using Xunit; namespace QuanTAlib.Tests; public class FftTests { private const double Tolerance = 1e-10; // ─── A) Constructor validation ──────────────────────────────────────────── [Fact] public void Constructor_DefaultParameters_SetsProperties() { var indicator = new Fft(); Assert.Equal("Fft(64,4,32)", indicator.Name); Assert.False(indicator.IsHot); } [Fact] public void Constructor_CustomParameters_SetsName() { var indicator = new Fft(windowSize: 32, minPeriod: 2, maxPeriod: 16); Assert.Equal("Fft(32,2,16)", indicator.Name); } [Fact] public void Constructor_InvalidWindowSize_ThrowsArgumentException() { var ex = Assert.Throws(() => new Fft(windowSize: 48)); Assert.Equal("windowSize", ex.ParamName); } [Fact] public void Constructor_WindowSize16_ThrowsArgumentException() { var ex = Assert.Throws(() => new Fft(windowSize: 16)); Assert.Equal("windowSize", ex.ParamName); } [Fact] public void Constructor_MinPeriodOne_ThrowsArgumentException() { var ex = Assert.Throws(() => new Fft(minPeriod: 1)); Assert.Equal("minPeriod", ex.ParamName); } [Fact] public void Constructor_MinPeriodZero_ThrowsArgumentException() { var ex = Assert.Throws(() => new Fft(minPeriod: 0)); Assert.Equal("minPeriod", ex.ParamName); } [Fact] public void Constructor_MaxPeriodExceedsHalfWindow_ThrowsArgumentException() { // windowSize=64, half=32, maxPeriod=33 → invalid var ex = Assert.Throws(() => new Fft(windowSize: 64, maxPeriod: 33)); Assert.Equal("maxPeriod", ex.ParamName); } [Fact] public void Constructor_WarmupPeriod_IsWindowSize() { var ind64 = new Fft(windowSize: 64); Assert.Equal(64, ind64.WarmupPeriod); // maxPeriod must be <= windowSize/2; explicit maxPeriod required for windowSize=32 var ind32 = new Fft(windowSize: 32, maxPeriod: 16); Assert.Equal(32, ind32.WarmupPeriod); var ind128 = new Fft(windowSize: 128, maxPeriod: 64); Assert.Equal(128, ind128.WarmupPeriod); } [Fact] public void Constructor_ValidWindowSizes_DoNotThrow() { var ind32 = new Fft(windowSize: 32, maxPeriod: 16); var ind64 = new Fft(windowSize: 64); var ind128 = new Fft(windowSize: 128, maxPeriod: 64); Assert.Equal(32, ind32.WarmupPeriod); Assert.Equal(64, ind64.WarmupPeriod); Assert.Equal(128, ind128.WarmupPeriod); } // ─── B) Basic calculation ───────────────────────────────────────────────── [Fact] public void Update_ReturnsValidTValue() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; var input = new TValue(time, 100.0); var result = indicator.Update(input); Assert.Equal(input.Time, result.Time); Assert.True(double.IsFinite(result.Value)); } [Fact] public void Update_OutputWithinClampRange() { var indicator = new Fft(windowSize: 32, minPeriod: 4, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80001); var bars = gbm.Fetch(windowSize + 20, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < bars.Close.Count; i++) { indicator.Update(bars.Close[i]); if (indicator.IsHot) { double v = indicator.Last.Value; Assert.True(v >= 4.0 && v <= 16.0, $"Output {v} must be within [minPeriod={4}, maxPeriod={16}]"); } } } [Fact] public void Last_IsAccessible_AfterUpdate() { var indicator = new Fft(); var time = DateTime.UtcNow; indicator.Update(new TValue(time, 50.0)); Assert.NotEqual(default, indicator.Last); } [Fact] public void Name_Accessible() { var indicator = new Fft(windowSize: 64, minPeriod: 4, maxPeriod: 32); Assert.NotNull(indicator.Name); Assert.Contains("Fft", indicator.Name, StringComparison.Ordinal); } // ─── C) State + bar correction ──────────────────────────────────────────── [Fact] public void Update_IsNewTrue_AdvancesState() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80002); var bars = gbm.Fetch(windowSize + 5, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < windowSize; i++) { indicator.Update(bars.Close[i]); } double before = indicator.Last.Value; indicator.Update(new TValue(time.AddMinutes(windowSize), 9999.0), true); double after = indicator.Last.Value; Assert.True(double.IsFinite(after)); _ = before; // consumed } [Fact] public void Update_IsNewFalse_RollsBackState() { // Verify that isNew=false rolls back to pre-bar state so the next isNew=true // advances from the same checkpoint, not from the corrected bar. var time = DateTime.UtcNow; int windowSize = 32; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80003); var bars = gbm.Fetch(windowSize + 