updates from mac

This commit is contained in:
Miha Kralj
2025-11-28 13:35:16 -08:00
parent 74b49d2bb4
commit acac3e610c
55 changed files with 126278 additions and 126081 deletions
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#!meta
{"kernelInfo":{"defaultKernelName":"csharp","items":[{"aliases":[],"languageName":"csharp","name":"csharp"}]}}
#!csharp
// Reference the library
#r "..\..\bin\QuanTAlib.dll"
using QuanTAlib;
// 1. Creating a TBar
// TBar represents a single OHLCV bar (Open, High, Low, Close, Volume)
// It is an immutable struct optimized for memory and performance
long now = DateTime.UtcNow.Ticks;
var bar = new TBar(now, 100.0, 105.0, 95.0, 102.0, 1000.0);
Console.WriteLine($"Created TBar: {bar}");
Console.WriteLine($"Time: {bar.AsDateTime}");
Console.WriteLine($"Open: {bar.Open}");
Console.WriteLine($"High: {bar.High}");
Console.WriteLine($"Low: {bar.Low}");
Console.WriteLine($"Close: {bar.Close}");
Console.WriteLine($"Volume: {bar.Volume}");
#!csharp
// 2. Computed Properties
// TBar provides on-demand calculation of common price averages
// These are calculated when accessed, saving storage space
Console.WriteLine($"HL2 (High+Low)/2: {bar.HL2}");
Console.WriteLine($"OC2 (Open+Close)/2: {bar.OC2}");
Console.WriteLine($"OHL3 (Open+High+Low)/3: {bar.OHL3}");
Console.WriteLine($"HLC3 (High+Low+Close)/3: {bar.HLC3}");
Console.WriteLine($"OHLC4 (Open+High+Low+Close)/4: {bar.OHLC4}");
Console.WriteLine($"HLCC4 (High+Low+Close+Close)/4: {bar.HLCC4}");
#!csharp
// 3. TValue Accessors
// You can efficiently access individual components as TValue (Time-Value pair)
// This is useful when you need to treat a specific price component as a time series point
Console.WriteLine($"Open TValue: {bar.O}");
Console.WriteLine($"High TValue: {bar.H}");
Console.WriteLine($"Low TValue: {bar.L}");
Console.WriteLine($"Close TValue: {bar.C}");
Console.WriteLine($"Volume TValue: {bar.V}");
#!csharp
// 4. Implicit Conversions
// TBar supports implicit conversions to double (Close price), TValue (Close), and DateTime
double closePrice = bar;
TValue value = bar;
DateTime dt = bar;
Console.WriteLine($"Implicit double (Close): {closePrice}");
Console.WriteLine($"Implicit TValue (Close): {value}");
Console.WriteLine($"Implicit DateTime: {dt}");
#!csharp
// 5. Equality and Immutability
// Being a struct, TBar has value semantics
var bar2 = new TBar(now, 100.0, 105.0, 95.0, 102.0, 1000.0);
var bar3 = new TBar(now, 101.0, 106.0, 96.0, 103.0, 1100.0);
Console.WriteLine($"bar equals bar2? {bar == bar2}"); // True, same values
Console.WriteLine($"bar equals bar3? {bar == bar3}"); // False, different values
#!meta
{"kernelInfo":{"defaultKernelName":"csharp","items":[{"aliases":[],"languageName":"csharp","name":"csharp"}]}}
#!csharp
// Reference the library
#r "..\..\bin\QuanTAlib.dll"
using QuanTAlib;
// 1. Creating a TBar
// TBar represents a single OHLCV bar (Open, High, Low, Close, Volume)
// It is an immutable struct optimized for memory and performance
long now = DateTime.UtcNow.Ticks;
var bar = new TBar(now, 100.0, 105.0, 95.0, 102.0, 1000.0);
Console.WriteLine($"Created TBar: {bar}");
Console.WriteLine($"Time: {bar.AsDateTime}");
Console.WriteLine($"Open: {bar.Open}");
Console.WriteLine($"High: {bar.High}");
Console.WriteLine($"Low: {bar.Low}");
Console.WriteLine($"Close: {bar.Close}");
Console.WriteLine($"Volume: {bar.Volume}");
#!csharp
// 2. Computed Properties
// TBar provides on-demand calculation of common price averages
// These are calculated when accessed, saving storage space
