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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/statistics/granger/Granger.Quantower.Tests.cs
-135
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using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public sealed class GrangerIndicatorTests
{
[Fact]
public void GrangerIndicator_Constructor_SetsDefaults()
{
var indicator = new GrangerIndicator();
Assert.Equal(20, indicator.Period);
Assert.Equal(SourceType.Close, indicator.Source);
Assert.Equal(SourceType.Open, indicator.Source2);
Assert.True(indicator.ShowColdValues);
Assert.Equal("GRANGER - Granger Causality F-Statistic", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void GrangerIndicator_MinHistoryDepths_EqualsTwo()
{
var indicator = new GrangerIndicator();
Assert.Equal(2, GrangerIndicator.MinHistoryDepths);
Assert.Equal(2, ((IWatchlistIndicator)indicator).MinHistoryDepths);
}
[Fact]
public void GrangerIndicator_ShortName_IncludesPeriodAndSources()
{
var indicator = new GrangerIndicator { Period = 20 };
Assert.Contains("GRANGER", indicator.ShortName, StringComparison.Ordinal);
Assert.Contains("20", indicator.ShortName, StringComparison.Ordinal);
}
[Fact]
public void GrangerIndicator_Initialize_CreatesInternalGranger()
{
var indicator = new GrangerIndicator { Period = 10 };
indicator.Initialize();
Assert.Single(indicator.LinesSeries);
}
[Fact]
public void GrangerIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new GrangerIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
Assert.Equal(1, indicator.LinesSeries[0].Count);
}
[Fact]
public void GrangerIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new GrangerIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void GrangerIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new GrangerIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
double firstValue = indicator.LinesSeries[0].GetValue(0);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
double secondValue = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsNaN(firstValue) || double.IsFinite(firstValue));
Assert.True(double.IsNaN(secondValue) || double.IsFinite(secondValue));
}
[Fact]
public void GrangerIndicator_MultipleUpdates_ProducesSequence()
{
var indicator = new GrangerIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
double[] opens = { 100, 101, 102, 103, 104, 105 };
double[] closes = { 100, 101, 102, 103, 104, 105 };
for (int i = 0; i < opens.Length; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), opens[i], opens[i] + 5, opens[i] - 5, closes[i]);
indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
}
Assert.Equal(opens.Length, indicator.LinesSeries[0].Count);
}
[Fact]
public void GrangerIndicator_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 GrangerIndicator { Period = 5, Source = source, Source2 = SourceType.Close };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
Assert.Equal(1, indicator.LinesSeries[0].Count);
}
}
}
lib/statistics/granger/Granger.Quantower.cs
-77
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using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib;
/// <summary>
/// Quantower adapter for Granger Causality indicator.
/// Tests whether one price source Granger-causes another using F-statistic.
/// </summary>
/// <remarks>
/// This adapter compares two different price sources from the same symbol (e.g., Close vs Volume).
/// For cross-symbol Granger causality analysis, use the core Granger class directly.
///
/// Higher F-statistic values indicate stronger evidence that Source 2 Granger-causes Source 1.
/// </remarks>
[SkipLocalsInit]
public sealed class GrangerIndicator : Indicator, IWatchlistIndicator
{
[InputParameter("Period", sortIndex: 0, minimum: 4, maximum: 10000)]
public int Period { get; set; } = 20;
[IndicatorExtensions.DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Source 2 Type", sortIndex: 2)]
public SourceType Source2 { get; set; } = SourceType.Open;
[InputParameter("Show cold values", sortIndex: 21)]
public bool ShowColdValues { get; set; } = true;
private Granger _granger = null!;
private readonly LineSeries _series;
private string _sourceName = null!;
private Func<IHistoryItem, double> _priceSelector = null!;
private Func<IHistoryItem, double> _priceSelector2 = null!;
public static int MinHistoryDepths => 2;
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
public override string ShortName => $"GRANGER({Period}):{_sourceName}/{Source2}";
public GrangerIndicator()
{
OnBackGround = true;
SeparateWindow = true;
Name = "GRANGER - Granger Causality F-Statistic";
Description = "Tests whether one price source helps predict another. Higher F-statistic = stronger evidence of Granger causality.";
_series = new LineSeries(name: "F-Stat", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
AddLineSeries(_series);
}
protected override void OnInit()
{
_priceSelector = Source.GetPriceSelector();
_priceSelector2 = Source2.GetPriceSelector();
_sourceName = Source.ToString();
_granger = new Granger(Period);
base.OnInit();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void OnUpdate(UpdateArgs args)
{
bool isNew = args.IsNewBar();
var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
double valueY = _priceSelector(item);
double valueX = _priceSelector2(item);
var tvalY = new TValue(item.TimeLeft.Ticks, valueY);
var tvalX = new TValue(item.TimeLeft.Ticks, valueX);
double value = _granger.Update(tvalY, tvalX, isNew).Value;
_series.SetValue(value, _granger.IsHot, ShowColdValues);
}
}