refactor: clean up Ema and EmaVector tests for consistency, update TValue equality check

lib/averages/ema/Ema.Tests.cs

@@ -11,7 +11,7 @@ public class EmaTests
     {
         Assert.Throws<ArgumentException>(() => new Ema(0));
         Assert.Throws<ArgumentException>(() => new Ema(-1));
-        
+
         var ema = new Ema(10);
         Assert.NotNull(ema);
     }
@@ -22,7 +22,7 @@ public class EmaTests
         Assert.Throws<ArgumentException>(() => new Ema(0.0));
         Assert.Throws<ArgumentException>(() => new Ema(-0.1));
         Assert.Throws<ArgumentException>(() => new Ema(1.1));
-        
+
         var ema = new Ema(0.5);
         Assert.NotNull(ema);
     }
@@ -31,11 +31,11 @@ public class EmaTests
     public void Ema_Calc_ReturnsValue()
     {
         var ema = new Ema(10);
-        
+
         Assert.Equal(0, ema.Value.Value);
-        
+
         TValue result = ema.Update(new TValue(DateTime.UtcNow, 100));
-        
+
         Assert.True(result.Value > 0);
         Assert.Equal(result.Value, ema.Value.Value);
     }
@@ -44,13 +44,13 @@ public class EmaTests
     public void Ema_Calc_IsNew_AcceptsParameter()
     {
         var ema = new Ema(10);
-        
+
         ema.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
         double value1 = ema.Value;
-        
+
         ema.Update(new TValue(DateTime.UtcNow, 105), isNew: true);
         double value2 = ema.Value;
-        
+
         // Values should change with new bars
         Assert.NotEqual(value1, value2);
     }
@@ -59,14 +59,14 @@ public class EmaTests
     public void Ema_Calc_IsNew_False_UpdatesValue()
     {
         var ema = new Ema(10);
-        
+
         ema.Update(new TValue(DateTime.UtcNow, 100));
         ema.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
         double beforeUpdate = ema.Value;
-        
+
         ema.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
         double afterUpdate = ema.Value;
-        
+
         // Update should change the value
         Assert.NotEqual(beforeUpdate, afterUpdate);
     }
@@ -75,15 +75,15 @@ public class EmaTests
     public void Ema_Reset_ClearsState()
     {
         var ema = new Ema(10);
-        
+
         ema.Update(new TValue(DateTime.UtcNow, 100));
         ema.Update(new TValue(DateTime.UtcNow, 105));
         double valueBefore = ema.Value;
-        
+
         ema.Reset();
-        
+
         Assert.Equal(0, ema.Value.Value);
-        
+
         // After reset, should accept new values
         ema.Update(new TValue(DateTime.UtcNow, 50));
         Assert.NotEqual(0, ema.Value.Value);
@@ -94,12 +94,12 @@ public class EmaTests
     public void Ema_Properties_Accessible()
     {
         var ema = new Ema(10);
-        
+
         Assert.Equal(0, ema.Value.Value);
         Assert.False(ema.IsHot);
-        
+
         ema.Update(new TValue(DateTime.UtcNow, 100));
-        
+
         Assert.NotEqual(0, ema.Value.Value);
     }
 
@@ -107,10 +107,10 @@ public class EmaTests
     public void Ema_IsHot_BecomesTrueAfterWarmup()
     {
         var ema = new Ema(10);
-        
+
         // Initially IsHot should be false
         Assert.False(ema.IsHot);
-        
+
         // Feed values until it warms up
         // Warmup condition is state.E <= 1e-10
         // state.E starts at 1.0 and decays by (1 - alpha) each step
@@ -120,14 +120,14 @@ public class EmaTests
         // n * log(0.8181) <= log(1e-10)
         // n * -0.200 <= -23.02
         // n >= 115 steps roughly
-        
+
         int steps = 0;
         while (!ema.IsHot && steps < 1000)
         {
             ema.Update(new TValue(DateTime.UtcNow, 100));
             steps++;
         }
-        
+
         Assert.True(ema.IsHot);
         Assert.True(steps > 0); // Should take some steps
     }
@@ -137,14 +137,14 @@ public class EmaTests
     {
         int period = 20;
         double alpha = 2.0 / (period + 1);
-        
+
         var emaPeriod = new Ema(period);
         var emaAlpha = new Ema(alpha);
-        
+
         // Both should accept Calc calls and produce same result
         TValue result1 = emaPeriod.Update(new TValue(DateTime.UtcNow, 100));
         TValue result2 = emaAlpha.Update(new TValue(DateTime.UtcNow, 100));
-        
+
         Assert.Equal(result1.Value, result2.Value, 1e-10);
     }
 
