gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-23 04:58:08 +00:00
Code Issues Packages Projects Releases Wiki Activity

python wrapper

Browse Source
This commit is contained in:
Miha Kralj
2026-02-28 14:14:35 -08:00
parent 82e0248eb0
commit 83e9511261
521 changed files with 62395 additions and 15669 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/statistics/beta/Beta.Quantower.Tests.cs
-127
View File
@@ -1,127 +0,0 @@
using TradingPlatform.BusinessLayer;
using QuanTAlib;
namespace QuanTAlib.Tests;
public class BetaIndicatorTests
{
[Fact]
public void BetaIndicator_Constructor_SetsDefaults()
{
var indicator = new BetaIndicator();
Assert.Equal(20, indicator.Period);
Assert.Equal(SourceType.Close, indicator.AssetSource);
Assert.Equal(SourceType.Close, indicator.MarketSource);
Assert.True(indicator.ShowColdValues);
Assert.Equal("Beta Coefficient", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void BetaIndicator_MinHistoryDepths_EqualsTwo()
{
var indicator = new BetaIndicator { Period = 20 };
Assert.Equal(2, BetaIndicator.MinHistoryDepths);
IWatchlistIndicator watchlistIndicator = indicator;
Assert.Equal(2, watchlistIndicator.MinHistoryDepths);
}
[Fact]
public void BetaIndicator_ShortName_IncludesParameters()
{
var indicator = new BetaIndicator { Period = 14 };
Assert.Contains("14", indicator.ShortName, StringComparison.Ordinal);
Assert.Contains("Beta", indicator.ShortName, StringComparison.Ordinal);
}
[Fact]
public void BetaIndicator_Initialize_CreatesInternalBeta()
{
var indicator = new BetaIndicator { Period = 10 };
// Initialize should not throw
indicator.Initialize();
// After init, line series should exist
Assert.Single(indicator.LinesSeries);
Assert.Equal("Beta", indicator.LinesSeries[0].Name);
}
[Fact]
public void BetaIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new BetaIndicator { Period = 5 };
indicator.Initialize();
// Add historical data - need enough bars for warmup
var now = DateTime.UtcNow;
for (int i = 0; i < 20; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
// Process update for each bar to simulate history loading
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
// Line series should have a value
double beta = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(beta));
}
[Fact]
public void BetaIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new BetaIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Add initial bars
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
// Add a new bar
indicator.HistoricalData.AddBar(now.AddMinutes(10), 110, 120, 100, 115);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(11, indicator.LinesSeries[0].Count);
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
}
[Fact]
public void BetaIndicator_DifferentSourceTypes_Work()
{
var assetSources = new[]
{
SourceType.Open,
SourceType.High,
SourceType.Low,
SourceType.Close,
};
foreach (var source in assetSources)
{
var indicator = new BetaIndicator { Period = 5, AssetSource = source, MarketSource = SourceType.Close };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
$"AssetSource {source} should produce finite value");
}
}
}
lib/statistics/beta/Beta.Quantower.cs
-68
View File
@@ -1,68 +0,0 @@
using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib;
[SkipLocalsInit]
public sealed class BetaIndicator : Indicator, IWatchlistIndicator
{
[InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
public int Period { get; set; } = 20;
[InputParameter("Asset Source", sortIndex: 2)]
public SourceType AssetSource { get; set; } = SourceType.Close;
[InputParameter("Market Source", sortIndex: 3)]
public SourceType MarketSource { get; set; } = SourceType.Close;
[InputParameter("Show cold values", sortIndex: 21)]
public bool ShowColdValues { get; set; } = true;
private Beta _beta = null!;
private readonly LineSeries _series;
private Func<IHistoryItem, double> _assetSelector = null!;
private Func<IHistoryItem, double> _marketSelector = null!;
public static int MinHistoryDepths => 2;
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
public override string ShortName => $"Beta({Period})";
public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/beta/Beta.Quantower.cs";
public BetaIndicator()
{
OnBackGround = true;
SeparateWindow = true;
Name = "Beta Coefficient";
Description = "Measures the volatility of an asset in relation to the overall market.";
_series = new LineSeries(name: "Beta", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
AddLineSeries(_series);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void OnInit()
{
_beta = new Beta(Period);
_assetSelector = AssetSource.GetPriceSelector();
_marketSelector = MarketSource.GetPriceSelector();
base.OnInit();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void OnUpdate(UpdateArgs args)
{
var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
double assetVal = _assetSelector(item);
double marketVal = _marketSelector(item);
var time = this.HistoricalData.Time();
var assetInput = new TValue(time, assetVal);
var marketInput = new TValue(time, marketVal);
TValue result = _beta.Update(assetInput, marketInput, args.IsNewBar());
_series.SetValue(result.Value, _beta.IsHot, ShowColdValues);
}
}