Zero", indicator.LinesSeries[1].Name);
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}
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[Fact]
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public void DwtIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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// levels=2: warmup = 4 bars
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var indicator = new DwtIndicator { Levels = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int warmup = indicator.MinHistoryDepths;
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for (int i = 0; i < warmup; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105 + i, 95 - i, 100 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// After warmup, should have valid (non-cold) output
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val), "Output must be finite after warmup");
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}
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[Fact]
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public void DwtIndicator_ProcessUpdate_NewBar_AddsNewValue()
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{
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var indicator = new DwtIndicator { Levels = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int warmup = indicator.MinHistoryDepths;
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for (int i = 0; i < warmup; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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// Feed a new bar
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indicator.HistoricalData.AddBar(now.AddMinutes(warmup), 0, 106, 96, 103);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(warmup + 1, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void DwtIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
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{
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var indicator = new DwtIndicator { Levels = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 0, 105, 95, 100);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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// 2 values: one historical, one intra-bar update
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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void DwtIndicator_ZeroLine_IsAlwaysZero()
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{
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var indicator = new DwtIndicator { Levels = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int warmup = indicator.MinHistoryDepths;
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for (int i = 0; i < warmup + 5; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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for (int i = 0; i < indicator.LinesSeries[1].Count; i++)
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{
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double zero = indicator.LinesSeries[1].GetValue(i);
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Assert.Equal(0.0, zero, 1e-10);
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}
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}
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[Fact]
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public void DwtIndicator_DifferentSourceType_Works()
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{
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var indicator = new DwtIndicator { Levels = 2, Source = SourceType.High };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int warmup = indicator.MinHistoryDepths;
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for (int i = 0; i < warmup; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 110 + i, 90, 100);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void DwtIndicator_DetailOutput_Works()
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{
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// OutputComponent = 1 → detail at level 1
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var indicator = new DwtIndicator { Levels = 3, OutputComponent = 1 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int warmup = indicator.MinHistoryDepths;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 83001);
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var bars = gbm.Fetch(warmup + 5, now.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Close.Count; i++)
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{
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double price = bars.Close[i].Value;
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indicator.HistoricalData.AddBar(
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new DateTime(bars.Close[i].Time, DateTimeKind.Utc),
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0, price * 1.01, price * 0.99, price);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val), $"DWT detail output {val} must be finite");
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}
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[Fact]
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public void DwtIndicator_OutputNonCold_AfterManyBars()
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{
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var indicator = new DwtIndicator { Levels = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 83002);
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var bars = gbm.Fetch(50, now.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Close.Count; i++)
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{
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double price = bars.Close[i].Value;
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indicator.HistoricalData.AddBar(
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new DateTime(bars.Close[i].Time, DateTimeKind.Utc),
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0, price * 1.01, price * 0.99, price);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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// All computed values should be finite
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for (int i = 0; i < indicator.LinesSeries[0].Count; i++)
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{
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double val = indicator.LinesSeries[0].GetValue(i);
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Assert.True(double.IsFinite(val), $"DWT value {val} at index {i} must be finite");
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}
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}
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}
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@@ -1,70 +0,0 @@
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using System.Drawing;
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using TradingPlatform.BusinessLayer;
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using static QuanTAlib.IndicatorExtensions;
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namespace QuanTAlib;
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/// <summary>
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/// DWT (Discrete Wavelet Transform) Quantower indicator.
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/// Decomposes the input series using the à trous stationary Haar wavelet,
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/// outputting either the approximation (trend) or a detail coefficient (cycles/noise).
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/// </summary>
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public class DwtIndicator : Indicator, IWatchlistIndicator
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{
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[DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Decomposition Levels", sortIndex: 0, minimum: 1, maximum: 8, increment: 1, decimalPlaces: 0)]
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public int Levels { get; set; } = 4;
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[InputParameter("Output Component (0=approx, 1..levels=detail)", sortIndex: 1, minimum: 0, maximum: 8, increment: 1, decimalPlaces: 0)]
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public int OutputComponent { get; set; } = 0;
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[InputParameter("Show Cold Values", sortIndex: 100)]
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public bool ShowColdValues { get; set; } = true;
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private Dwt? _dwt;
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private Func<IHistoryItem, double>? _selector;
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public int MinHistoryDepths => 1 << Levels; // 2^Levels
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public override string ShortName => $"DWT({Levels},{OutputComponent})";
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public DwtIndicator()
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{
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Name = "DWT - Discrete Wavelet Transform";
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Description = "À trous stationary Haar DWT — approximation (trend) or detail (cycles/noise) at selected level";
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SeparateWindow = true;
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OnBackGround = true;
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}
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protected override void OnInit()
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{
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int clampedOutput = Math.Clamp(OutputComponent, 0, Levels);
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_dwt = new Dwt(Levels, clampedOutput);
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_selector = Source.GetPriceSelector();
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AddLineSeries(new LineSeries("DWT Component", Color.Yellow, 2, LineStyle.Solid));
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// Reference level at 0 (baseline for detail components)
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AddLineSeries(new LineSeries("Zero", Color.Gray, 1, LineStyle.Dash));
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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if (_dwt == null || _selector == null)
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{
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return;
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}
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var item = HistoricalData[0, SeekOriginHistory.End];
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double value = _selector(item);
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bool isNew = args.IsNewBar();
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TValue input = new(item.TimeLeft, value);
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_dwt.Update(input, isNew);
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bool isHot = _dwt.IsHot;
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LinesSeries[0].SetValue(_dwt.Last.Value, isHot, ShowColdValues);
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LinesSeries[1].SetValue(0.0, isHot, ShowColdValues);
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}
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}
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