namespace QuanTAlib.Tests; public class VelTests { // Expected values for VEL(3) with input [10, 20, 30] // PWMA(3) = 360/14, WMA(3) = 140/6, VEL = PWMA - WMA private const double ExpectedPwma = 360.0 / 14.0; // 25.7142857... private const double ExpectedWma = 140.0 / 6.0; // 23.3333333... private const double ExpectedVel = ExpectedPwma - ExpectedWma; // 2.38095238... [Fact] public void Constructor_InvalidPeriod_ThrowsArgumentException() { Assert.Throws(() => new Vel(0)); Assert.Throws(() => new Vel(-1)); var vel = new Vel(10); Assert.NotNull(vel); } [Fact] public void BasicCalculation_DoesNotCrash() { var vel = new Vel(10); Assert.Equal(0, vel.Last.Value); TValue result = vel.Update(new TValue(DateTime.UtcNow, 100)); Assert.Equal(result.Value, vel.Last.Value); } [Fact] public void IsNew_Consistency() { var vel = new Vel(10); var time = DateTime.UtcNow; // Update with default isNew=true var val1 = vel.Update(new TValue(time, 100)); // Update with isNew=false (same time, different value) vel.Update(new TValue(time, 105), isNew: false); // Update with isNew=false (same time, original value) - should match val1 if state rollback works var val3 = vel.Update(new TValue(time, 100), isNew: false); Assert.Equal(val1.Value, val3.Value, 1e-9); } [Fact] public void Reset_Works() { var vel = new Vel(10); vel.Update(new TValue(DateTime.UtcNow, 100)); vel.Update(new TValue(DateTime.UtcNow, 105)); double valueBefore = vel.Last.Value; vel.Reset(); Assert.Equal(0, vel.Last.Value); // After reset, should accept new values vel.Update(new TValue(DateTime.UtcNow, 50)); // First value is 0 because PWMA(50) = 50 and WMA(50) = 50 Assert.Equal(0, vel.Last.Value); vel.Update(new TValue(DateTime.UtcNow, 60)); Assert.NotEqual(0, vel.Last.Value); Assert.NotEqual(valueBefore, vel.Last.Value); } [Fact] public void IsHot_BecomesTrueWhenBufferFull() { var vel = new Vel(5); Assert.False(vel.IsHot); for (int i = 1; i <= 4; i++) { vel.Update(new TValue(DateTime.UtcNow, i * 10)); Assert.False(vel.IsHot); } vel.Update(new TValue(DateTime.UtcNow, 50)); Assert.True(vel.IsHot); } [Fact] public void CalculatesCorrectValue() { var vel = new Vel(3); vel.Update(new TValue(DateTime.UtcNow, 10)); vel.Update(new TValue(DateTime.UtcNow, 20)); vel.Update(new TValue(DateTime.UtcNow, 30)); // PWMA(3) of 10,20,30 = 360/14 = 25.7142857... // WMA(3) of 10,20,30 = 140/6 = 23.3333333... // VEL = PWMA - WMA = 2.38095238... Assert.Equal(ExpectedVel, vel.Last.Value, 1e-10); } [Fact] public void StaticBatch_Matches_Streaming() { var series = new TSeries(); series.Add(DateTime.UtcNow.Ticks, 10); series.Add(DateTime.UtcNow.Ticks + 1, 20); series.Add(DateTime.UtcNow.Ticks + 2, 30); var results = Vel.Batch(series, 3); Assert.Equal(3, results.Count); Assert.Equal(ExpectedVel, results.Last.Value, 1e-10); } [Fact] public void SpanBatch_Matches_Streaming() { var series = new TSeries(); double[] source = new double[100]; double[] output = new double[100]; var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); source[i] = bar.Close; series.Add(bar.Time, bar.Close); } // Calculate with TSeries API var tseriesResult = Vel.Batch(series, 10); // Calculate with Span API Vel.Batch(source.AsSpan(), output.AsSpan(), 10); // Compare results for (int i = 0; i < 100; i++) { Assert.Equal(tseriesResult[i].Value, output[i], 1e-10); } } [Fact] public void Chainability_Works() { var vel = new Vel(10); var vel2 = new Vel(vel, 10); vel.Update(new TValue(DateTime.UtcNow, 100)); Assert.False(double.IsNaN(vel2.Last.Value)); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var vel = new Vel(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); // Feed 20 new values TValue twentiethInput = default; for (int i = 0; i < 20; i++) { var bar = gbm.Next(isNew: true); twentiethInput = new TValue(bar.Time, bar.Close); vel.Update(twentiethInput, isNew: true); } // Remember state after 20 values double stateAfterTwenty = vel.Last.Value; // Generate 9 corrections with isNew=false (different values) for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); vel.Update(new TValue(bar.Time, bar.Close), isNew: false); } // Feed the remembered 20th input again with isNew=false TValue finalResult = vel.Update(twentiethInput, isNew: false); // State should match the original state after 20 values Assert.Equal(stateAfterTwenty, finalResult.Value, 1e-10); } [Fact] public void NaN_Input_UsesLastValidValue() { var vel = new Vel(5); var gbm = new GBM(); var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed some valid values first for (int i = 0; i < 15; i++) { vel.Update(new TValue(bars[i].Time, bars[i].Close)); } // Feed NaN var result = vel.Update(new TValue(DateTime.UtcNow, double.NaN)); // Should not crash and should return a finite value Assert.True(double.IsFinite(result.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var vel = new Vel(5); var gbm = new GBM(); var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed some valid values first for (int i = 0; i < 15; i++) { vel.Update(new TValue(bars[i].Time, bars[i].Close)); } // Feed Infinity var resultPos = vel.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity)); Assert.True(double.IsFinite(resultPos.Value)); var resultNeg = vel.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity)); Assert.True(double.IsFinite(resultNeg.Value)); } [Fact] public void AllModes_ProduceSameResult() { // Arrange const int period = 10; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // 1. Batch Mode (static method) var batchSeries = Vel.Batch(series, period); double expected = batchSeries.Last.Value; // 2. Span Mode (static method with spans) var spanInput = series.Values.ToArray(); var spanOutput = new double[spanInput.Length]; Vel.Batch(spanInput.AsSpan(), spanOutput.AsSpan(), period); double spanResult = spanOutput[^1]; // 3. Streaming Mode (instance, one value at a time) var streamingInd = new Vel(period); for (int i = 0; i < series.Count; i++) { streamingInd.Update(series[i]); } double streamingResult = streamingInd.Last.Value; // 4. Eventing Mode (chained via ITValuePublisher) var pubSource = new TSeries(); var eventingInd = new Vel(pubSource, period); for (int i = 0; i < series.Count; i++) { pubSource.Add(series[i]); } double eventingResult = eventingInd.Last.Value; // Assert all modes produce identical results Assert.Equal(expected, spanResult, precision: 9); Assert.Equal(expected, streamingResult, precision: 9); Assert.Equal(expected, eventingResult, precision: 9); } }