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feat: Refactor TBar and TValue to record structs; improve readability and performance

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fix: Update condition checks in Htit and Mgdi for better numerical stability
refactor: Simplify parameter struct in T3 and enhance Vidya state management
This commit is contained in:
Miha Kralj
2025-12-17 07:27:45 -08:00
parent d277e08056
commit 8cec2fec8d
6 changed files with 20 additions and 100 deletions
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lib/core/tbar/tbar.cs
+3 -40
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@@ -7,15 +7,8 @@ namespace QuanTAlib;
/// Pure data type: 48 bytes (long + 5 doubles).
/// </summary>
[SkipLocalsInit]
public readonly struct TBar : IEquatable<TBar>
public readonly record struct TBar(long Time, double Open, double High, double Low, double Close, double Volume)
{
public readonly long Time;
public readonly double Open;
public readonly double High;
public readonly double Low;
public readonly double Close;
public readonly double Volume;
public DateTime AsDateTime => new(Time, DateTimeKind.Utc);
// TValue conversions (Zero-copy / lightweight creation)
@@ -34,25 +27,9 @@ public readonly struct TBar : IEquatable<TBar>
public double HLCC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close + Close) * 0.25; }
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TBar(long time, double open, double high, double low, double close, double volume)
public TBar(DateTime time, double open, double high, double low, double close, double volume)
: this(time.Ticks, open, high, low, close, volume)
{
Time = time;
Open = open;
High = high;
Low = low;
Close = close;
Volume = volume;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TBar(DateTime time, double open, double high, double low, double close, double volume)
{
Time = time.Ticks;
Open = open;
High = high;
Low = low;
Close = close;
Volume = volume;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -66,18 +43,4 @@ public readonly struct TBar : IEquatable<TBar>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override string ToString() => $"[{AsDateTime:yyyy-MM-dd HH:mm:ss}: O={Open:F2}, H={High:F2}, L={Low:F2}, C={Close:F2}, V={Volume:F2}]";
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public bool Equals(TBar other) =>
Time == other.Time &&
Open == other.Open &&
High == other.High &&
Low == other.Low &&
Close == other.Close &&
Volume == other.Volume;
public override bool Equals(object? obj) => obj is TBar other && Equals(other);
public override int GetHashCode() => HashCode.Combine(Time, Open, High, Low, Close, Volume);
public static bool operator ==(TBar left, TBar right) => left.Equals(right);
public static bool operator !=(TBar left, TBar right) => !left.Equals(right);
}
lib/core/tvalue/tvalue.cs
+3 -22
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@@ -7,25 +7,14 @@ namespace QuanTAlib;
/// Pure data type: 16 bytes (long + double).
/// </summary>
[SkipLocalsInit]
public readonly struct TValue : IEquatable<TValue>
public readonly record struct TValue(long Time, double Value)
{
public readonly long Time;
public readonly double Value;
public DateTime AsDateTime => new(Time, DateTimeKind.Utc);
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue(long time, double value)
public TValue(DateTime time, double value)
: this(time.Kind == DateTimeKind.Utc ? time.Ticks : time.ToUniversalTime().Ticks, value)
{
Time = time;
Value = value;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue(DateTime time, double value)
{
Time = time.Kind == DateTimeKind.Utc ? time.Ticks : time.ToUniversalTime().Ticks;
Value = value;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -36,12 +25,4 @@ public readonly struct TValue : IEquatable<TValue>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override string ToString() => $"[{AsDateTime:yyyy-MM-dd HH:mm:ss}, {Value:F2}]";
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public bool Equals(TValue other) => Time == other.Time && Value == other.Value;
public override bool Equals(object? obj) => obj is TValue other && Equals(other);
public override int GetHashCode() => HashCode.Combine(Time, Value);
public static bool operator ==(TValue left, TValue right) => left.Equals(right);
public static bool operator !=(TValue left, TValue right) => !left.Equals(right);
}
lib/trends/htit/Htit.cs
+2 -2
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@@ -220,7 +220,7 @@ public sealed class Htit : AbstractBase
private double CalculatePeriod(double prevPeriod)
{
double period = 0;
if (_state.Im != 0 && _state.Re != 0)
if (Math.Abs(_state.Im) > 1e-9 && Math.Abs(_state.Re) > 1e-9)
{
period = 2 * Math.PI / Math.Atan(_state.Im / _state.Re);
}
@@ -372,7 +372,7 @@ public sealed class Htit : AbstractBase
// 7. Calculate Period
double period = 0;
if (im != 0 && re != 0)
if (Math.Abs(im) > 1e-9 && Math.Abs(re) > 1e-9)
{
period = 2 * Math.PI / Math.Atan(im / re);
}
lib/trends/mgdi/Mgdi.cs
+10 -5
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@@ -33,7 +33,7 @@ public sealed class Mgdi : AbstractBase
public Mgdi(int period = 14, double k = 0.6)
{
if (period < 1) throw new ArgumentOutOfRangeException(nameof(period));
ArgumentOutOfRangeException.ThrowIfLessThan(period, 1);
if (double.IsNaN(k) || double.IsInfinity(k) || k <= 0) throw new ArgumentOutOfRangeException(nameof(k), "k must be a finite value greater than 0");
_period = period;
_k = k;
@@ -57,10 +57,15 @@ public sealed class Mgdi : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override TValue Update(TValue input, bool isNew = true)
{
if (isNew) _p_state = _state;
else _state = _p_state;
if (isNew) _state.Count++;
if (isNew)
{
_p_state = _state;
_state.Count++;
}
else
{
_state = _p_state;
}
double price = input.Value;
if (!double.IsFinite(price))
lib/trends/t3/T3.cs
+1 -29
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@@ -31,35 +31,7 @@ public sealed class T3 : AbstractBase
public static State New() => new() { IsInitialized = false };
}
private readonly struct Parameters : IEquatable<Parameters>
{
public readonly double Alpha;
public readonly double C1, C2, C3, C4;
public Parameters(double alpha, double c1, double c2, double c3, double c4)
{
Alpha = alpha;
C1 = c1;
C2 = c2;
C3 = c3;
C4 = c4;
}
public override bool Equals(object? obj) => obj is Parameters other && Equals(other);
#pragma warning disable S1244 // Do not check floating point equality with exact values
public bool Equals(Parameters other) =>
Alpha == other.Alpha &&
C1 == other.C1 && C2 == other.C2 &&
C3 == other.C3 && C4 == other.C4;
#pragma warning restore S1244 // Do not check floating point equality with exact values
public override int GetHashCode() => HashCode.Combine(Alpha, C1, C2, C3, C4);
public static bool operator ==(Parameters left, Parameters right) => left.Equals(right);
public static bool operator !=(Parameters left, Parameters right) => !left.Equals(right);
}
private readonly record struct Parameters(double Alpha, double C1, double C2, double C3, double C4);
private readonly Parameters _params;
private State _state = State.New();
lib/trends/vidya/Vidya.cs
+1 -2
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@@ -67,14 +67,13 @@ public sealed class Vidya : AbstractBase
if (isNew)
{
_p_state = _state;
_state.BarCount++;
}
else
{
_state = _p_state;
}
if (isNew) _state.BarCount++;
if (_state.IsInitialized)
{
_state.PrevClose = _state.CurrentClose;