4, time.Ticks, TimeSpan.FromMinutes(1)); // Reference: straight run through all bars var refInd = new Fft(windowSize: windowSize, maxPeriod: 16); for (int i = 0; i < bars.Close.Count - 2; i++) { refInd.Update(bars.Close[i]); } double refValue = refInd.Last.Value; // Corrected run: same bars but bar N-2 is corrected before committing var corrInd = new Fft(windowSize: windowSize, maxPeriod: 16); for (int i = 0; i < bars.Close.Count - 3; i++) { corrInd.Update(bars.Close[i]); } // Feed penultimate bar as new, then correct it corrInd.Update(new TValue(bars.Close[bars.Close.Count - 3].Time, 9999.0), true); corrInd.Update(bars.Close[bars.Close.Count - 3], false); // Now feed last-but-one bar: should match reference path from same checkpoint corrInd.Update(bars.Close[bars.Close.Count - 2]); Assert.Equal(refValue, corrInd.Last.Value, Tolerance); } [Fact] public void Update_IterativeCorrection_RestoresState() { var time = DateTime.UtcNow; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80004); int count = 50; var bars = gbm.Fetch(count, time.Ticks, TimeSpan.FromMinutes(1)); var straight = new Fft(windowSize: 32, maxPeriod: 16); for (int i = 0; i < bars.Close.Count; i++) { straight.Update(bars.Close[i]); } double finalStraight = straight.Last.Value; var corrected = new Fft(windowSize: 32, maxPeriod: 16); for (int i = 0; i < bars.Close.Count; i++) { corrected.Update(new TValue(bars.Close[i].Time, 999.0), true); corrected.Update(bars.Close[i], false); } Assert.Equal(finalStraight, corrected.Last.Value, Tolerance); } [Fact] public void Reset_ClearsState() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80005); var bars = gbm.Fetch(windowSize, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < bars.Close.Count; i++) { indicator.Update(bars.Close[i]); } Assert.True(indicator.IsHot); indicator.Reset(); Assert.False(indicator.IsHot); Assert.Equal(default, indicator.Last); } // ─── D) Warmup / convergence ────────────────────────────────────────────── [Fact] public void IsHot_FlipsAtWindowSize() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; for (int i = 0; i < windowSize - 1; i++) { indicator.Update(new TValue(time.AddMinutes(i), 100.0 + i)); Assert.False(indicator.IsHot, $"Should not be hot at bar {i + 1}"); } indicator.Update(new TValue(time.AddMinutes(windowSize - 1), 100.0 + windowSize)); Assert.True(indicator.IsHot, "Should be hot after windowSize bars"); } [Fact] public void WarmupPeriod_EqualToWindowSize() { Assert.Equal(32, new Fft(windowSize: 32, maxPeriod: 16).WarmupPeriod); Assert.Equal(64, new Fft(windowSize: 64).WarmupPeriod); Assert.Equal(128, new Fft(windowSize: 128, maxPeriod: 64).WarmupPeriod); } // ─── E) Robustness ──────────────────────────────────────────────────────── [Fact] public void Update_NaN_UsesLastValidValue() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80006); var bars = gbm.Fetch(windowSize, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < windowSize; i++) { indicator.Update(bars.Close[i]); } double before = indicator.Last.Value; indicator.Update(new TValue(time.AddMinutes(windowSize), double.NaN)); Assert.Equal(before, indicator.Last.Value, Tolerance); } [Fact] public void Update_PositiveInfinity_UsesLastValidValue() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80007); var bars = gbm.Fetch(windowSize, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < windowSize; i++) { indicator.Update(bars.Close[i]); } double before = indicator.Last.Value; indicator.Update(new TValue(time.AddMinutes(windowSize), double.PositiveInfinity)); Assert.Equal(before, indicator.Last.Value, Tolerance); } [Fact] public void Update_NegativeInfinity_UsesLastValidValue() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80008); var bars = gbm.Fetch(windowSize, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < windowSize; i++) { indicator.Update(bars.Close[i]); } double before = indicator.Last.Value; indicator.Update(new TValue(time.AddMinutes(windowSize), double.NegativeInfinity)); Assert.Equal(before, indicator.Last.Value, Tolerance); } [Fact] public void Update_BatchNaN_AlwaysFinite() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); var time = DateTime.UtcNow; double[] prices = { 100.0, double.NaN, 102.0, double.NaN, 98.0, 105.0, 103.0, 99.0, 101.0, 104.0, 97.0, 106.0, 108.0 }; for (int i = 0; i < prices.Length; i++) { var result = indicator.Update(new TValue(time.AddMinutes(i), prices[i])); Assert.True(double.IsFinite(result.Value), $"Output must be finite at {i}, got {result.Value}"); } } // ─── F) Consistency: batch == streaming == span == eventing ────────────── [Fact] public void AllModes_ConsistencyCheck() { int windowSize = 32; int count = 80; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80009); var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var source = bars.Close; // Streaming var streaming = new Fft(windowSize, maxPeriod: 16); for (int i = 0; i < source.Count; i++) { streaming.Update(source[i]); } // Batch (TSeries) var batch = Fft.Batch(source, windowSize, maxPeriod: 16); // Span var rawValues = new double[source.Count]; for (int i = 0; i < source.Count; i++) { rawValues[i] = source[i].Value; } var spanOutput = new double[source.Count]; Fft.Batch(rawValues, spanOutput, windowSize, maxPeriod: 16); // Eventing var eventResults = new List(); var eventSource = new TSeries(); var eventIndicator = new Fft(eventSource, windowSize, maxPeriod: 16); eventIndicator.Pub += (object? s, in TValueEventArgs e) => eventResults.Add(e.Value.Value); for (int i = 0; i < source.Count; i++) { eventSource.Add(source[i], true); } double streamingLast = streaming.Last.Value; double batchLast = batch[source.Count - 1].Value; double spanLast = spanOutput[source.Count - 1]; double eventLast = eventResults[^1]; Assert.Equal(streamingLast, batchLast, Tolerance); Assert.Equal(streamingLast, spanLast, Tolerance); Assert.Equal(streamingLast, eventLast, Tolerance); } [Fact] public void Streaming_VsBatch_AllValues_Match() { int count = 80; int windowSize = 32; var gbm = new GBM(startPrice: 50, mu: 0.0, sigma: 0.3, seed: 80010); var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var source = bars.Close; var streaming = new Fft(windowSize, maxPeriod: 16); var streamingVals = new double[count]; for (int i = 0; i < count; i++) { streaming.Update(source[i]); streamingVals[i] = streaming.Last.Value; } var batch = Fft.Batch(source, windowSize, maxPeriod: 16); for (int i = 0; i < count; i++) { Assert.Equal(streamingVals[i], batch[i].Value, Tolerance); } } // ─── G) Span API tests ──────────────────────────────────────────────────── [Fact] public void Batch_Span_EmptySource_ThrowsArgumentException() { var ex = Assert.Throws(() => Fft.Batch([], Array.Empty())); Assert.Equal("src", ex.ParamName); } [Fact] public void Batch_Span_OutputTooShort_ThrowsArgumentException() { double[] src = [1.0, 2.0, 3.0]; double[] dst = new double[2]; var ex = Assert.Throws(() => Fft.Batch(src, dst)); Assert.Equal("output", ex.ParamName); } [Fact] public void Batch_Span_InvalidWindowSize_ThrowsArgumentException() { double[] src = [1.0, 2.0, 3.0]; double[] dst = new double[3]; var ex = Assert.Throws(() => Fft.Batch(src, dst, windowSize: 48)); Assert.Equal("windowSize", ex.ParamName); } [Fact] public void Batch_Span_InvalidMinPeriod_ThrowsArgumentException() { double[] src = [1.0, 2.0, 3.0]; double[] dst = new double[3]; var ex = Assert.Throws(() => Fft.Batch(src, dst, minPeriod: 0)); Assert.Equal("minPeriod", ex.ParamName); } [Fact] public void Batch_Span_InvalidMaxPeriod_ThrowsArgumentException() { double[] src = [1.0, 2.0, 3.0]; double[] dst = new double[3]; var ex = Assert.Throws(() => Fft.Batch(src, dst, windowSize: 32, maxPeriod: 33)); Assert.Equal("maxPeriod", ex.ParamName); } [Fact] public void Batch_Span_OutputWithinClampRange() { int count = 100; int windowSize = 32; int minP = 4; int maxP = 16; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80011); var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); double[] src = new double[count]; for (int i = 0; i < count; i++) { src[i] = bars.Close[i].Value; } double[] dst = new double[count]; Fft.Batch(src, dst, windowSize, minP, maxP); for (int i = windowSize; i < count; i++) { Assert.True(dst[i] >= minP && dst[i] <= maxP, $"Output {dst[i]} out of range [{minP},{maxP}] at index {i}"); } } [Fact] public void Batch_Span_HandlesNaN() { int windowSize = 32; double[] src = new double[windowSize + 5]; for (int i = 0; i < src.Length; i++) { src[i] = 100.0 + i; } src[3] = double.NaN; double[] dst = new double[src.Length]; Fft.Batch(src, dst, windowSize, maxPeriod: 16); foreach (double v in dst) { Assert.True(double.IsFinite(v), $"Span