using System.Buffers;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
///
/// DMX: Jurik Directional Movement Index
///
///
/// Smoother DMI alternative using JMA instead of Wilder smoothing (Jurik).
/// Lower lag than ADX while maintaining directional trend detection.
///
/// Calculation: DMX = DI+ - DI- where DI values use JMA-smoothed +DM/-DM/TR.
///
/// Detailed documentation
[SkipLocalsInit]
public sealed class Dmx : ITValuePublisher
{
private readonly int _period;
private readonly Jma _jmaDMp;
private readonly Jma _jmaDMm;
private readonly Jma _jmaTR;
private TBar _prevBar;
private TBar _lastInput;
private bool _isInitialized;
// Snapshot state for bar correction
private TBar _p_prevBar;
private TBar _p_lastInput;
private bool _p_isInitialized;
public string Name { get; }
public event TValuePublishedHandler? Pub;
public TValue Last { get; private set; }
public int WarmupPeriod { get; }
///
/// True when the indicator has enough data for valid calculations.
///
public bool IsHot => _jmaDMp.IsHot && _jmaDMm.IsHot && _jmaTR.IsHot;
public Dmx(int period)
{
Name = $"Dmx({period})";
WarmupPeriod = period;
_period = period;
_jmaDMp = new Jma(period);
_jmaDMm = new Jma(period);
_jmaTR = new Jma(period);
_isInitialized = false;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public void Reset()
{
_jmaDMp.Reset();
_jmaDMm.Reset();
_jmaTR.Reset();
_prevBar = default;
_lastInput = default;
_isInitialized = false;
Last = default;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TBar input, bool isNew = true)
{
if (isNew)
{
// Snapshot state BEFORE mutations
_p_prevBar = _prevBar;
_p_lastInput = _lastInput;
_p_isInitialized = _isInitialized;
if (_isInitialized)
{
_prevBar = _lastInput;
}
else
{
_isInitialized = true;
// For the very first bar, _prevBar remains default (all zeros)
}
}
else
{
// Restore state from snapshot
_prevBar = _p_prevBar;
_lastInput = _p_lastInput;
_isInitialized = _p_isInitialized;
if (_isInitialized)
{
_prevBar = _lastInput;
}
// On correction, do NOT force initialization - only restore and recompute
}
// Update _lastInput to the current input
_lastInput = input;
double dmPlusRaw = 0;
double dmMinusRaw = 0;
double trRaw;
// First bar check: _prevBar.Time == 0 implies uninitialized previous bar
if (_prevBar.Time == 0)
{
trRaw = input.High - input.Low;
}
else
{
double upMove = input.High - _prevBar.High;
double downMove = _prevBar.Low - input.Low;
if (upMove > downMove && upMove > 0)
{
dmPlusRaw = upMove;
}
if (downMove > upMove && downMove > 0)
{
dmMinusRaw = downMove;
}
double tr1 = input.High - input.Low;
double tr2 = Math.Abs(input.High - _prevBar.Close);
double tr3 = Math.Abs(input.Low - _prevBar.Close);
trRaw = Math.Max(tr1, Math.Max(tr2, tr3));
}
// Smooth with JMA
// Note: JMA handles NaN and warm-up internally
double dmPlusSmooth = _jmaDMp.Update(new TValue(input.Time, dmPlusRaw), isNew).Value;
double dmMinusSmooth = _jmaDMm.Update(new TValue(input.Time, dmMinusRaw), isNew).Value;
double atrSmooth = _jmaTR.Update(new TValue(input.Time, trRaw), isNew).Value;
double diPlus = 0;
double diMinus = 0;
if (atrSmooth > 1e-12)
{
diPlus = (dmPlusSmooth / atrSmooth) * 100.0;
diMinus = (dmMinusSmooth / atrSmooth) * 100.0;
}
double dmxValue = diPlus - diMinus;
Last = new TValue(input.Time, dmxValue);
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
return Last;
}
public TSeries Update(TBarSeries source)
{
int count = source.Count;
if (count == 0)
{
return [];
}
var t = new List(count);
var v = new List(count);
CollectionsMarshal.SetCount(t, count);
CollectionsMarshal.SetCount(v, count);
var tSpan = CollectionsMarshal.AsSpan(t);
var vSpan = CollectionsMarshal.AsSpan(v);
// Span-based batch calculation
Batch(source.High.Values, source.Low.Values, source.Close.Values, _period, vSpan);
source.Close.Times.CopyTo(tSpan);
// Restore streaming state by replaying only tail bars (JMA needs ~2*period for full warmup)
Reset();
int replayStart = Math.Max(0, count - (2 * _period));
for (int i = replayStart; i < count; i++)
{
Update(source[i], isNew: true);
}
Last = new TValue(tSpan[count - 1], vSpan[count - 1]);
return new TSeries(t, v);
}
///
/// Initializes the indicator state using the provided bar series history.
