New: Trailing Stop indicator

2026-08-18 10:38:05 +00:00 · 2023-04-17 09:32:27 -07:00
parent b655c05d72
commit a232b7ffbe
9 changed files with 155 additions and 26 deletions
@@ -0,0 +1,136 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+TBars class - includes all series for common data used in indicators and other calculations.
+    Has a bit limited overloading and casting (compared to TSeries)
+    Includes Select(int) method to simplify choosing the most optimal data source for indicators
+    Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4
+        (it is 'cheaper' to calculate them once during data capture than each time during data analysis)
+
+</summary> */
+
+public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)>
+{
+  private readonly TSeries _open = new();
+  private readonly TSeries _high = new();
+  private readonly TSeries _low = new();
+  private readonly TSeries _close = new();
+  private readonly TSeries _volume = new();
+  private readonly TSeries _hl2 = new();
+  private readonly TSeries _oc2 = new();
+  private readonly TSeries _ohl3 = new();
+  private readonly TSeries _hlc3 = new();
+  private readonly TSeries _ohlc4 = new();
+  private readonly TSeries _hlcc4 = new();
+
+  public TSeries Open => this._open;
+  public TSeries High => this._high;
+  public TSeries Low => this._low;
+  public TSeries Close => this._close;
+  public TSeries Volume => this._volume;
+  public TSeries HL2 => this._hl2;
+  public TSeries OC2 => this._oc2;
+  public TSeries OHL3 => this._ohl3;
+  public TSeries HLC3 => this._hlc3;
+  public TSeries OHLC4 => this._ohlc4;
+  public TSeries HLCC4 => this._hlcc4;
+
+  public TBars Tail(int count = 10)
+  {
+    TBars outBars = new();
+    if (count > this.Count) { count = this.Count; }
+    for (int i = this.Count - count; i < this.Count; i++) { outBars.Add(this[i]); }
+    return outBars;
+  }
+  public TSeries Select(int source)
+  {
+    return source switch
+    {
+      0 => _open,
+      1 => _high,
+      2 => _low,
+      3 => _close,
+      4 => _hl2,
+      5 => _oc2,
+      6 => _ohl3,
+      7 => _hlc3,
+      8 => _ohlc4,
+      _ => _hlcc4,
+    };
+  }
+  public static string SelectStr(int source)
+  {
+    return source switch
+    {
+      0 => "Open",
+      1 => "High",
+      2 => "Low",
+      3 => "Close",
+      4 => "HL2",
+      5 => "OC2",
+      6 => "OHL3",
+      7 => "HLC3",
+      8 => "OHLC4",
+      _ => "HLCC4",
+    };
+  }
+
+  public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
+    => Add(i.t, i.o, i.h, i.l, i.c, i.v, update);
+
+  public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false)
+    => Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update);
+
+  public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false)
+  {
+    if (update) {
+        this[this.Count - 1] = (t, o, h, l, c, v);
+    }
+    else {
+        base.Add((t, o, h, l, c, v));
+    }
+    _open.Add((t, o),update);
+    _high.Add((t, h), update);
+    _low.Add((t, l), update);
+    _close.Add((t, c), update);
+    _volume.Add((t, v), update);
+    _hl2.Add((t, (h + l) * 0.5), update);
+    _oc2.Add((t, (o + c) * 0.5), update);
+    _ohl3.Add((t, (o + h + l) * 0.333333333333333), update);
+    _hlc3.Add((t, (h + l + c) * 0.333333333333333), update);
+    _ohlc4.Add((t, (o + h + l + c) * 0.25), update);
+    _hlcc4.Add((t, (h + l + c + c) * 0.25), update);
+
+    this.OnEvent(update);
+  }
+
+  // delegate used by event handler + event handler (Pub == publisher)
+  public delegate void NewDataEventHandler(object source, TSeriesEventArgs args);
+  public event NewDataEventHandler Pub;
+
+  // Broadcast handler - only to valid targets
+  protected virtual void OnEvent(bool update = false)
+  {
+    if (Pub != null && Pub.Target != this)
+    {
+      Pub(this, new TSeriesEventArgs { update = update });
+    }
+  }
+
+  public void Sub(object source, TSeriesEventArgs e)
+  {
+    TBars ss = (TBars)source;
+    if (ss.Count > 1)
+    {
+      for (int i = 0; i < ss.Count; i++)
+      {
+        this.Add(ss[i]);
+      }
+    }
+    else
+    {
+      this.Add(ss[ss.Count - 1], e.update);
+    }
+  }
+}