output should always be finite, got {v}"); } } [Fact] public void Batch_Span_NoStackOverflow_LargeWindow() { // windowSize=128: uses ArrayPool (> 64 StackallocThreshold) int count = 300; double[] src = new double[count]; for (int i = 0; i < count; i++) { src[i] = 100.0 + Math.Sin(i * 0.2) * 10.0; } double[] dst = new double[count]; Fft.Batch(src, dst, windowSize: 128, maxPeriod: 64); foreach (double v in dst) { Assert.True(double.IsFinite(v)); } } [Fact] public void Batch_Span_MatchesStreaming() { int count = 60; int windowSize = 32; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.25, seed: 80012); var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); double[] src = new double[count]; for (int i = 0; i < count; i++) { src[i] = bars.Close[i].Value; } double[] spanOut = new double[count]; Fft.Batch(src, spanOut, windowSize, maxPeriod: 16); var streaming = new Fft(windowSize, maxPeriod: 16); for (int i = 0; i < count; i++) { streaming.Update(bars.Close[i]); Assert.Equal(streaming.Last.Value, spanOut[i], Tolerance); } } // ─── H) Chainability ────────────────────────────────────────────────────── [Fact] public void Pub_EventFires() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); int count = 0; indicator.Pub += (object? sender, in TValueEventArgs args) => count++; var time = DateTime.UtcNow; for (int i = 0; i < 5; i++) { indicator.Update(new TValue(time.AddMinutes(i), 100.0 + i)); } Assert.Equal(5, count); } [Fact] public void Chaining_Constructor_Works() { int windowSize = 32; var source = new TSeries(); var indicator = new Fft(source, windowSize, maxPeriod: 16); var time = DateTime.UtcNow; for (int i = 0; i < windowSize; i++) { source.Add(new TValue(time.AddMinutes(i), 100.0 + Math.Sin(i * 0.5) * 5.0), true); } Assert.True(indicator.IsHot); Assert.True(double.IsFinite(indicator.Last.Value)); } [Fact] public void Pub_EventValue_MatchesLast() { var indicator = new Fft(windowSize: 32, maxPeriod: 16); TValue? lastEvent = null; indicator.Pub += (object? s, in TValueEventArgs e) => lastEvent = e.Value; var time = DateTime.UtcNow; int windowSize = indicator.WarmupPeriod; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80013); var bars = gbm.Fetch(windowSize + 2, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < bars.Close.Count; i++) { indicator.Update(bars.Close[i]); } Assert.NotNull(lastEvent); Assert.Equal(indicator.Last.Value, lastEvent.Value.Value, Tolerance); } // ─── Additional: static Calculate method ───────────────────────────────── [Fact] public void Calculate_StaticMethod_ReturnsTuple() { int count = 80; int windowSize = 32; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 80014); var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var (results, instance) = Fft.Calculate(bars.Close, windowSize, maxPeriod: 16); Assert.Equal(count, results.Count); Assert.Equal(results[^1].Value, instance.Last.Value, Tolerance); } // ─── FFT-specific: sinusoidal period detection ──────────────────────────── [Fact] public void Fft_SinusoidalInput_DetectsApproximatePeriod() { // Pure sinusoid at period 16 bars; N=64, minP=4, maxP=32 // DFT bin k=4 corresponds to period 64/4=16 → should detect near 16 int period = 16; int windowSize = 64; var indicator = new Fft(windowSize, minPeriod: 4, maxPeriod: 32); var time = DateTime.UtcNow; // Feed 3x the window size to ensure convergence for (int i = 0; i < windowSize * 3; i++) { double signal = 50.0 + 10.0 * Math.Sin(2.0 * Math.PI * i / period); indicator.Update(new TValue(time.AddMinutes(i), signal), true); } Assert.True(indicator.IsHot); double detected = indicator.Last.Value; // Allow ±3 bars tolerance as specified Assert.True(Math.Abs(detected - period) <= 3.0, $"Detected period {detected:F2} should be within 3 bars of {period}"); } [Fact] public void Fft_OutputAlwaysClamped() { var indicator = new Fft(windowSize: 32, minPeriod: 4, maxPeriod: 16); var time = DateTime.UtcNow; var gbm = new GBM(startPrice: 100, mu: 0.0, sigma: 0.5, seed: 80015); var bars = gbm.Fetch(200, time.Ticks, TimeSpan.FromMinutes(1)); for (int i = 0; i < bars.Close.Count; i++) { indicator.Update(bars.Close[i]); if (indicator.IsHot) { double v = indicator.Last.Value; Assert.True(v >= 4.0, $"Output {v} below minPeriod=4"); Assert.True(v <= 16.0, $"Output {v} above maxPeriod=16"); } } } }