@@ -153,7 +153,7 @@ public class EmaTests
     {
         var ema = new Ema(10);
         var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
-        
+
         // Feed 10 new values
         TValue tenthInput = default;
         for (int i = 0; i < 10; i++)
@@ -162,20 +162,20 @@ public class EmaTests
             tenthInput = new TValue(bar.Time, bar.Close);
             ema.Update(tenthInput, isNew: true);
         }
-        
+
         // Remember EMA state after 10 values
         double emaAfterTen = ema.Value;
-        
+
         // Generate 9 corrections with isNew=false (different values)
         for (int i = 0; i < 9; i++)
         {
             var bar = gbm.Next(isNew: false);
             ema.Update(new TValue(bar.Time, bar.Close), isNew: false);
         }
-        
+
         // Feed the remembered 10th input again with isNew=false
         TValue finalEma = ema.Update(tenthInput, isNew: false);
-        
+
         // EMA should match the original state after 10 values
         Assert.Equal(emaAfterTen, finalEma.Value, 1e-10);
     }
@@ -186,7 +186,7 @@ public class EmaTests
         var emaIterative = new Ema(10);
         var emaBatch = new Ema(10);
         var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
-        
+
         // Generate data
         var series = new TSeries();
         for (int i = 0; i < 100; i++)
@@ -194,17 +194,19 @@ public class EmaTests
             var bar = gbm.Next(isNew: true);
             series.Add(bar.Time, bar.Close);
         }
-        
+
+        Assert.True(series.Count > 0);
+
         // Calculate iteratively
         var iterativeResults = new TSeries();
         foreach (var item in series)
         {
             iterativeResults.Add(emaIterative.Update(item));
         }
-        
+
         // Calculate batch
         var batchResults = emaBatch.Update(series);
-        
+
         // Compare
         Assert.Equal(iterativeResults.Count, batchResults.Count);
         for (int i = 0; i < iterativeResults.Count; i++)
@@ -219,10 +221,10 @@ public class EmaTests
     {
         var ema = new Ema(10);
         ema.Update(new TValue(DateTime.UtcNow, 100));
-        
+
         // This should compile and work because TValue has implicit conversion to double
         double result = ema.Value;
-        
+
         Assert.Equal(100.0, result, 1e-10);
     }
 
