mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-06 04:57:44 +00:00
New: Trailing Stop indicator
This commit is contained in:
Miha Kralj
@@ -0,0 +1,112 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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/* <summary>
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Abstract classes with all scaffolding required to build indicators.
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All abstracts support period, NaN, and all permutations of Add() methods.
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Indicator classess need to implement:
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- Chaining constructor (Abstract's constructor executes first)
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- Default Add(value) class
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- optional Add(series) bulk insert class (for optimization of historical analysis)
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Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
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Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
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Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
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</summary> */
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public abstract class Pair_TSeries_Indicator : TSeries
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{
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protected readonly int _p;
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protected readonly bool _NaN;
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protected readonly TSeries _d1;
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protected readonly TSeries _d2;
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protected readonly double _dd1, _dd2;
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// Chainable Constructors - add them at the end of primary constructors if needed
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protected Pair_TSeries_Indicator(TSeries source1, TSeries source2, int period, bool useNaN)
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{
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this._p = period;
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this._NaN = useNaN;
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this._d1 = source1;
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this._d2 = source2;
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this._dd1 = double.NaN;
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this._dd2 = double.NaN;
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this._d1.Pub += this.Sub;
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this._d2.Pub += this.Sub;
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}
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protected Pair_TSeries_Indicator(TSeries source1, TSeries source2)
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{
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this._d1 = source1;
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this._d2 = source2;
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this._dd1 = double.NaN;
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this._dd2 = double.NaN;
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this._d1.Pub += this.Sub;
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this._d2.Pub += this.Sub;
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}
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protected Pair_TSeries_Indicator(TSeries source1, double dd2)
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{
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this._d1 = source1;
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this._d2 = new();
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this._dd1 = double.NaN;
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this._dd2 = dd2;
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this._d1.Pub += this.Sub;
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}
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protected Pair_TSeries_Indicator(double dd1, TSeries source2)
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{
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this._d1 = new();
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this._d2 = source2;
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this._dd1 = dd1;
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this._dd2 = double.NaN;
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this._d2.Pub += this.Sub;
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}
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// overridable Add(Tvalue, Tvalue) method to add/update a single value at the end of the list
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public virtual void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update) => base.Add(TValue: (TValue1.t, 0), update: update); // default inserts zeros
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// potentially overridable Add() bulk variations (could be replaced with faster bulk algos)
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public virtual void Add(TSeries d1, TSeries d2) { for (int i = 0; i < d1.Count; i++) { this.Add(d1[i], d2[i], update: false); }}
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public virtual void Add(TSeries d1, double dd2) { for (int i = 0; i < d1.Count; i++) { this.Add(d1[i], (d1[i].t, dd2), update: false); }}
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public virtual void Add(double dd1, TSeries d2) { for (int i = 0; i < d2.Count; i++) { this.Add((d2[i].t, dd1), d2[i], update: false); }}
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public void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2) => this.Add(TValue1, TValue2, update: false);
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public void Add(bool update)
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{
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if ((this._dd1 is double.NaN) && (this._dd2 is double.NaN))
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{
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// (Series, Series)
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if (update || (this._d1.Count > this.Count && this._d2.Count > this.Count))
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{ this.Add(this._d1[this._d1.Count - 1], this._d2[this._d2.Count - 1], update); }
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}
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else if ((this._dd2 is not double.NaN) && (this._dd1 is double.NaN))
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{
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// (Series, Double)
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this.Add(TValue1: this._d1[this._d1.Count - 1], TValue2: (this._d1[this._d1.Count - 1].t, this._dd2), update: update);
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}
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else
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{
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// (Double, Series)
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this.Add(TValue1: (this._d2[this._d2.Count - 1].t, this._dd1), TValue2: this._d2[this._d2.Count - 1], update: update);
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}
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}
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public void Add() => this.Add(update: false);
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public new void Sub(object source, TSeriesEventArgs e) => this.Add(e.update);
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protected static void Add_Replace(List<double> l, double v, bool update)
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{
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if (update)
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{ l[l.Count - 1] = v; }
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else
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{ l.Add(v); }
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}
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protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update)
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{
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Add_Replace(l, v, update);
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if (l.Count > p && p != 0)
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{ l.RemoveAt(0); }
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}
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}
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@@ -0,0 +1,67 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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/* <summary>
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Abstract classes with all scaffolding required to build indicators.