Console.WriteLine($"HL2 (High+Low)/2: {bar.HL2}");
Console.WriteLine($"OC2 (Open+Close)/2: {bar.OC2}");
Console.WriteLine($"OHL3 (Open+High+Low)/3: {bar.OHL3}");
Console.WriteLine($"HLC3 (High+Low+Close)/3: {bar.HLC3}");
Console.WriteLine($"OHLC4 (Open+High+Low+Close)/4: {bar.OHLC4}");
Console.WriteLine($"HLCC4 (High+Low+Close+Close)/4: {bar.HLCC4}");
#!csharp
// 3. TValue Accessors
// You can efficiently access individual components as TValue (Time-Value pair)
// This is useful when you need to treat a specific price component as a time series point
Console.WriteLine($"Open TValue: {bar.O}");
Console.WriteLine($"High TValue: {bar.H}");
Console.WriteLine($"Low TValue: {bar.L}");
Console.WriteLine($"Close TValue: {bar.C}");
Console.WriteLine($"Volume TValue: {bar.V}");
#!csharp
// 4. Implicit Conversions
// TBar supports implicit conversions to double (Close price), TValue (Close), and DateTime
double closePrice = bar;
TValue value = bar;
DateTime dt = bar;
Console.WriteLine($"Implicit double (Close): {closePrice}");
Console.WriteLine($"Implicit TValue (Close): {value}");
Console.WriteLine($"Implicit DateTime: {dt}");
#!csharp
// 5. Equality and Immutability
// Being a struct, TBar has value semantics
var bar2 = new TBar(now, 100.0, 105.0, 95.0, 102.0, 1000.0);
var bar3 = new TBar(now, 101.0, 106.0, 96.0, 103.0, 1100.0);
Console.WriteLine($"bar equals bar2? {bar == bar2}"); // True, same values
Console.WriteLine($"bar equals bar3? {bar == bar3}"); // False, different values
+76 -76
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using System;
using Xunit;
using QuanTAlib;
namespace QuanTAlib.Tests
{
public class TBarTests
{
[Fact]
public void Constructor_SetsPropertiesCorrectly()
{
long time = DateTime.UtcNow.Ticks;
double open = 100;
double high = 110;
double low = 90;
double close = 105;
double volume = 1000;
var bar = new TBar(time, open, high, low, close, volume);
Assert.Equal(time, bar.Time);
Assert.Equal(open, bar.Open);
Assert.Equal(high, bar.High);
Assert.Equal(low, bar.Low);
Assert.Equal(close, bar.Close);
Assert.Equal(volume, bar.Volume);
}
[Fact]
public void HL2_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 105, 1000);
Assert.Equal(100.0, bar.HL2); // (110 + 90) / 2
}
[Fact]
public void OHL3_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 105, 1000);
Assert.Equal(100.0, bar.OHL3); // (100 + 110 + 90) / 3
}
[Fact]
public void HLC3_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 100, 1000);
Assert.Equal(100.0, bar.HLC3); // (110 + 90 + 100) / 3
}
[Fact]
public void OHLC4_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 100, 1000);
Assert.Equal(100.0, bar.OHLC4); // (100 + 110 + 90 + 100) / 4
}
[Fact]
public void HLCC4_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 100, 1000);
Assert.Equal(100.0, bar.HLCC4); // (110 + 90 + 100 + 100) / 4
}
[Fact]
public void ImplicitConversion_ToTValue_ReturnsClosePriceWithTime()
{
long time = DateTime.UtcNow.Ticks;
var bar = new TBar(time, 100, 110, 90, 105, 1000);
TValue tv = bar;
Assert.Equal(time, tv.Time);
Assert.Equal(105.0, tv.Value);
}
}
}
using System;
using Xunit;
using QuanTAlib;
namespace QuanTAlib.Tests
{
public class TBarTests
{
[Fact]
public void Constructor_SetsPropertiesCorrectly()
{
long time = DateTime.UtcNow.Ticks;
double open = 100;
double high = 110;
double low = 90;
double close = 105;
double volume = 1000;
var bar = new TBar(time, open, high, low, close, volume);
Assert.Equal(time, bar.Time);
Assert.Equal(open, bar.Open);
Assert.Equal(high, bar.High);