@@ -230,15 +232,14 @@ public class EmaTests
     public void Ema_NaN_Input_UsesLastValidValue()
     {
         var ema = new Ema(10);
-        
+
         // Feed some valid values
         ema.Update(new TValue(DateTime.UtcNow, 100));
         ema.Update(new TValue(DateTime.UtcNow, 110));
-        double valueBeforeNaN = ema.Value;
+
-        
         // Feed NaN - should use last valid value (110)
         var resultAfterNaN = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
-        
+
         // Result should be finite (not NaN)
         Assert.True(double.IsFinite(resultAfterNaN.Value));
         // EMA should continue to evolve (may differ slightly due to substitution)
@@ -249,15 +250,15 @@ public class EmaTests
     public void Ema_Infinity_Input_UsesLastValidValue()
     {
         var ema = new Ema(10);
-        
+
         // Feed some valid values
         ema.Update(new TValue(DateTime.UtcNow, 100));
         ema.Update(new TValue(DateTime.UtcNow, 110));
-        
+
         // Feed positive infinity - should use last valid value
         var resultAfterPosInf = ema.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
         Assert.True(double.IsFinite(resultAfterPosInf.Value));
-        
+
         // Feed negative infinity - should use last valid value
         var resultAfterNegInf = ema.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
         Assert.True(double.IsFinite(resultAfterNegInf.Value));
@@ -267,22 +268,22 @@ public class EmaTests
     public void Ema_MultipleNaN_ContinuesWithLastValid()
     {
         var ema = new Ema(10);
-        
+
         // Feed valid values
         ema.Update(new TValue(DateTime.UtcNow, 100));
         ema.Update(new TValue(DateTime.UtcNow, 110));
         ema.Update(new TValue(DateTime.UtcNow, 120));
-        
+
         // Feed multiple NaN values
         var r1 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
         var r2 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
         var r3 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
-        
+
         // All results should be finite
         Assert.True(double.IsFinite(r1.Value));
         Assert.True(double.IsFinite(r2.Value));
         Assert.True(double.IsFinite(r3.Value));
-        
+
         // EMA should converge toward last valid value (120) with repeated substitution
         // Values should be getting closer to 120
         Assert.True(r3.Value > r1.Value || Math.Abs(r3.Value - 120) < Math.Abs(r1.Value - 120));
@@ -292,7 +293,7 @@ public class EmaTests
     public void Ema_BatchCalc_HandlesNaN()
     {
         var ema = new Ema(10);
-        
+
         // Create series with NaN values interspersed
         var series = new TSeries();
         series.Add(DateTime.UtcNow.Ticks, 100);
@@ -301,9 +302,9 @@ public class EmaTests
         series.Add(DateTime.UtcNow.Ticks + 3, 120);
         series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity);
         series.Add(DateTime.UtcNow.Ticks + 5, 130);
-        
+
         var results = ema.Update(series);
-        
+
         // All results should be finite
         foreach (var result in results)
         {
@@ -315,14 +316,14 @@ public class EmaTests
     public void Ema_Reset_ClearsLastValidValue()
     {
         var ema = new Ema(10);
-        
+
         // Feed values including NaN
         ema.Update(new TValue(DateTime.UtcNow, 100));
         ema.Update(new TValue(DateTime.UtcNow, double.NaN));
-        
+
         // Reset
         ema.Reset();
-        
+
         // After reset, first valid value should establish new baseline
         var result = ema.Update(new TValue(DateTime.UtcNow, 50));
         Assert.Equal(50.0, result.Value, 1e-10);

lib/averages/ema/Ema.Validation.Tests.cs

@@ -15,7 +15,6 @@ public class EmaValidationTests
     private readonly TBarSeries _bars;
     private readonly TSeries _data;
     private readonly List<Quote> _skenderQuotes;
-    private readonly Random _rnd = new(42);
     private readonly ITestOutputHelper _output;
 
     public EmaValidationTests(ITestOutputHelper output)
@@ -25,7 +24,7 @@ public class EmaValidationTests
         // 1. Generate 1000 records using GBM feed
         var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
         _bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
-        
+
         // 2. Extract Close TSeries
         _data = _bars.Close;
 
@@ -35,7 +34,7 @@ public class EmaValidationTests
         {
             _skenderQuotes.Add(new Quote
             {
-                Date = new DateTime(_bars.Open.Times[i]),
+                Date = new DateTime(_bars.Open.Times[i], DateTimeKind.Utc),
                 Open = (decimal)_bars.Open[i].Value,
                 High = (decimal)_bars.High[i].Value,
                 Low = (decimal)_bars.Low[i].Value,
@@ -60,7 +59,7 @@ public class EmaValidationTests
             var sResult = _skenderQuotes.GetEma(period).ToList();
 
             // Compare last 100 records
-            VerifyData(qResult, sResult, period);
+            VerifyData(qResult, sResult);
         }
         _output.WriteLine("EMA validated successfully against Skender");
     }
@@ -82,15 +81,15 @@ public class EmaValidationTests
 
             // Calculate TA-Lib EMA
             var retCode = TALib.Functions.Ema<double>(tData, 0..^0, output, out var outRange, period);
-            
+
             // Check success
             Assert.Equal(Core.RetCode.Success, retCode);
 
             // TA-Lib skips the lookback period, so output[0] corresponds to input[lookback]
             int lookback = TALib.Functions.EmaLookback(period);
-            
+
             // Compare last 100 records
-            VerifyData_Talib(qResult, output, outRange, lookback, period);
+            VerifyData_Talib(qResult, output, outRange, lookback);
         }
         _output.WriteLine("EMA validated successfully against TA-Lib");
     }
@@ -114,21 +113,21 @@ public class EmaValidationTests
             double[][] inputs = { tData };
             double[] options = { (double)period };
             double[][] outputs = { new double[tData.Length] };
-            
+
             emaIndicator.Run(inputs, options, outputs);
             var tResult = outputs[0];
 