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All abstracts support period, NaN, and all permutations of Add() methods.
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Indicator classess need to implement:
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- Chaining constructor (Abstract's constructor executes first)
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- Default Add(value) class
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- optional Add(series) bulk insert class (for optimization of historical analysis)
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Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
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Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
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Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
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</summary> */
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public abstract class Single_TBars_Indicator : TSeries
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{
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protected readonly int _p;
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protected readonly bool _NaN;
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protected readonly TBars _bars;
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// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
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protected Single_TBars_Indicator(TBars source, int period, bool useNaN)
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{
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this._p = period;
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this._bars = source;
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this._NaN = useNaN;
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this._bars.Pub += this.Sub;
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}
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// overridable Add() method to add/update a single item at the end of the list
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public virtual void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar, bool update) => base.Add((TBar.t, 0.0), update);
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public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN)
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{
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var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v);
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base.Add(res, update);
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}
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// potentially overridable Add() method for the whole bars or series (could be replaced with faster bulk algo)
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public virtual void Add(TBars bars) { for (int i = 0; i < bars.Count; i++) { this.Add(TBar: bars[i], update: false); } }
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public virtual void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { base.Add(TValue: data[i], update: false); } }
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public void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar) => this.Add(TBar: TBar, update: false);
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public void Add(bool update) => this.Add(TBar: this._bars[this._bars.Count - 1], update: update);
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public void Add() => this.Add(TBar: this._bars[this._bars.Count - 1], update: false);
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public new void Sub(object source, TSeriesEventArgs e) => this.Add(TBar: this._bars[this._bars.Count - 1], update: e.update);
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protected static void Add_Replace(List<double> l, double v, bool update)
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{
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if (update)
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{ l[l.Count - 1] = v; }
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else
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{ l.Add(v); }
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}
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protected static void Add_Replace_Trim(List<double> l, double v, int p, bool update)
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{
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Add_Replace(l, v, update);
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if (l.Count > p && p != 0)
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{ l.RemoveAt(0); }
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}
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}
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@@ -0,0 +1,70 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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/* <summary>
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Abstract classes with all scaffolding required to build indicators.
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All abstracts support period, NaN, and all permutations of Add() methods.
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Indicator classess need to implement:
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- Chaining constructor (Abstract's constructor executes first)
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- Default Add(value) class
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- optional Add(series) bulk insert class (for optimization of historical analysis)
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Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
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Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
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Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
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</summary> */
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public abstract class Single_TSeries_Indicator : TSeries
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{
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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protected int _p;
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// Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN)
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protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN) {
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_data = source;
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_period = period;
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_p = _period;
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_NaN = useNaN;
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_data.Pub += Sub;
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}
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// overridable Add() method to add/update a single item at the end of the list
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public virtual void Add((DateTime t, double v) TValue, bool update, bool useNaN) {
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if (_period == 0) { _p = Length; }
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var res = (TValue.t, Count < _p - 1 && _NaN ? double.NaN : TValue.v);
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base.Add(res, update);
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}
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public new virtual void Add((DateTime t, double v) TValue, bool update) => base.Add(TValue, update);
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// potentially overridable Add() method for the whole series (could be replaced with faster bulk algo)
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public virtual void Add(TSeries data) {
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foreach (var item in data) { Add(TValue: item, update: false); }
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}
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public new void Add((System.DateTime t, double v) TValue) => this.Add(TValue: TValue, update: false);
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public void Add(bool update) => this.Add(TValue: this._data[this._data.Count - 1], update: update);
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public void Add() => this.Add(TValue: this._data[this._data.Count - 1], update: false);
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public new void Sub(object source, TSeriesEventArgs e) => this.Add(TValue: this._data[this._data.Count - 1], update: e.update);
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protected static void Add_Replace(List<double> l, double v, bool update)
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{
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if (update)
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{ l[l.Count - 1] = v; }
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else
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{ l.Add(v); }
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}
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protected static double Add_Replace_Trim(List<double> l, double v, int p, bool update)
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{
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Add_Replace(l, v, update);
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double ret = (l.Count > 0) ? l.First() : 0;
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if (l.Count > p && p != 0)
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{
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l.RemoveAt(0);
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}
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return ret;
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}
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}
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@@ -0,0 +1,136 @@
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namespace QuanTAlib;
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using System;
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/* <summary>
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TBars class - includes all series for common data used in indicators and other calculations.
