adding missing validations

lib/numerics/ifft/Ifft.cs

@@ -0,0 +1,335 @@
+// IFFT: Inverse FFT Spectral Low-Pass Filter
+// Reconstructs a filtered price signal by summing the DC component and
+// the first H harmonics of the Hanning-windowed DFT. Output overlays on price.
+// More harmonics → less smoothing; fewer harmonics → smoother output.
+
+using System.Buffers;
+using System.Runtime.CompilerServices;
+using System.Runtime.InteropServices;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// IFFT: Inverse FFT Spectral Low-Pass Filter
+/// Reconstructs a filtered price value from the DC component plus
+/// the first numHarmonics frequency bins of the Hanning-windowed DFT.
+/// </summary>
+/// <remarks>
+/// Key properties:
+/// - Output: reconstructed price (spectral low-pass filtered), overlays on price chart
+/// - windowSize must be 32, 64, or 128
+/// - numHarmonics clamped to [1, windowSize/2]
+/// - WarmupPeriod = windowSize bars
+/// - No allocation in Update (RingBuffer + precomputed Hanning weights)
+/// - Increasing harmonics increases detail (less smoothing)
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Ifft : AbstractBase
+{
+    private readonly int _windowSize;
+    private readonly int _numHarmonics;
+    private readonly double _twoPiOverN;
+    private readonly double _invN;
+    private readonly double[] _hanning;
+    private readonly RingBuffer _buffer;
+
+    [StructLayout(LayoutKind.Auto)]
+    private record struct State(double LastValid);
+    private State _state, _p_state;
+
+    public override bool IsHot => _buffer.Count >= _windowSize;
+
+    /// <summary>
+    /// Initializes a new Ifft indicator.
+    /// </summary>
+    /// <param name="windowSize">DFT window size in bars. Must be 32, 64, or 128. Default 64.</param>
+    /// <param name="numHarmonics">Number of harmonics to reconstruct. Must be >= 1. Default 5.</param>
+    public Ifft(int windowSize = 64, int numHarmonics = 5)
+    {
+        if (windowSize != 32 && windowSize != 64 && windowSize != 128)
+        {
+            throw new ArgumentException("windowSize must be 32, 64, or 128", nameof(windowSize));
+        }
+
+        if (numHarmonics < 1)
+        {
+            throw new ArgumentException("numHarmonics must be >= 1", nameof(numHarmonics));
+        }
+
+        _windowSize = windowSize;
+        _numHarmonics = Math.Min(numHarmonics, windowSize / 2);
+        _twoPiOverN = 2.0 * Math.PI / windowSize;
+        _invN = 1.0 / windowSize;
+
+        // Precompute Hanning window: w[n] = 0.5 - 0.5*cos(2π*n/N), n=0..N-1
+        _hanning = new double[windowSize];
+        for (int n = 0; n < windowSize; n++)
+        {
+            _hanning[n] = 0.5 - 0.5 * Math.Cos(_twoPiOverN * n);
+        }
+
+        _buffer = new RingBuffer(windowSize);
+        Name = $"Ifft({windowSize},{numHarmonics})";
+        WarmupPeriod = windowSize;
+        _state = new State(0.0);
+        _p_state = _state;
+    }
+
+    /// <summary>
+    /// Initializes a new Ifft indicator with source for event-based chaining.
+    /// </summary>
+    /// <param name="source">Source indicator for chaining</param>
+    /// <param name="windowSize">DFT window size. Must be 32, 64, or 128. Default 64.</param>
+    /// <param name="numHarmonics">Number of harmonics to reconstruct. Must be >= 1. Default 5.</param>
+    public Ifft(ITValuePublisher source, int windowSize = 64, int numHarmonics = 5)
+        : this(windowSize, numHarmonics)
+    {
+        source.Pub += HandleUpdate;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private double ComputeIfft()
+    {
+        var span = _buffer.GetSpan();
+        int n = _windowSize;
+
+        // DC component (k=0): sum of windowed values / N
+        double dcRe = 0.0;
+        for (int idx = 0; idx < n; idx++)
+        {
+            // span[0]=oldest, span[n-1]=newest
+            // dftN=0→newest, dftN=n-1→oldest → span index = n-1-dftN
+            double val = span[n - 1 - idx];
+            dcRe = Math.FusedMultiplyAdd(val, _hanning[idx], dcRe);
+        }
+
+        double result = dcRe * _invN;
+
+        // Harmonics k=1..H: add 2*re/N at time n=0 (reconstruction at current bar)
+        for (int k = 1; k <= _numHarmonics; k++)
+        {
+            double omegaK = _twoPiOverN * k;
+            double re = 0.0;
+
+            for (int idx = 0; idx < n; idx++)
+            {
+                double val = span[n - 1 - idx];
+                double xw = val * _hanning[idx];
+                double angle = omegaK * idx;
+                re = Math.FusedMultiplyAdd(xw, Math.Cos(angle), re);
+            }
+
+            result = Math.FusedMultiplyAdd(2.0 * _invN, re, result);
+        }
+
+        return result;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override TValue Update(TValue input, bool isNew = true)
+    {
+        if (isNew)
+        {
+            _p_state = _state;
+        }
+        else
+        {
+            _state = _p_state;
+        }
+
+        double value = input.Value;
+        double result;
+
+        if (double.IsFinite(value))
+        {
+            _buffer.Add(value, isNew);
+            if (IsHot)
+            {
+                result = ComputeIfft();
+                _state = new State(result);
+            }
+            else
+            {
+                result = _state.LastValid;
+            }
+        }
+        else
+        {
+            result = _state.LastValid;
+        }
+
+        Last = new TValue(input.Time, result);
+        PubEvent(Last, isNew);
+        return Last;
+    }
+
+    public override TSeries Update(TSeries source)
+    {
+        var result = new TSeries(source.Count);
+        ReadOnlySpan<double> values = source.Values;
+        ReadOnlySpan<long> times = source.Times;
+
+        for (int i = 0; i < source.Count; i++)
+        {
+            var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true);
+            result.Add(tv, true);
+        }
+
+        return result;
+    }
+
+    public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
+    {
+        TimeSpan interval = step ?? TimeSpan.FromSeconds(1);
+        DateTime time = DateTime.UtcNow - (interval * source.Length);
+
+        for (int i = 0; i < source.Length; i++)
+        {
+            Update(new TValue(time, source[i]), true);
+            time += interval;
+        }
+    }
+
+    public static TSeries Batch(TSeries source, int windowSize = 64, int numHarmonics = 5)
+    {
+        var indicator = new Ifft(windowSize, numHarmonics);
+        return indicator.Update(source);
+    }
+
+    /// <summary>
+    /// Computes IFFT reconstruction over a span of values using a sliding Hanning-windowed DFT.
