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Refactor trend indicators to use record structs for state management

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This commit is contained in:
Miha Kralj
2025-12-10 21:58:45 -05:00
parent cfc54bf1f7
commit e6033638ad
17 changed files with 390 additions and 484 deletions
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lib/trends/lsma/Lsma.cs
+29 -43
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@@ -34,15 +34,10 @@ public sealed class Lsma : ITValuePublisher
private readonly double _sum_x;
private readonly double _denominator;
private double _sum_y;
private double _sum_xy;
private record struct State(double SumY, double SumXY, double LastVal, double LastValidValue);
private State _state;
private State _p_state;
private double _p_sum_y;
private double _p_sum_xy;
private double _p_last_val;
private double _lastValidValue;
private double _p_lastValidValue;
private int _tickCount;
private const int ResyncInterval = 1000;
@@ -100,10 +95,10 @@ public sealed class Lsma : ITValuePublisher
{
if (double.IsFinite(input))
{
_lastValidValue = input;
_state.LastValidValue = input;
return input;
}
return _lastValidValue;
return _state.LastValidValue;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -112,24 +107,24 @@ public sealed class Lsma : ITValuePublisher
if (_buffer.IsFull)
{
double oldest = _buffer.Oldest;
double prev_sum_y = _sum_y;
double prev_sum_y = _state.SumY;
// O(1) update for sum_xy
// sum_xy_new = sum_xy_old + sum_y_prev - n * oldest
_sum_xy = _sum_xy + prev_sum_y - _period * oldest;
_state.SumXY = _state.SumXY + prev_sum_y - _period * oldest;
// O(1) update for sum_y
_sum_y = _sum_y - oldest + val;
_state.SumY = _state.SumY - oldest + val;
_buffer.Add(val);
}
else
{
_buffer.Add(val);
_sum_y += val;
_state.SumY += val;
// Recalculate sum_xy from scratch during warmup
_sum_xy = 0;
_state.SumXY = 0;
var span = _buffer.GetSpan();
for (int i = 0; i < span.Length; i++)
{
@@ -138,7 +133,7 @@ public sealed class Lsma : ITValuePublisher
// index j in buffer corresponds to x = count - 1 - j
// sum_xy = sum(x * y)
int x = span.Length - 1 - i;
_sum_xy += x * span[i];
_state.SumXY += x * span[i];
}
}
@@ -152,13 +147,13 @@ public sealed class Lsma : ITValuePublisher
private void Resync()
{
_sum_y = _buffer.Sum;
_sum_xy = 0;
_state.SumY = _buffer.Sum;
_state.SumXY = 0;
var span = _buffer.GetSpan();
for (int i = 0; i < span.Length; i++)
{
int x = span.Length - 1 - i;
_sum_xy += x * span[i];
_state.SumXY += x * span[i];
}
}
@@ -170,25 +165,23 @@ public sealed class Lsma : ITValuePublisher
double val = GetValidValue(input.Value);
UpdateState(val);
_p_sum_y = _sum_y;
_p_sum_xy = _sum_xy;
_p_last_val = val;
_p_lastValidValue = _lastValidValue;
_p_state = _state;
_state.LastVal = val;
}
else
{
_lastValidValue = _p_lastValidValue;
_state.LastValidValue = _p_state.LastValidValue;
double val = GetValidValue(input.Value);
// For isNew=false, we update the current bar.
// sum_xy remains constant because it depends on the previous window state which hasn't changed.
// sum_y updates to reflect the change in the newest value.
_sum_y = _p_sum_y - _p_last_val + val;
_sum_xy = _p_sum_xy; // Restore sum_xy to the state after the shift
_state.SumY = _p_state.SumY - _p_state.LastVal + val;
_state.SumXY = _p_state.SumXY; // Restore sum_xy to the state after the shift
_buffer.UpdateNewest(val);
_p_last_val = val;
_state.LastVal = val;
}
double result;
@@ -218,8 +211,8 @@ public sealed class Lsma : ITValuePublisher
}
else
{
double m = (n * _sum_xy - sx * _sum_y) / denom;
double b = (_sum_y - m * sx) / n;
double m = (n * _state.SumXY - sx * _state.SumY) / denom;
double b = (_state.SumY - m * sx) / n;
// LSMA = b - m * offset
result = b - m * _offset;
@@ -261,17 +254,17 @@ public sealed class Lsma : ITValuePublisher
{
if (double.IsFinite(source.Values[i]))
{
_lastValidValue = source.Values[i];
_state.LastValidValue = source.Values[i];
break;
}
}
}
else
{
_lastValidValue = 0;
_state.LastValidValue = 0;
}
double lastProcessedValue = _lastValidValue;
double lastProcessedValue = _state.LastValidValue;
for (int i = startIndex; i < len; i++)
{
double val = GetValidValue(source.Values[i]);
@@ -279,10 +272,8 @@ public sealed class Lsma : ITValuePublisher
lastProcessedValue = val;
}
_p_sum_y = _sum_y;
_p_sum_xy = _sum_xy;
_p_last_val = lastProcessedValue;
_p_lastValidValue = _lastValidValue;
_state.LastVal = lastProcessedValue;
_p_state = _state;
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
@@ -409,14 +400,9 @@ public sealed class Lsma : ITValuePublisher
public void Reset()
{
_buffer.Clear();
_sum_y = 0;
_sum_xy = 0;
_p_sum_y = 0;
_p_sum_xy = 0;
_p_last_val = 0;
_state = default;
_p_state = default;
Last = default;
_tickCount = 0;
_lastValidValue = 0;
_p_lastValidValue = 0;
}
}