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https://github.com/mihakralj/QuanTAlib.git
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python wrapper
This commit is contained in:
Miha Kralj
@@ -1,185 +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 IfftIndicatorTests
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{
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[Fact]
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public void IfftIndicator_Constructor_SetsDefaults()
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{
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var indicator = new IfftIndicator();
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Assert.Equal(SourceType.Close, indicator.Source);
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Assert.Equal(64, indicator.WindowSize);
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Assert.Equal(5, indicator.NumHarmonics);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("IFFT - Inverse FFT Spectral Low-Pass Filter", indicator.Name);
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Assert.False(indicator.SeparateWindow);
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}
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[Fact]
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public void IfftIndicator_MinHistoryDepths_EqualsWindowSize()
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{
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var indicator = new IfftIndicator { WindowSize = 64 };
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Assert.Equal(64, indicator.MinHistoryDepths);
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indicator.WindowSize = 32;
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Assert.Equal(32, indicator.MinHistoryDepths);
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indicator.WindowSize = 128;
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Assert.Equal(128, indicator.MinHistoryDepths);
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}
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[Fact]
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public void IfftIndicator_ShortName_IsCorrect()
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{
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var indicator = new IfftIndicator { WindowSize = 32, NumHarmonics = 3 };
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Assert.Equal("IFFT(32,3)", indicator.ShortName);
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}
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[Fact]
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public void IfftIndicator_ShortName_DefaultParams()
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{
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var indicator = new IfftIndicator();
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Assert.Equal("IFFT(64,5)", indicator.ShortName);
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}
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[Fact]
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public void IfftIndicator_Initialize_CreatesOneLineSeries()
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{
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var indicator = new IfftIndicator();
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indicator.Initialize();
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Assert.Single(indicator.LinesSeries);
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Assert.Equal("IFFT", indicator.LinesSeries[0].Name);
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}
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[Fact]
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public void IfftIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new IfftIndicator { WindowSize = 32, NumHarmonics = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int windowSize = indicator.MinHistoryDepths;
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for (int i = 0; i < windowSize; 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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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 IfftIndicator_ProcessUpdate_NewBar_AddsNewValue()
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{
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var indicator = new IfftIndicator { WindowSize = 32, NumHarmonics = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int windowSize = indicator.MinHistoryDepths;
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for (int i = 0; i < windowSize; 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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indicator.HistoricalData.AddBar(now.AddMinutes(windowSize), 0, 106, 96, 103);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(windowSize + 1, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void IfftIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
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{
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var indicator = new IfftIndicator { WindowSize = 32, NumHarmonics = 3 };
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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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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void IfftIndicator_Output_IsFiniteAfterWarmup()
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{
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var indicator = new IfftIndicator { WindowSize = 32, NumHarmonics = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int windowSize = indicator.MinHistoryDepths;
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for (int i = 0; i < windowSize + 10; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + (i % 10));
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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// Check all post-warmup values are finite
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for (int i = windowSize; 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), $"Output at {i} must be finite, got {val}");
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}
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}
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[Fact]
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public void IfftIndicator_DifferentSourceType_Works()
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{
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var indicator = new IfftIndicator { WindowSize = 32, NumHarmonics = 3, Source = SourceType.High };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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int windowSize = indicator.MinHistoryDepths;
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for (int i = 0; i < windowSize; 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), "Output using High source must be finite");
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}
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[Fact]
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public void IfftIndicator_OverlaysOnPriceChart()
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{
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// IFFT overlays on price chart (SeparateWindow = false)
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var indicator = new IfftIndicator();
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Assert.False(indicator.SeparateWindow);
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}
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[Fact]
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public void IfftIndicator_DifferentHarmonics_DifferentOutput()
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{
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var ind3 = new IfftIndicator { WindowSize = 32, NumHarmonics = 3 };
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var ind8 = new IfftIndicator { WindowSize = 32, NumHarmonics = 8 };
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ind3.Initialize();
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ind8.Initialize();
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var now = DateTime.UtcNow;
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int windowSize = 32;
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for (int i = 0; i < windowSize + 5; i++)
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{
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ind3.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + (i % 7));
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ind8.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + (i % 7));
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ind3.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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ind8.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val3 = ind3.LinesSeries[0].GetValue(0);
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double val8 = ind8.LinesSeries[0].GetValue(0);
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// Different harmonics produce different filtered output
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Assert.True(double.IsFinite(val3) && double.IsFinite(val8));
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// (values will differ since different spectral reconstruction)
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}
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}
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@@ -1,65 +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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/// IFFT (Inverse FFT Spectral Low-Pass Filter) Quantower indicator.
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/// Reconstructs a filtered price value by summing DC plus first N harmonics
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/// of the Hanning-windowed DFT. Overlays on the price chart.
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/// </summary>
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public class IfftIndicator : 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("Window Size", sortIndex: 0, minimum: 32, maximum: 128)]
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public int WindowSize { get; set; } = 64;
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[InputParameter("Harmonics", sortIndex: 1, minimum: 1, maximum: 64)]
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public int NumHarmonics { get; set; } = 5;
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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 Ifft? _ifft;
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private Func<IHistoryItem, double>? _selector;
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public int MinHistoryDepths => WindowSize;
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public override string ShortName => $"IFFT({WindowSize},{NumHarmonics})";
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public IfftIndicator()
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{
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Name = "IFFT - Inverse FFT Spectral Low-Pass Filter";
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Description = "Spectral low-pass reconstruction using Hanning-windowed DFT harmonics";
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SeparateWindow = false;
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}
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protected override void OnInit()
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{
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_ifft = new Ifft(WindowSize, NumHarmonics);
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_selector = Source.GetPriceSelector();
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AddLineSeries(new LineSeries("IFFT", Color.Cyan, 2, LineStyle.Solid));
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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if (_ifft == 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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_ifft.Update(input, isNew);
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bool isHot = _ifft.IsHot;
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LinesSeries[0].SetValue(_ifft.Last.Value, isHot, ShowColdValues);
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}
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}
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