+    /// Uses stackalloc for Hanning weights when windowSize &lt;= 64, otherwise ArrayPool.
+    /// </summary>
+    public static void Batch(
+        ReadOnlySpan<double> src, Span<double> output,
+        int windowSize = 64, int numHarmonics = 5)
+    {
+        if (src.Length == 0)
+        {
+            throw new ArgumentException("Source cannot be empty", nameof(src));
+        }
+
+        if (output.Length < src.Length)
+        {
+            throw new ArgumentException("Output length must be >= source length", nameof(output));
+        }
+
+        if (windowSize != 32 && windowSize != 64 && windowSize != 128)
+        {
+            throw new ArgumentException("windowSize must be 32, 64, or 128", nameof(windowSize));
+        }
+
+        if (numHarmonics < 1)
+        {
+            throw new ArgumentException("numHarmonics must be >= 1", nameof(numHarmonics));
+        }
+
+        int clampedHarmonics = Math.Min(numHarmonics, windowSize / 2);
+        double twoPiOverN = 2.0 * Math.PI / windowSize;
+        double invN = 1.0 / windowSize;
+        double lastValid = 0.0;
+
+        const int StackallocThreshold = 64;
+        double[]? rentedW = null;
+        scoped Span<double> hanning;
+
+        if (windowSize <= StackallocThreshold)
+        {
+            hanning = stackalloc double[windowSize];
+        }
+        else
+        {
+            rentedW = ArrayPool<double>.Shared.Rent(windowSize);
+            hanning = rentedW.AsSpan(0, windowSize);
+        }
+
+        try
+        {
+            for (int n = 0; n < windowSize; n++)
+            {
+                hanning[n] = 0.5 - 0.5 * Math.Cos(twoPiOverN * n);
+            }
+
+            for (int i = 0; i < src.Length; i++)
+            {
+                double val = src[i];
+                if (!double.IsFinite(val))
+                {
+                    output[i] = lastValid;
+                    continue;
+                }
+
+                if (i < windowSize - 1)
+                {
+                    output[i] = lastValid;
+                    continue;
+                }
+
+                // DC component
+                double dcRe = 0.0;
+                for (int dftN = 0; dftN < windowSize; dftN++)
+                {
+                    double v = src[i - dftN];
+                    if (!double.IsFinite(v))
+                    {
+                        v = lastValid;
+                    }
+
+                    dcRe = Math.FusedMultiplyAdd(v, hanning[dftN], dcRe);
+                }
+
+                double result = dcRe * invN;
+
+                // Harmonics
+                for (int k = 1; k <= clampedHarmonics; k++)
+                {
+                    double omegaK = twoPiOverN * k;
+                    double re = 0.0;
+
+                    for (int dftN = 0; dftN < windowSize; dftN++)
+                    {
+                        double v = src[i - dftN];
+                        if (!double.IsFinite(v))
+                        {
+                            v = lastValid;
+                        }
+
+                        double xw = v * hanning[dftN];
+                        re = Math.FusedMultiplyAdd(xw, Math.Cos(omegaK * dftN), re);
+                    }
+
+                    result = Math.FusedMultiplyAdd(2.0 * invN, re, result);
+                }
+
+                lastValid = result;
+                output[i] = result;
+            }
+        }
+        finally
+        {
+            if (rentedW != null)
+            {
+                ArrayPool<double>.Shared.Return(rentedW);
+            }
+        }
+    }
+
+    public static (TSeries Results, Ifft Indicator) Calculate(
+        TSeries source, int windowSize = 64, int numHarmonics = 5)
+    {
+        var indicator = new Ifft(windowSize, numHarmonics);
+        TSeries results = indicator.Update(source);
+        return (results, indicator);
+    }
+
+    public override void Reset()
+    {
+        _buffer.Clear();
+        _state = new State(0.0);
+        _p_state = _state;
+        Last = default;
+    }
+}