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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/fft/Fft.Quantower.Tests.cs
-178
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using Xunit;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public class FftIndicatorTests
{
[Fact]
public void FftIndicator_Constructor_SetsDefaults()
{
var indicator = new FftIndicator();
Assert.Equal(SourceType.Close, indicator.Source);
Assert.Equal(64, indicator.WindowSize);
Assert.Equal(4, indicator.MinPeriod);
Assert.Equal(32, indicator.MaxPeriod);
Assert.True(indicator.ShowColdValues);
Assert.Equal("FFT - Fast Fourier Transform Dominant Cycle", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void FftIndicator_MinHistoryDepths_EqualsWindowSize()
{
var indicator = new FftIndicator { WindowSize = 64 };
Assert.Equal(64, indicator.MinHistoryDepths);
indicator.WindowSize = 32;
Assert.Equal(32, indicator.MinHistoryDepths);
indicator.WindowSize = 128;
Assert.Equal(128, indicator.MinHistoryDepths);
}
[Fact]
public void FftIndicator_ShortName_IsCorrect()
{
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 16 };
Assert.Equal("FFT(32,4,16)", indicator.ShortName);
}
[Fact]
public void FftIndicator_ShortName_DefaultParams()
{
var indicator = new FftIndicator();
Assert.Equal("FFT(64,4,32)", indicator.ShortName);
}
[Fact]
public void FftIndicator_Initialize_CreatesThreeLineSeries()
{
var indicator = new FftIndicator();
indicator.Initialize();
Assert.Equal(3, indicator.LinesSeries.Count);
Assert.Equal("Dominant Period", indicator.LinesSeries[0].Name);
Assert.Equal("Max Period", indicator.LinesSeries[1].Name);
Assert.Equal("Min Period", indicator.LinesSeries[2].Name);
}
[Fact]
public void FftIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 16 };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize; 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 >= 4.0 && val <= 16.0,
$"Detected period {val:F2} must be in [4,16]");
}
[Fact]
public void FftIndicator_ProcessUpdate_NewBar_AddsNewValue()
{
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 16 };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
indicator.HistoricalData.AddBar(now.AddMinutes(windowSize), 0, 106, 96, 103);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(windowSize + 1, indicator.LinesSeries[0].Count);
}
[Fact]
public void FftIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 16 };
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 FftIndicator_ReferenceLines_WithinBounds()
{
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 16 };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize + 5; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
// Verify max period reference line
for (int i = 0; i < indicator.LinesSeries[1].Count; i++)
{
double maxPeriodVal = indicator.LinesSeries[1].GetValue(i);
Assert.Equal(16.0, maxPeriodVal, 1e-10);
}
// Verify min period reference line
for (int i = 0; i < indicator.LinesSeries[2].Count; i++)
{
double minPeriodVal = indicator.LinesSeries[2].GetValue(i);
Assert.Equal(4.0, minPeriodVal, 1e-10);
}
}
[Fact]
public void FftIndicator_DifferentSourceType_Works()
{
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 16, Source = SourceType.High };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize; 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), "Output using High source must be finite");
}
[Fact]
public void FftIndicator_MaxPeriodClamped_ToHalfWindow()
{
// MaxPeriod=40 with WindowSize=32 → should be clamped to 16 in OnInit
var indicator = new FftIndicator { WindowSize = 32, MinPeriod = 4, MaxPeriod = 40 };
indicator.Initialize(); // Should not throw
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 0, 105, 95, 100);
// Should process without exception
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
Assert.Equal(1, indicator.LinesSeries[0].Count);
}
}
lib/numerics/fft/Fft.Quantower.cs
-75
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using System.Drawing;
using TradingPlatform.BusinessLayer;
using static QuanTAlib.IndicatorExtensions;
namespace QuanTAlib;
/// <summary>
/// FFT (Fast Fourier Transform Dominant Cycle Detector) Quantower indicator.
/// Estimates the dominant cycle period in bars using Hanning-windowed DFT.
/// Output is the detected period in bars — displays in a separate window.
/// </summary>
public class FftIndicator : Indicator, IWatchlistIndicator
{
[DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Window Size", sortIndex: 0, minimum: 32, maximum: 128)]
public int WindowSize { get; set; } = 64;
[InputParameter("Min Period", sortIndex: 1, minimum: 2, maximum: 32)]
public int MinPeriod { get; set; } = 4;
[InputParameter("Max Period", sortIndex: 2, minimum: 4, maximum: 64)]
public int MaxPeriod { get; set; } = 32;
[InputParameter("Show Cold Values", sortIndex: 100)]
public bool ShowColdValues { get; set; } = true;
private Fft? _fft;
private Func<IHistoryItem, double>? _selector;
public int MinHistoryDepths => WindowSize;
public override string ShortName => $"FFT({WindowSize},{MinPeriod},{MaxPeriod})";
public FftIndicator()
{
Name = "FFT - Fast Fourier Transform Dominant Cycle";
Description = "Estimates dominant cycle period in bars using Hanning-windowed DFT";
SeparateWindow = true;
OnBackGround = true;
}
protected override void OnInit()
{
int clampedMax = Math.Min(MaxPeriod, WindowSize / 2);
_fft = new Fft(WindowSize, MinPeriod, clampedMax);
_selector = Source.GetPriceSelector();
AddLineSeries(new LineSeries("Dominant Period", Color.Yellow, 2, LineStyle.Solid));
AddLineSeries(new LineSeries("Max Period", Color.Gray, 1, LineStyle.Dash));
AddLineSeries(new LineSeries("Min Period", Color.Gray, 1, LineStyle.Dash));
}
protected override void OnUpdate(UpdateArgs args)
{
if (_fft == null || _selector == null)
{
return;
}
var item = HistoricalData[0, SeekOriginHistory.End];
double value = _selector(item);
bool isNew = args.IsNewBar();
TValue input = new(item.TimeLeft, value);
_fft.Update(input, isNew);
bool isHot = _fft.IsHot;
int clampedMax = Math.Min(MaxPeriod, WindowSize / 2);
LinesSeries[0].SetValue(_fft.Last.Value, isHot, ShowColdValues);
LinesSeries[1].SetValue(clampedMax, isHot, ShowColdValues);
LinesSeries[2].SetValue(MinPeriod, isHot, ShowColdValues);
}
}