using System.Buffers; using System.Runtime.CompilerServices; using System.Runtime.InteropServices; namespace QuanTAlib; /// /// DC: Donchian Channels /// Upper = rolling highest high; Lower = rolling lowest low; Middle = (Upper + Lower) / 2. /// Streaming path uses monotonic deques for O(1) amortized updates; corrections (isNew=false) /// rebuild deques without allocations. /// [SkipLocalsInit] public sealed class Dc : ITValuePublisher { private readonly int _period; private readonly double[] _hBuf; private readonly double[] _lBuf; private readonly MonotonicDeque _maxDeque; private readonly MonotonicDeque _minDeque; // Rolling counters private int _count; private long _index; [StructLayout(LayoutKind.Auto)] private record struct State(double LastValidHigh, double LastValidLow, bool IsHot); private State _state; private State _p_state; private readonly TBarPublishedHandler _barHandler; public string Name { get; } public int WarmupPeriod { get; } public TValue Last { get; private set; } public TValue Upper { get; private set; } public TValue Lower { get; private set; } public bool IsHot => _count >= _period; public event TValuePublishedHandler? Pub; public Dc(int period) { if (period <= 0) { throw new ArgumentException("Period must be greater than 0", nameof(period)); } _period = period; _hBuf = new double[_period]; _lBuf = new double[_period]; _maxDeque = new MonotonicDeque(_period); _minDeque = new MonotonicDeque(_period); _count = 0; _index = -1; _state = new State(double.NaN, double.NaN, false); _p_state = _state; Name = $"Dc({period})"; WarmupPeriod = period; _barHandler = HandleBar; } public Dc(TBarSeries source, int period) : this(period) { Prime(source); source.Pub += _barHandler; } private void HandleBar(object? sender, in TBarEventArgs e) => Update(e.Value, e.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] private void PubEvent(TValue value, bool isNew = true) => Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew }); [MethodImpl(MethodImplOptions.AggressiveInlining)] private (double high, double low) GetValid(double high, double low) { if (double.IsFinite(high)) { _state = _state with { LastValidHigh = high }; } else { high = _state.LastValidHigh; } if (double.IsFinite(low)) { _state = _state with { LastValidLow = low }; } else { low = _state.LastValidLow; } return (high, low); } [MethodImpl(MethodImplOptions.AggressiveInlining)] public TValue Update(TBar input, bool isNew = true) { if (isNew) { _p_state = _state; _index++; if (_count < _period) { _count++; } } else { _state = _p_state; } int bufIdx = (int)(_index % _period); var (high, low) = GetValid(input.High, input.Low); // If still no valid data, return NaN placeholders if (double.IsNaN(high) || double.IsNaN(low)) { Last = new TValue(input.Time, double.NaN); Upper = new TValue(input.Time, double.NaN); Lower = new TValue(input.Time, double.NaN); PubEvent(Last, isNew); return Last; } _hBuf[bufIdx] = high; _lBuf[bufIdx] = low; if (isNew) { _maxDeque.PushMax(_index, high, _hBuf); _minDeque.PushMin(_index, low, _lBuf); } else { // Correcting current bar: rebuild deques to maintain consistency _maxDeque.RebuildMax(_hBuf, _index, _count); _minDeque.RebuildMin(_lBuf, _index, _count); } double top = _maxDeque.GetExtremum(_hBuf); double bot = _minDeque.GetExtremum(_lBuf); double mid = (top + bot) * 0.5; if (!