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Add Savitzky-Golay Moving Average (SGMA) Indicator Implementation
- Implemented SgmaIndicator class in C# with properties for Period, Degree, and Source. - Added unit tests for SgmaIndicator covering constructor defaults, initialization, and various update scenarios. - Created a new Quantower adapter for the SGMA indicator, including input parameters and line series setup. - Removed legacy SGMA implementation and tests to streamline the codebase. - Updated project files to include new indicator and tests in the build process. - Generated a missing indicators report and outlined a plan for oscillator documentation rewrite.
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using TradingPlatform.BusinessLayer;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public sealed class EntropyIndicatorTests
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{
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[Fact]
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public void EntropyIndicator_Constructor_SetsDefaults()
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{
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var indicator = new EntropyIndicator();
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Assert.Equal(14, indicator.Period);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("Entropy - Shannon Entropy", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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Assert.Equal(SourceType.Close, indicator.Source);
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}
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[Fact]
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public void EntropyIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new EntropyIndicator { Period = 14 };
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Assert.Equal(0, EntropyIndicator.MinHistoryDepths);
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IWatchlistIndicator watchlistIndicator = indicator;
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Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
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}
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[Fact]
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public void EntropyIndicator_Initialize_CreatesInternalEntropy()
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{
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var indicator = new EntropyIndicator { Period = 10 };
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist
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Assert.Single(indicator.LinesSeries);
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Assert.Equal("Entropy", indicator.LinesSeries[0].Name);
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}
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[Fact]
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public void EntropyIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new EntropyIndicator { Period = 5 };
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indicator.Initialize();
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// Add historical data
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// Line series should have a value
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double entropy = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(entropy));
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// Allow tiny floating-point overshoot above 1.0
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Assert.True(entropy >= -1e-10 && entropy <= 1.0 + 1e-10,
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$"Expected entropy in [0, 1], got {entropy}");
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}
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[Fact]
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public void EntropyIndicator_DifferentSourceTypes()
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{
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var indicator = new EntropyIndicator { Period = 5, Source = SourceType.Open };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double entropy = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(entropy));
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}
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[Fact]
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public void EntropyIndicator_ShortName_IncludesPeriod()
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{
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var indicator = new EntropyIndicator { Period = 20 };
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Assert.Equal("Entropy 20", indicator.ShortName);
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}
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[Fact]
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public void EntropyIndicator_NewBar_UpdatesValue()
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{
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var indicator = new EntropyIndicator { Period = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Add enough bars to warm up
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for (int i = 0; i < 10; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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_ = indicator.LinesSeries[0].GetValue(0);
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// Add a new bar with a very different value
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indicator.HistoricalData.AddBar(now.AddMinutes(10), 200, 210, 190, 205);
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var newArgs = new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(newArgs);
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double valueAfter = indicator.LinesSeries[0].GetValue(0);
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// Value should change after adding a significantly different bar
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Assert.True(double.IsFinite(valueAfter));
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}
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}
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