///
/// Historical bar data.
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 static void Batch(ReadOnlySpan high,
ReadOnlySpan low,
ReadOnlySpan close,
int period,
Span destination)
{
int len = high.Length;
if (len == 0)
{
return;
}
if (low.Length != len || close.Length != len || destination.Length != len)
{
throw new ArgumentException("All input spans must have the same length", nameof(destination));
}
if (period <= 0)
{
throw new ArgumentException("Period must be greater than zero.", nameof(period));
}
// Use single ArrayPool rent with slicing for better cache locality and fewer allocations
// Need 6 buffers of len each: dmPlus, dmMinus, tr, dmPlusSmooth, dmMinusSmooth, trSmooth
const int BufferCount = 6;
const int StackallocThreshold = 42; // 42 * 6 = 252, fits in stack
double[]? rented = null;
scoped Span buffer;
if (len <= StackallocThreshold)
{
buffer = stackalloc double[len * BufferCount];
}
else
{
rented = ArrayPool.Shared.Rent(len * BufferCount);
buffer = rented.AsSpan(0, len * BufferCount);
}
try
{
// Slice the single buffer into 6 spans
Span dmPlus = buffer.Slice(0, len);
Span dmMinus = buffer.Slice(len, len);
Span tr = buffer.Slice(len * 2, len);
Span dmPlusSmooth = buffer.Slice(len * 3, len);
Span dmMinusSmooth = buffer.Slice(len * 4, len);
Span trSmooth = buffer.Slice(len * 5, len);
// First bar: only true range from high-low, no directional movement
tr[0] = high[0] - low[0];
dmPlus[0] = 0.0;
dmMinus[0] = 0.0;
for (int i = 1; i < len; i++)
{
double h = high[i];
double l = low[i];
double ph = high[i - 1];
double pl = low[i - 1];
double pc = close[i - 1];
double upMove = h - ph;
double downMove = pl - l;
double dmPlusRaw = 0.0;
double dmMinusRaw = 0.0;
if (upMove > downMove && upMove > 0.0)
{
dmPlusRaw = upMove;
}
if (downMove > upMove && downMove > 0.0)
{
dmMinusRaw = downMove;
}
double tr1 = h - l;
double tr2 = Math.Abs(h - pc);
double tr3 = Math.Abs(l - pc);
double trRaw = Math.Max(tr1, Math.Max(tr2, tr3));
dmPlus[i] = dmPlusRaw;
dmMinus[i] = dmMinusRaw;
tr[i] = trRaw;
}
Jma.Batch(dmPlus, dmPlusSmooth, period);
Jma.Batch(dmMinus, dmMinusSmooth, period);
Jma.Batch(tr, trSmooth, period);
for (int i = 0; i < len; i++)
{
double atr = trSmooth[i];
double diPlus = 0.0;
double diMinus = 0.0;
if (atr > 1e-12)
{
diPlus = (dmPlusSmooth[i] / atr) * 100.0;
diMinus = (dmMinusSmooth[i] / atr) * 100.0;
}
destination[i] = diPlus - diMinus;
}
}
finally
{
if (rented != null)
{
ArrayPool.Shared.Return(rented);
}
}
}
public static TSeries Batch(TBarSeries source, int period = 14)
{
var dmx = new Dmx(period);
return dmx.Update(source);
}
public static (TSeries Results, Dmx Indicator) Calculate(TBarSeries source, int period = 14)
{
var indicator = new Dmx(period);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}