Assert.Equal(low, bar.Low);
Assert.Equal(close, bar.Close);
Assert.Equal(volume, bar.Volume);
}
[Fact]
public void HL2_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 105, 1000);
Assert.Equal(100.0, bar.HL2); // (110 + 90) / 2
}
[Fact]
public void OHL3_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 105, 1000);
Assert.Equal(100.0, bar.OHL3); // (100 + 110 + 90) / 3
}
[Fact]
public void HLC3_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 100, 1000);
Assert.Equal(100.0, bar.HLC3); // (110 + 90 + 100) / 3
}
[Fact]
public void OHLC4_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 100, 1000);
Assert.Equal(100.0, bar.OHLC4); // (100 + 110 + 90 + 100) / 4
}
[Fact]
public void HLCC4_CalculatesCorrectly()
{
var bar = new TBar(0, 100, 110, 90, 100, 1000);
Assert.Equal(100.0, bar.HLCC4); // (110 + 90 + 100 + 100) / 4
}
[Fact]
public void ImplicitConversion_ToTValue_ReturnsClosePriceWithTime()
{
long time = DateTime.UtcNow.Ticks;
var bar = new TBar(time, 100, 110, 90, 105, 1000);
TValue tv = bar;
Assert.Equal(time, tv.Time);
Assert.Equal(105.0, tv.Value);
}
}
}
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# TBar Struct
`TBar` is a lightweight, immutable struct representing a single OHLCV (Open, High, Low, Close, Volume) bar. It is designed for high-performance financial data processing with minimal memory overhead.
## Key Features
- **Memory Efficient**: Pure data type occupying exactly 48 bytes (1 `long` + 5 `double`s).
- **Immutable**: Thread-safe by design.
- **Zero-Copy Conversions**: Efficiently converts to `TValue` for individual price components (Open, High, Low, Close, Volume).
- **Computed Properties**: Provides on-demand calculation of common price averages (HL2, HLC3, etc.) without storage overhead.
- **SIMD Compatible**: Layout is optimized for potential vectorization in collection types.
## Structure Definition
```csharp
public readonly struct TBar : IEquatable<TBar>
{
public readonly long Time; // Unix ticks
public readonly double Open;
public readonly double High;
public readonly double Low;
public readonly double Close;
public readonly double Volume;
}
```
## Properties
| Property | Type | Description |
|----------|------|-------------|
| `Time` | `long` | Timestamp in ticks. |
| `Open` | `double` | Opening price. |
| `High` | `double` | Highest price. |
| `Low` | `double` | Lowest price. |
| `Close` | `double` | Closing price. |
| `Volume` | `double` | Traded volume. |
| `AsDateTime` | `DateTime` | `Time` converted to UTC DateTime. |
### Computed Averages
These properties are calculated on the fly:
- `HL2`: (High + Low) / 2
- `OC2`: (Open + Close) / 2
- `OHL3`: (Open + High + Low) / 3
- `HLC3`: (High + Low + Close) / 3
- `OHLC4`: (Open + High + Low + Close) / 4
- `HLCC4`: (High + Low + Close + Close) / 4
### TValue Accessors
Efficiently access components as `TValue` (Time-Value pair):
- `O`: (Time, Open)
- `H`: (Time, High)
- `L`: (Time, Low)
- `C`: (Time, Close)
- `V`: (Time, Volume)
## Usage
### Creating a TBar
```csharp
long now = DateTime.UtcNow.Ticks;
var bar = new TBar(now, 100.0, 105.0, 95.0, 102.0, 1000.0);
```
### Implicit Conversions
```csharp
double closePrice = bar; // Implicitly converts to Close price
TValue value = bar; // Implicitly converts to (Time, Close)
DateTime dt = bar; // Implicitly converts to DateTime
# TBar Struct
`TBar` is a lightweight, immutable struct representing a single OHLCV (Open, High, Low, Close, Volume) bar. It is designed for high-performance financial data processing with minimal memory overhead.