             // Compare last 100 records
-            VerifyData(qResult, tResult.ToList(), period);
+            VerifyData(qResult, tResult.ToList());
         }
         _output.WriteLine("EMA validated successfully against Tulip");
     }
 
-    private void VerifyData(TSeries qSeries, List<double> tSeries, int period)
+    private static void VerifyData(TSeries qSeries, List<double> tSeries)
     {
         // Ensure we have enough data
         Assert.Equal(qSeries.Count, tSeries.Count);
-        
+
         int count = qSeries.Count;
         int skip = count - 100; // Last 100 records
 
@@ -136,17 +135,17 @@ public class EmaValidationTests
         {
             double qValue = qSeries[i].Value;
             double tValue = tSeries[i];
-            if (tValue == 0) continue;
+            if (Math.Abs(tValue) < 1e-10) continue;
 
             Assert.Equal(tValue, qValue, 1e-6);
         }
     }
 
-    private void VerifyData(TSeries qSeries, List<EmaResult> sSeries, int period)
+    private static void VerifyData(TSeries qSeries, List<EmaResult> sSeries)
     {
         // Ensure we have enough data
         Assert.Equal(qSeries.Count, sSeries.Count);
-        
+
         int count = qSeries.Count;
         int skip = count - 100; // Last 100 records
 
@@ -163,24 +162,24 @@ public class EmaValidationTests
         }
     }
 
-    private void VerifyData_Talib(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int period)
+    private static void VerifyData_Talib(TSeries qSeries, double[] tOutput, Range outRange, int lookback)
     {
         int count = qSeries.Count;
         int skip = count - 100; // Last 100 records
 
         // outRange.End.Value is the number of elements written to tOutput
         int validCount = outRange.End.Value - outRange.Start.Value;
-        
+
         for (int i = skip; i < count; i++)
         {
             double qValue = qSeries[i].Value;
-            
+
             // Calculate index in tOutput
             // If i < lookback, we don't have a value from TA-Lib
             if (i < lookback) continue;
-            
+
             int tIndex = i - lookback;
-            
+
             // Check if tIndex is within valid range
             if (tIndex >= validCount) continue;
 

lib/averages/ema/Ema.cs

@@ -3,28 +3,39 @@ using System.Runtime.InteropServices;
 
 namespace QuanTAlib;
 
-internal struct EmaState
-{
-    public double Ema { get; set; }
-    public double E { get; set; }
-    public bool IsHot { get; set; }
-
-    public static EmaState New() => new() { Ema = 0, E = 1.0, IsHot = false };
-}
-
 /// <summary>
-/// Exponential Moving Average (EMA) - IIR filter with exponential warmup compensator.
+/// EMA: Exponential Moving Average
-/// Provides valid output from first bar with O(1) complexity.
 /// </summary>
 /// <remarks>
-/// Algorithm uses exponential smoothing with compensator for immediate valid results.
+/// EMA needs very short history buffer and calculates the EMA value using just the
-/// Reference: https://github.com/mihakralj/pinescript/blob/main/indicators/trends_IIR/ema.md
+/// previous EMA value. The weight of the new datapoint (alpha) is alpha = 2 / (period + 1)
+///
+/// Key characteristics:
+/// - Uses no buffer, relying only on the previous EMA value.
+/// - The weight of new data points is calculated as alpha = 2 / (period + 1).
+/// - Provides a balance between responsiveness and smoothing. No overshooting. Significant lag
+///
+/// Calculation method:
+/// This implementation can use SMA for the first Period bars as a seeding value for EMA when useSma is true.
+///
+/// Sources:
+/// - https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
+/// - https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
+/// - https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA
 /// </remarks>
 public class Ema
 {
+    private struct State
+    {
+        public double Ema;
+        public double E;
+        public bool IsHot;
+        public static State New() => new() { Ema = 0, E = 1.0, IsHot = false };
+    }
+
     private readonly double _alpha;
-    private EmaState _state = EmaState.New();
+    private State _state = State.New();
-    private EmaState _p_state = EmaState.New();
+    private State _p_state = State.New();
     private double _lastValidValue;
 
