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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/sum/Sum.Quantower.Tests.cs
-186
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using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public class SumIndicatorTests
{
[Fact]
public void SumIndicator_Constructor_SetsDefaults()
{
var indicator = new SumIndicator();
Assert.Equal(14, indicator.Period);
Assert.Equal(SourceType.Close, indicator.Source);
Assert.True(indicator.ShowColdValues);
Assert.Equal("SUM - Rolling Sum", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void SumIndicator_MinHistoryDepths_EqualsZero()
{
var indicator = new SumIndicator();
Assert.Equal(0, SumIndicator.MinHistoryDepths);
Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
}
[Fact]
public void SumIndicator_ShortName_IncludesPeriodAndSource()
{
var indicator = new SumIndicator { Period = 20 };
Assert.Contains("SUM", indicator.ShortName, StringComparison.Ordinal);
Assert.Contains("20", indicator.ShortName, StringComparison.Ordinal);
}
[Fact]
public void SumIndicator_Initialize_CreatesInternalSum()
{
var indicator = new SumIndicator { Period = 10 };
// Initialize should not throw
indicator.Initialize();
// After init, line series should exist
Assert.Single(indicator.LinesSeries);
}
[Fact]
public void SumIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new SumIndicator { Period = 5 };
indicator.Initialize();
// Add historical data
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
// Process update
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
// Line series should have a value
Assert.Equal(1, indicator.LinesSeries[0].Count);
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
}
[Fact]
public void SumIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new SumIndicator { 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 SumIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new SumIndicator { 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.IsFinite(firstValue));
Assert.True(double.IsFinite(secondValue));
}
[Fact]
public void SumIndicator_MultipleUpdates_ProducesCorrectSumSequence()
{
var indicator = new SumIndicator { Period = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
double[] closes = { 10, 20, 30, 40, 50 };
foreach (var close in closes)
{
indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
now = now.AddMinutes(1);
}
// All values should be finite
for (int i = 0; i < closes.Length; i++)
{
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(closes.Length - 1 - i)));
}
// Last SUM(3) should be sum of last 3 values: 30 + 40 + 50 = 120
double lastSum = indicator.LinesSeries[0].GetValue(0);
Assert.Equal(120.0, lastSum, 1e-10);
}
[Fact]
public void SumIndicator_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 SumIndicator { Period = 5, Source = source };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
$"Source {source} should produce finite value");
}
}
[Fact]
public void SumIndicator_CalculatesRollingSum()
{
var indicator = new SumIndicator { Period = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Add bars with known close prices: 10, 20, 30, 40
indicator.HistoricalData.AddBar(now, 10, 10, 10, 10);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
Assert.Equal(10.0, indicator.LinesSeries[0].GetValue(0), 1e-10); // Sum = 10
indicator.HistoricalData.AddBar(now.AddMinutes(1), 20, 20, 20, 20);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(30.0, indicator.LinesSeries[0].GetValue(0), 1e-10); // Sum = 10+20 = 30
indicator.HistoricalData.AddBar(now.AddMinutes(2), 30, 30, 30, 30);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(60.0, indicator.LinesSeries[0].GetValue(0), 1e-10); // Sum = 10+20+30 = 60
indicator.HistoricalData.AddBar(now.AddMinutes(3), 40, 40, 40, 40);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(90.0, indicator.LinesSeries[0].GetValue(0), 1e-10); // Sum = 20+30+40 = 90 (10 dropped)
}
[Fact]
public void SumIndicator_Period_CanBeChanged()
{
var indicator = new SumIndicator { Period = 50 };
Assert.Equal(50, indicator.Period);
indicator.Period = 100;
Assert.Equal(100, indicator.Period);
}
}
lib/statistics/sum/Sum.Quantower.cs
-55
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using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib;
[SkipLocalsInit]
public sealed class SumIndicator : Indicator, IWatchlistIndicator
{
[InputParameter("Period", sortIndex: 0, minimum: 1, maximum: 10000)]
public int Period { get; set; } = 14;
[IndicatorExtensions.DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Show cold values", sortIndex: 21)]
public bool ShowColdValues { get; set; } = true;
private Sum _sum = null!;
private readonly LineSeries _series;
private string _sourceName = null!;
private Func<IHistoryItem, double> _priceSelector = null!;
public static int MinHistoryDepths => 0;
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
public override string ShortName => $"SUM({Period}):{_sourceName}";
public SumIndicator()
{
OnBackGround = true;
SeparateWindow = true;
Name = "SUM - Rolling Sum";
Description = "Rolling Sum with Kahan-Babuška summation for numerical stability";
_series = new LineSeries(name: "SUM", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
AddLineSeries(_series);
}
protected override void OnInit()
{
_priceSelector = Source.GetPriceSelector();
_sourceName = Source.ToString();
_sum = new Sum(Period);
base.OnInit();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void OnUpdate(UpdateArgs args)
{
bool isNew = args.IsNewBar();
var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
double value = _sum.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew).Value;
_series.SetValue(value, _sum.IsHot, ShowColdValues);
}
}