## Key Features
- **Memory Efficient**: Pure data type occupying exactly 48 bytes (1 `long` + 5 `double`s).
- **Immutable**: Thread-safe by design.
- **Zero-Copy Conversions**: Efficiently converts to `TValue` for individual price components (Open, High, Low, Close, Volume).
- **Computed Properties**: Provides on-demand calculation of common price averages (HL2, HLC3, etc.) without storage overhead.
- **SIMD Compatible**: Layout is optimized for potential vectorization in collection types.
## Structure Definition
```csharp
public readonly struct TBar : IEquatable<TBar>
{
public readonly long Time; // Unix ticks
public readonly double Open;
public readonly double High;
public readonly double Low;
public readonly double Close;
public readonly double Volume;
}
```
## Properties
| Property | Type | Description |
|----------|------|-------------|
| `Time` | `long` | Timestamp in ticks. |
| `Open` | `double` | Opening price. |
| `High` | `double` | Highest price. |
| `Low` | `double` | Lowest price. |
| `Close` | `double` | Closing price. |
| `Volume` | `double` | Traded volume. |
| `AsDateTime` | `DateTime` | `Time` converted to UTC DateTime. |
### Computed Averages
These properties are calculated on the fly:
- `HL2`: (High + Low) / 2
- `OC2`: (Open + Close) / 2
- `OHL3`: (Open + High + Low) / 3
- `HLC3`: (High + Low + Close) / 3
- `OHLC4`: (Open + High + Low + Close) / 4
- `HLCC4`: (High + Low + Close + Close) / 4
### TValue Accessors
Efficiently access components as `TValue` (Time-Value pair):
- `O`: (Time, Open)
- `H`: (Time, High)
- `L`: (Time, Low)
- `C`: (Time, Close)
- `V`: (Time, Volume)
## Usage
### Creating a TBar
```csharp
long now = DateTime.UtcNow.Ticks;
var bar = new TBar(now, 100.0, 105.0, 95.0, 102.0, 1000.0);
```
### Implicit Conversions
```csharp
double closePrice = bar; // Implicitly converts to Close price
TValue value = bar; // Implicitly converts to (Time, Close)
DateTime dt = bar; // Implicitly converts to DateTime
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using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
/// A lightweight struct representing an OHLCV bar.
/// Pure data type: 48 bytes (long + 5 doubles).
/// </summary>
[SkipLocalsInit]
public readonly struct TBar : IEquatable<TBar>
{
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)
public TValue O { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Open); }
public TValue H { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, High); }
public TValue L { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Low); }
public TValue C { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Close); }
public TValue V { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Volume); }
// Computed properties (calculated on demand, no storage overhead)
public double HL2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low) * 0.5; }
public double OC2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + Close) * 0.5; }
public double OHL3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low) / 3.0; }
public double HLC3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close) / 3.0; }
public double OHLC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low + Close) * 0.25; }
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)
{
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)]
public static implicit operator double(TBar bar) => bar.Close;
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static implicit operator TValue(TBar bar) => new(bar.Time, bar.Close);
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static implicit operator DateTime(TBar bar) => new(bar.Time, DateTimeKind.Utc);
[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);
}
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
/// A lightweight struct representing an OHLCV bar.
/// Pure data type: 48 bytes (long + 5 doubles).
/// </summary>
[SkipLocalsInit]
public readonly struct TBar : IEquatable<TBar>
{
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)
public TValue O { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Open); }
public TValue H { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, High); }
public TValue L { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Low); }
public TValue C { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Close); }
public TValue V { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Volume); }
// Computed properties (calculated on demand, no storage overhead)
public double HL2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low) * 0.5; }
public double OC2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + Close) * 0.5; }
public double OHL3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low) / 3.0; }
public double HLC3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close) / 3.0; }
public double OHLC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low + Close) * 0.25; }
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)
{
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)]
public static implicit operator double(TBar bar) => bar.Close;
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static implicit operator TValue(TBar bar) => new(bar.Time, bar.Close);
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static implicit operator DateTime(TBar bar) => new(bar.Time, DateTimeKind.Utc);
[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);
}