SIMD Refactor: Merge simd-dev into dev (#55)

Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
2026-08-21 03:58:04 +00:00 · 2026-01-18 19:02:03 -08:00
parent 5bcdf8d614
commit 86fe32a682
1750 changed files with 198235 additions and 80539 deletions
@@ -0,0 +1,277 @@
+using Xunit;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class SgmaIndicatorTests
+{
+    [Fact]
+    public void SgmaIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new SgmaIndicator();
+
+        Assert.Equal(9, indicator.Period);
+        Assert.Equal(2, indicator.Degree);
+        Assert.Equal(SourceType.Close, indicator.Source);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("SGMA - Savitzky-Golay Moving Average", indicator.Name);
+        Assert.False(indicator.SeparateWindow);
+        Assert.False(indicator.OnBackGround);
+    }
+
+    [Fact]
+    public void SgmaIndicator_MinHistoryDepths_EqualsPeriod()
+    {
+        var indicator = new SgmaIndicator { Period = 9, Degree = 2 };
+        Assert.Equal(9, indicator.MinHistoryDepths);
+
+        indicator = new SgmaIndicator { Period = 21, Degree = 3 };
+        Assert.Equal(21, indicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void SgmaIndicator_ShortName_IncludesParameters()
+    {
+        var indicator = new SgmaIndicator { Period = 9, Degree = 2 };
+        Assert.Equal("SGMA(9,2)", indicator.ShortName);
+
+        indicator = new SgmaIndicator { Period = 21, Degree = 4 };
+        Assert.Equal("SGMA(21,4)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void SgmaIndicator_Initialize_CreatesLineSeries()
+    {
+        var indicator = new SgmaIndicator { Period = 9, Degree = 2 };
+        indicator.Initialize();
+
+        Assert.Single(indicator.LinesSeries);
+        Assert.Equal("SGMA", indicator.LinesSeries[0].Name);
+    }
+
+    [Fact]
+    public void SgmaIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new SgmaIndicator { Period = 5, Degree = 2 };
+        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 SgmaIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new SgmaIndicator { Period = 5, Degree = 2 };
+        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 SgmaIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
+    {
+        var indicator = new SgmaIndicator { Period = 5, Degree = 2 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
+
+        // NewTick should update without crashing
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void SgmaIndicator_MultipleUpdates_ProducesCorrectSequence()
+    {
+        var indicator = new SgmaIndicator { Period = 5, Degree = 2 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        for (int i = 0; i < 20; i++)
+        {
+            indicator.HistoricalData.AddBar(
+                now.AddMinutes(i),
+                100 + i * 2,
+                105 + i * 2,
+                95 + i * 2,
+                102 + i * 2);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        Assert.Equal(20, indicator.LinesSeries[0].Count);
+
+        // Check that values are finite after warmup
+        for (int i = 0; i < 20; i++)
+        {
+            Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(i)));
+        }
+    }
+
+    [Fact]
+    public void SgmaIndicator_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 SgmaIndicator
+            {
+                Period = 5,
+                Degree = 2,
+                Source = source
+            };
+            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);
+        }
+    }
+
+    [Fact]
+    public void SgmaIndicator_Period_CanBeChanged()
+    {
+        var indicator = new SgmaIndicator();
+        indicator.Period = 21;
+
+        Assert.Equal(21, indicator.Period);
+        Assert.Equal(21, indicator.MinHistoryDepths);
+        Assert.Equal("SGMA(21,2)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void SgmaIndicator_Degree_CanBeChanged()
+    {
+        var indicator = new SgmaIndicator();
+        indicator.Degree = 4;
+
+        Assert.Equal(4, indicator.Degree);
+        Assert.Equal("SGMA(9,4)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void SgmaIndicator_ShowColdValues_False_SetsNaN()
+    {
+        var indicator = new SgmaIndicator
+        {
+            Period = 21,
+            Degree = 2,
+            ShowColdValues = false
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add fewer bars than warmup
+        for (int i = 0; i < 5; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 102);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        // With ShowColdValues = false, cold values should be NaN before warmup