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Has a bit limited overloading and casting (compared to TSeries)
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Includes Select(int) method to simplify choosing the most optimal data source for indicators
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Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4
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(it is 'cheaper' to calculate them once during data capture than each time during data analysis)
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</summary> */
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public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
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{
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private readonly TSeries _open = new();
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private readonly TSeries _high = new();
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private readonly TSeries _low = new();
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private readonly TSeries _close = new();
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private readonly TSeries _volume = new();
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private readonly TSeries _hl2 = new();
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private readonly TSeries _oc2 = new();
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private readonly TSeries _ohl3 = new();
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private readonly TSeries _hlc3 = new();
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private readonly TSeries _ohlc4 = new();
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private readonly TSeries _hlcc4 = new();
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public TSeries Open => this._open;
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public TSeries High => this._high;
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public TSeries Low => this._low;
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public TSeries Close => this._close;
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public TSeries Volume => this._volume;
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public TSeries HL2 => this._hl2;
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public TSeries OC2 => this._oc2;
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public TSeries OHL3 => this._ohl3;
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public TSeries HLC3 => this._hlc3;
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public TSeries OHLC4 => this._ohlc4;
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public TSeries HLCC4 => this._hlcc4;
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public TBars Tail(int count = 10)
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{
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TBars outBars = new();
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if (count > this.Count) { count = this.Count; }
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for (int i = this.Count - count; i < this.Count; i++) { outBars.Add(this[i]); }
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return outBars;
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}
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public TSeries Select(int source)
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{
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return source switch
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{
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0 => _open,
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1 => _high,
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2 => _low,
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3 => _close,
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4 => _hl2,
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5 => _oc2,
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6 => _ohl3,
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7 => _hlc3,
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8 => _ohlc4,
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_ => _hlcc4,
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};
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}
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public static string SelectStr(int source)
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{
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return source switch
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{
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0 => "Open",
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1 => "High",
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2 => "Low",
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3 => "Close",
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4 => "HL2",
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5 => "OC2",
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6 => "OHL3",
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7 => "HLC3",
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8 => "OHLC4",
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_ => "HLCC4",
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};
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}
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public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
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=> Add(i.t, i.o, i.h, i.l, i.c, i.v, update);
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public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false)
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=> Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update);
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public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false)
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{
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if (update) {
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this[this.Count - 1] = (t, o, h, l, c, v);
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}
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else {
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base.Add((t, o, h, l, c, v));
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}
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_open.Add((t, o),update);
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_high.Add((t, h), update);
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_low.Add((t, l), update);
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_close.Add((t, c), update);
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_volume.Add((t, v), update);
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_hl2.Add((t, (h + l) * 0.5), update);