     /// <summary>
@@ -81,7 +92,7 @@ public class Ema
     /// Assumes input has already been validated via GetValidValue().
     /// </summary>
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
-    internal static double Compute(double input, double alpha, ref EmaState state)
+    private static double Compute(double input, double alpha, ref State state)
     {
         state.Ema += alpha * (input - state.Ema);
 
@@ -144,7 +155,7 @@ public class Ema
         var sourceTimes = source.Times;
 
         // Local state for batch processing
-        EmaState state = _state;
+        State state = _state;
 
         for (int i = 0; i < len; i++)
         {
@@ -180,7 +191,7 @@ public class Ema
     /// </summary>
     public void Reset()
     {
-        _state = EmaState.New();
+        _state = State.New();
         _p_state = _state;
         _lastValidValue = 0;
         Value = default;

lib/averages/ema/EmaVector.Tests.cs

@@ -168,7 +168,7 @@ public class EmaVectorTests
 
         for (int i = 0; i < len; i++)
         {
-            var tVal = new TValue(new DateTime(t[i]), v[i]);
+            var tVal = new TValue(new DateTime(t[i], DateTimeKind.Utc), v[i]);
             var streamRes = emaVectorStream.Update(tVal);
 
             for (int j = 0; j < periods.Length; j++)

lib/averages/ema/EmaVector.cs

@@ -23,7 +23,9 @@ public class EmaVector
     /// <summary>
     /// Current EMA values for all periods.
     /// </summary>
-    public TValue[] Values { get; private set; }
+    public ReadOnlySpan<TValue> Values => _values;
+
+    private readonly TValue[] _values;
 
     /// <summary>
     /// Initializes EmaVector with specified periods.
@@ -37,7 +39,7 @@ public class EmaVector
         _Es = new double[_count];
         _p_emas = new double[_count];
         _p_Es = new double[_count];
-        Values = new TValue[_count];
+        _values = new TValue[_count];
 
         for (int i = 0; i < _count; i++)
         {
@@ -59,7 +61,7 @@ public class EmaVector
         _Es = new double[_count];
         _p_emas = new double[_count];
         _p_Es = new double[_count];
-        Values = new TValue[_count];
+        _values = new TValue[_count];
 
         for (int i = 0; i < _count; i++)
         {
@@ -100,7 +102,7 @@ public class EmaVector
             ResetAt(i);
         }
         _lastValidValue = 0;
-        Array.Clear(Values);
+        Array.Clear(_values);
     }
 
     /// <summary>
@@ -177,7 +179,7 @@ public class EmaVector
                 // Store result
                 for (int j = 0; j < vecCount; j++)
                 {
-                    Values[i + j] = new TValue(input.Time, vecResult[j]);
+                    _values[i + j] = new TValue(input.Time, vecResult[j]);
                 }
             }
         }
@@ -198,10 +200,10 @@ public class EmaVector
                 }
             }
 
-            Values[i] = new TValue(input.Time, result);
+            _values[i] = new TValue(input.Time, result);
         }
 
-        return Values;
+        return _values;
     }
 
     /// <summary>
@@ -305,7 +307,7 @@ public class EmaVector
             resultSeries[i] = new TSeries(tLists[i], vLists[i]);
             var lastT = CollectionsMarshal.AsSpan(tLists[i])[len - 1];
             var lastV = CollectionsMarshal.AsSpan(vLists[i])[len - 1];
-            Values[i] = new TValue(lastT, lastV);
+            _values[i] = new TValue(lastT, lastV);
         }
 
         return resultSeries;

lib/core/tvalue/tvalue.cs

@@ -48,7 +48,7 @@ public readonly struct TValue : IEquatable<TValue>
     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 bool Equals(TValue other) => Time == other.Time && Math.Abs(Value - other.Value) < 1e-9;
 
     public override bool Equals(object? obj) => obj is TValue other && Equals(other);
     public override int GetHashCode() => HashCode.Combine(Time, Value);