+        Assert.True(double.IsNaN(indicator.LinesSeries[0].GetValue(0)));
+    }
+
+    [Fact]
+    public void SgmaIndicator_ShowColdValues_True_ShowsValues()
+    {
+        var indicator = new SgmaIndicator
+        {
+            Period = 21,
+            Degree = 2,
+            ShowColdValues = true
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add fewer bars than warmup
+        for (int i = 0; i < 5; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 102);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        // With ShowColdValues = true, values should be shown even before warmup
+        Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
+    }
+
+    [Fact]
+    public void SgmaIndicator_DegreeZero_ProducesUniformWeights()
+    {
+        // Degree 0 should behave like SMA (uniform weights)
+        var indicator = new SgmaIndicator { Period = 5, Degree = 0 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add 5 bars with known values
+        double[] values = [10, 20, 30, 40, 50];
+        for (int i = 0; i < 5; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), values[i], values[i], values[i], values[i]);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        // With degree 0 (uniform weights), result should be simple average
+        double expected = values.Average();
+        double actual = indicator.LinesSeries[0].GetValue(0);
+        Assert.Equal(expected, actual, 6);
+    }
+
+    [Fact]
+    public void SgmaIndicator_HigherDegree_PreservesShape()
+    {
+        // Higher degree preserves peaks and valleys better
+        var indicatorLow = new SgmaIndicator { Period = 5, Degree = 1 };
+        var indicatorHigh = new SgmaIndicator { Period = 5, Degree = 4 };
+
+        indicatorLow.Initialize();
+        indicatorHigh.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Create data with a clear pattern
+        double[] values = [100, 110, 150, 110, 100];
+        for (int i = 0; i < 5; i++)
+        {
+            indicatorLow.HistoricalData.AddBar(now.AddMinutes(i), values[i], values[i], values[i], values[i]);
+            indicatorLow.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+            indicatorHigh.HistoricalData.AddBar(now.AddMinutes(i), values[i], values[i], values[i], values[i]);
+            indicatorHigh.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        // Both should produce finite values
+        Assert.True(double.IsFinite(indicatorLow.LinesSeries[0].GetValue(0)));
+        Assert.True(double.IsFinite(indicatorHigh.LinesSeries[0].GetValue(0)));
+    }
+}
@@ -0,0 +1,64 @@
+// Sgma.Quantower.cs - Quantower adapter for Savitzky-Golay Moving Average
+
+using System.Drawing;
+using TradingPlatform.BusinessLayer;
+using static QuanTAlib.IndicatorExtensions;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// SGMA: Savitzky-Golay Moving Average - Quantower Indicator Adapter
+/// A FIR filter that uses polynomial fitting to smooth data while preserving
+/// higher moments (peaks, valleys, and inflection points).
+/// </summary>
+public sealed class SgmaIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 10, minimum: 3, maximum: 500, increment: 2, decimalPlaces: 0)]
+    public int Period { get; set; } = 9;
+
+    [InputParameter("Polynomial Degree", sortIndex: 11, minimum: 0, maximum: 4, increment: 1, decimalPlaces: 0)]
+    public int Degree { get; set; } = 2;
+
+    [DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show Cold Values", sortIndex: 100)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Sgma? _sgma;
+    private Func<IHistoryItem, double>? _selector;
+
+    public int MinHistoryDepths => Period;
+    public override string ShortName => $"SGMA({Period},{Degree})";
+
+    public SgmaIndicator()
+    {
+        Name = "SGMA - Savitzky-Golay Moving Average";
+        Description = "A FIR filter using polynomial fitting for smoothing with shape preservation.";
+        SeparateWindow = false;
+        OnBackGround = false;
+    }
+
+    protected override void OnInit()
+    {
+        _sgma = new Sgma(Period, Degree);
+        _selector = Source.GetPriceSelector();
+
+        AddLineSeries(new LineSeries("SGMA", Averages, 2, LineStyle.Solid));
+    }
+
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        if (_sgma == null || _selector == null) return;
+
+        var item = HistoricalData[0, SeekOriginHistory.End];
+        double value = _selector(item);
+        bool isNew = args.IsNewBar();
+
+        TValue input = new(item.TimeLeft, value);
+        var result = _sgma.Update(input, isNew);
+
+        bool isHot = _sgma.IsHot;
+        LinesSeries[0].SetValue(result.Value, isHot, ShowColdValues);
+    }
+}