_state.IsHot && _count >= _period) { _state = _state with { IsHot = true }; } Last = new TValue(input.Time, mid); Upper = new TValue(input.Time, top); Lower = new TValue(input.Time, bot); PubEvent(Last, isNew); return Last; } public (TSeries Middle, TSeries Upper, TSeries Lower) Update(TBarSeries source) { if (source.Count == 0) { return (new TSeries([], []), new TSeries([], []), new TSeries([], [])); } int len = source.Count; var tMiddle = new List(len); var vMiddle = new List(len); var tUpper = new List(len); var vUpper = new List(len); var tLower = new List(len); var vLower = new List(len); CollectionsMarshal.SetCount(tMiddle, len); CollectionsMarshal.SetCount(vMiddle, len); CollectionsMarshal.SetCount(tUpper, len); CollectionsMarshal.SetCount(vUpper, len); CollectionsMarshal.SetCount(tLower, len); CollectionsMarshal.SetCount(vLower, len); var tSpan = CollectionsMarshal.AsSpan(tMiddle); var vMiddleSpan = CollectionsMarshal.AsSpan(vMiddle); var vUpperSpan = CollectionsMarshal.AsSpan(vUpper); var vLowerSpan = CollectionsMarshal.AsSpan(vLower); Batch(source.HighValues, source.LowValues, vMiddleSpan, vUpperSpan, vLowerSpan, _period); source.Times.CopyTo(tSpan); tSpan.CopyTo(CollectionsMarshal.AsSpan(tUpper)); tSpan.CopyTo(CollectionsMarshal.AsSpan(tLower)); // Prime internal state for continued streaming Prime(source); var lastTime = new DateTime(source.Times[^1], DateTimeKind.Utc); Last = new TValue(lastTime, vMiddleSpan[^1]); Upper = new TValue(lastTime, vUpperSpan[^1]); Lower = new TValue(lastTime, vLowerSpan[^1]); return (new TSeries(tMiddle, vMiddle), new TSeries(tUpper, vUpper), new TSeries(tLower, vLower)); } public void Prime(TBarSeries source) { Reset(); if (source.Count == 0) { return; } for (int i = 0; i < source.Count; i++) { Update(source[i], isNew: true); } } public void Reset() { Array.Clear(_hBuf); Array.Clear(_lBuf); _maxDeque.Reset(); _minDeque.Reset(); _count = 0; _index = -1; _state = new State(double.NaN, double.NaN, false); _p_state = _state; Last = default; Upper = default; Lower = default; } /// /// Batch calculation using spans (zero allocation). /// public static void Batch( ReadOnlySpan high, ReadOnlySpan low, Span middle, Span upper, Span lower, int period) { if (period <= 0) { throw new ArgumentException("Period must be greater than 0", nameof(period)); } if (high.Length != low.Length) { throw new ArgumentException("High and Low spans must have the same length", nameof(high)); } if (middle.Length < high.Length || upper.Length < high.Length || lower.Length < high.Length) { throw new ArgumentException("Output spans must be at least as long as inputs", nameof(middle)); } int len = high.Length; if (len == 0) { return; } double[] top = ArrayPool.Shared.Rent(len); double[] bot = ArrayPool.Shared.Rent(len); try { Highest.Batch(high, top.AsSpan(0, len), period); Lowest.Batch(low, bot.AsSpan(0, len), period); for (int i = 0; i < len; i++) { double u = top[i]; double l = bot[i]; middle[i] = (u + l) * 0.5; upper[i] = u; lower[i] = l; } } finally { ArrayPool.Shared.Return(top); ArrayPool.Shared.Return(bot); } } public static (TSeries Middle, TSeries Upper, TSeries Lower) Batch(TBarSeries source, int period) { int len = source.Count; var tMiddle = new List(len); var vMiddle = new List(len); var tUpper = new List(len); var vUpper = new List(len); var tLower = new List(len); var vLower = new List(len); CollectionsMarshal.SetCount(tMiddle, len); CollectionsMarshal.SetCount(vMiddle, len); CollectionsMarshal.SetCount(tUpper, len); CollectionsMarshal.SetCount(vUpper, len); CollectionsMarshal.SetCount(tLower, len); CollectionsMarshal.SetCount(vLower, len); Batch(source.HighValues, source.LowValues, CollectionsMarshal.AsSpan(vMiddle), CollectionsMarshal.AsSpan(vUpper), CollectionsMarshal.AsSpan(vLower), period); source.Times.CopyTo(CollectionsMarshal.AsSpan(tMiddle)); CollectionsMarshal.AsSpan(tMiddle).CopyTo(CollectionsMarshal.AsSpan(tUpper)); CollectionsMarshal.AsSpan(tMiddle).CopyTo(CollectionsMarshal.AsSpan(tLower)); return (new TSeries(tMiddle, vMiddle), new TSeries(tUpper, vUpper), new TSeries(tLower, vLower)); } public static ((TSeries Middle, TSeries Upper, TSeries Lower) Results, Dc Indicator) Calculate(TBarSeries source, int period) { var indicator = new Dc(source, period); var results = indicator.Update(source); return (results, indicator); } }