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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/normalize/Normalize.Quantower.Tests.cs
-167
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using Xunit;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public class NormalizeIndicatorTests
{
[Fact]
public void NormalizeIndicator_Constructor_SetsDefaults()
{
var indicator = new NormalizeIndicator();
Assert.Equal(SourceType.Close, indicator.Source);
Assert.Equal(14, indicator.Period);
Assert.True(indicator.ShowColdValues);
Assert.Equal("NORMALIZE - Min-Max Normalization", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void NormalizeIndicator_MinHistoryDepths_EqualsPeriod()
{
var indicator = new NormalizeIndicator { Period = 20 };
Assert.Equal(20, indicator.MinHistoryDepths);
}
[Fact]
public void NormalizeIndicator_ShortName_IncludesPeriod()
{
var indicator = new NormalizeIndicator { Period = 10 };
Assert.Equal("NORM(10)", indicator.ShortName);
}
[Fact]
public void NormalizeIndicator_Initialize_CreatesLineSeries()
{
var indicator = new NormalizeIndicator();
indicator.Initialize();
Assert.Single(indicator.LinesSeries);
Assert.Equal("Normalize", indicator.LinesSeries[0].Name);
}
[Fact]
public void NormalizeIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new NormalizeIndicator { Period = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 10, 15, 5, 10);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
// Single bar: value = min = max, so normalized = 0.5
Assert.Equal(0.5, indicator.LinesSeries[0].GetValue(0), 1e-10);
}
[Fact]
public void NormalizeIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new NormalizeIndicator { Period = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Add bars with varying close values
indicator.HistoricalData.AddBar(now, 0, 1, 0, 0); // Close = 0 (min)
indicator.HistoricalData.AddBar(now.AddMinutes(1), 0, 1, 0, 10); // Close = 10 (max)
indicator.HistoricalData.AddBar(now.AddMinutes(2), 0, 1, 0, 5); // Close = 5 (mid)
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(3, indicator.LinesSeries[0].Count);
// Last value: 5 normalized to [0,10] = 0.5
Assert.Equal(0.5, indicator.LinesSeries[0].GetValue(0), 1e-10);
}
[Fact]
public void NormalizeIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new NormalizeIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 10, 15, 5, 10);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void NormalizeIndicator_OutputAlwaysBounded()
{
var indicator = new NormalizeIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Add various bars
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), i * 10, i * 10 + 5, i * 10 - 5, i * 10);
indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
}
// All normalized values should be in [0, 1]
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} is outside [0,1]");
}
}
[Fact]
public void NormalizeIndicator_DifferentSourceTypes_Work()
{
var sources = new[]
{
SourceType.Open,
SourceType.High,
SourceType.Low,
SourceType.Close,
SourceType.HL2,
SourceType.HLC3,
};
foreach (var source in sources)
{
var indicator = new NormalizeIndicator { Source = source, Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 10, 20, 5, 15);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
Assert.Equal(1, indicator.LinesSeries[0].Count);
double val = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(val) && val >= 0 && val <= 1);
}
}
[Fact]
public void NormalizeIndicator_DifferentPeriods_Work()
{
var periods = new[] { 1, 5, 14, 50, 100 };
foreach (var period in periods)
{
var indicator = new NormalizeIndicator { Period = period };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < period + 5; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), i, i + 1, i - 1, i);
indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
}
Assert.Equal(period + 5, indicator.LinesSeries[0].Count);
}
}
}
lib/numerics/normalize/Normalize.Quantower.cs
-62
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using System.Drawing;
using TradingPlatform.BusinessLayer;
using static QuanTAlib.IndicatorExtensions;
namespace QuanTAlib;
/// <summary>
/// NORMALIZE (Min-Max Normalization) Quantower indicator.
/// Scales values to [0, 1] range using min-max scaling over a lookback period.
/// </summary>
public class NormalizeIndicator : Indicator, IWatchlistIndicator
{
[DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Period", sortIndex: 0, minimum: 1, maximum: 1000, increment: 1)]
public int Period { get; set; } = 14;
[InputParameter("Show Cold Values", sortIndex: 100)]
public bool ShowColdValues { get; set; } = true;
private Normalize? _normalize;
private Func<IHistoryItem, double>? _selector;
public int MinHistoryDepths => Period;
public override string ShortName => $"NORM({Period})";
public NormalizeIndicator()
{
Name = "NORMALIZE - Min-Max Normalization";
Description = "Scales values to [0, 1] range using min-max scaling over a lookback period";
SeparateWindow = true;
OnBackGround = true;
}
protected override void OnInit()
{
_normalize = new Normalize(Period);
_selector = Source.GetPriceSelector();
AddLineSeries(new LineSeries("Normalize", Color.Green, 2, LineStyle.Solid));
}
protected override void OnUpdate(UpdateArgs args)
{
if (_normalize == null || _selector == null)
{
return;
}
var item = HistoricalData[0, SeekOriginHistory.End];
double value = _selector(item);
bool isNew = args.IsNewBar();
TValue input = new(item.TimeLeft, value);
_normalize.Update(input, isNew);
bool isHot = _normalize.IsHot;
LinesSeries[0].SetValue(_normalize.Last.Value, isHot, ShowColdValues);
}
}