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_oc2.Add((t, (o + c) * 0.5), update);
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_ohl3.Add((t, (o + h + l) * 0.333333333333333), update);
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_hlc3.Add((t, (h + l + c) * 0.333333333333333), update);
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_ohlc4.Add((t, (o + h + l + c) * 0.25), update);
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_hlcc4.Add((t, (h + l + c + c) * 0.25), update);
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this.OnEvent(update);
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}
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// delegate used by event handler + event handler (Pub == publisher)
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public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
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public event NewDataEventHandler Pub;
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// Broadcast handler - only to valid targets
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protected virtual void OnEvent(bool update = false)
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{
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if (Pub != null && Pub.Target != this)
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{
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Pub(this, new TSeriesEventArgs { update = update });
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}
|
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}
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public void Sub(object source, TSeriesEventArgs e)
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{
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TBars ss = (TBars)source;
|
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if (ss.Count > 1)
|
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{
|
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for (int i = 0; i < ss.Count; i++)
|
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{
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this.Add(ss[i]);
|
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}
|
||||
}
|
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else
|
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{
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this.Add(ss[ss.Count - 1], e.update);
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}
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||||
}
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||||
}
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@@ -0,0 +1,34 @@
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namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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using System.Data;
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using System.Linq;
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|
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public enum OType {
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NIL = 0, // No position
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BTO = 1, // Buy to Open
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STC = 2, // Sell to Close
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STO = 3, // Sell to Open
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BTC = 4, // Buy to Close
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END = 5, // Exit the trade
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}
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|
||||
|
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public class TOrders : List<(DateTime t, OType o)> {
|
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|
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public void Add((DateTime t, OType o) TOrder, bool update = false)
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{
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||||
if (update) { this[^1] = TOrder; }
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||||
else { base.Add(TOrder); }
|
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OnEvent(update);
|
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}
|
||||
|
||||
|
||||
protected virtual void OnEvent(bool update = false) {
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Pub?.Invoke(this, new TSeriesEventArgs { update = update }); }
|
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public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
|
||||
public event NewDataEventHandler Pub;
|
||||
|
||||
}
|
||||
@@ -0,0 +1,63 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Collections.ObjectModel;
|
||||
using System.Data;
|
||||
using System.Linq;
|
||||
|
||||
/* <summary>
|
||||
TSeries is the cornerstone of all QuanTAlib classes.
|
||||
TSeries is a single List of tuples (time, value) and contains several operators, casts, overloads
|
||||
and other helpers that simplify usage of library.
|
||||
Think of TSeries as an equivalent of Numpy array.
|
||||
|
||||
- includes Length property (to mimic array's method)
|
||||
- includes publishing and subscribing methods that attach to events
|
||||
|
||||
</summary> */
|
||||
|
||||
|
||||
public class TSeriesEventArgs : EventArgs{
|
||||
public bool update { get; set; }
|
||||
}
|
||||
|
||||
public class TSeries : List<(DateTime t, double v)> {
|
||||
|
||||
public static implicit operator (DateTime t, double v)(TSeries l) => l[^1];
|
||||
public static implicit operator double(TSeries l) => l[^1].v;
|
||||
public static implicit operator DateTime(TSeries l) => l[^1].t;
|
||||
public List<DateTime> t => this.Select(item => item.t).ToList();
|
||||
public List<double> v => this.Select(item => item.v).ToList();
|
||||
public int Length => this.Count;
|
||||
|
||||
public TSeries Tail(int count = 10) {
|
||||
var tailSeries = new TSeries();
|
||||
tailSeries.AddRange(this.Skip(Math.Max(0, this.Count - count)).Take(count));
|
||||
return tailSeries;
|
||||
}
|
||||
public (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
|
||||
if (update) { this[^1] = TValue; }
|
||||
else { base.Add(TValue); }
|
||||
OnEvent(update);
|
||||
return TValue;
|
||||
}
|
||||
|
||||
public void Add(DateTime t, double v, bool update = false) => this.Add((t, v), update);
|
||||
public void Add(double v, bool update = false) => this.Add((DateTime.Now, v), update);
|
||||
protected virtual void OnEvent(bool update = false) {
|
||||
Pub?.Invoke(this, new TSeriesEventArgs { update = update });
|
||||
}
|
||||
|
||||
public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
|
||||
public event NewDataEventHandler Pub;
|
||||
|
||||
public void Sub(object source, TSeriesEventArgs e) {
|
||||
TSeries ss = (TSeries)source;
|
||||
if (ss.Count > 0) {
|
||||
this.AddRange(ss);
|
||||
}
|
||||
else {
|
||||
this.Add(ss[^1], e.update);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user