// HIGHEST: Rolling Maximum - Maximum value over lookback window // Uses RingBuffer's SIMD-accelerated Max() for efficient computation using System.Runtime.CompilerServices; namespace QuanTAlib; /// /// HIGHEST: Rolling Maximum /// Calculates the maximum value over a specified lookback period. /// Uses RingBuffer's SIMD-accelerated Max() method. /// /// /// Key properties: /// - Returns the highest value within the lookback window /// - Useful for resistance levels, breakout detection, normalization /// - Can be validated against TA-Lib MAX function /// [SkipLocalsInit] public sealed class Highest : AbstractBase { private readonly int _period; private readonly RingBuffer _buffer; private record struct State(double LastValid); private State _state, _p_state; public override bool IsHot => _buffer.Count >= _period; /// /// Initializes a new Highest indicator with specified lookback period. /// /// Lookback window size (must be >= 1) public Highest(int period) { if (period < 1) { throw new ArgumentException("Period must be >= 1", nameof(period)); } _period = period; _buffer = new RingBuffer(period); Name = $"Highest({period})"; WarmupPeriod = period; } /// /// Initializes a new Highest indicator with source for event-based chaining. /// /// Source indicator for chaining /// Lookback window size public Highest(ITValuePublisher source, int period) : this(period) { source.Pub += HandleUpdate; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { if (isNew) { _p_state = _state; } else { _state = _p_state; } double value = double.IsFinite(input.Value) ? input.Value : _state.LastValid; _state = new State(value); _buffer.Add(value, isNew); double result = _buffer.Max(); Last = new TValue(input.Time, result); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { var result = new TSeries(source.Count); ReadOnlySpan values = source.Values; ReadOnlySpan times = source.Times; for (int i = 0; i < source.Count; i++) { var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true); result.Add(tv, true); } return result; } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { TimeSpan interval = step ?? TimeSpan.FromSeconds(1); DateTime time = DateTime.UtcNow - (interval * source.Length); for (int i = 0; i < source.Length; i++) { Update(input: new TValue(time, source[i]), isNew: true); time += interval; } } public static TSeries Batch(TSeries source, int period) { var indicator = new Highest(period); return indicator.Update(source); } /// /// Calculates rolling maximum over a span of values. /// public static void Batch(ReadOnlySpan source, Span output, int period) { if (source.Length == 0) { throw new ArgumentException("Source cannot be empty", nameof(source)); } if (output.Length < source.Length) { throw new ArgumentException("Output length must be >= source length", nameof(output)); } if (period < 1) { throw new ArgumentException("Period must be >= 1", nameof(period)); } int len = source.Length; // Use monotonic deque algorithm - allocate on heap for large periods to avoid stack overflow int[]? rentedDeque = null; double[]? rentedValues = null; #pragma warning disable S1121 // Assignments should not be made from within sub-expressions Span deque = period <= 256 ? stackalloc int[period] : (rentedDeque = System.Buffers.ArrayPool.Shared.Rent(period)).AsSpan(0, period); // Need separate buffer for corrected values since output will hold results Span values = len <= 256 ? stackalloc double[len] : (rentedValues = System.Buffers.ArrayPool.Shared.Rent(len)).AsSpan(0, len); #pragma warning restore S1121 try { // First pass: store corrected values double lastValid = 0.0; for (int i = 0; i < len; i++) { double val = source[i]; if (double.IsFinite(val)) { lastValid = val; values[i] = val; } else { values[i] = lastValid; } } // Second pass: compute rolling max using corrected values // Use circular buffer indexing to avoid compaction overhead // Branch-based wrapping is faster than modulo in hot paths int head = 0; // front of deque (oldest/max) int tail = 0; // back of deque (newest) int count = 0; // number of elements in deque int capacity = deque.Length; for (int i = 0; i < len; i++) { double value = values[i]; // Remove indices outside window from front while (count > 0 && deque[head] <= i - period) { head++; if (head >= capacity) { head -= capacity; } count--; } // Remove smaller values from back while (count > 0) { int backIdx = tail - 1; if (backIdx < 0) { backIdx += capacity; } if (values[deque[backIdx]] <= value) { tail = backIdx; count--; } else { break; } } // Add current index at tail deque[tail] = i; tail++; if (tail >= capacity) { tail -= capacity; } count++; output[i] = values[deque[head]]; } } finally { if (rentedDeque != null) { System.Buffers.ArrayPool.Shared.Return(rentedDeque); } if (rentedValues != null) { System.Buffers.ArrayPool.Shared.Return(rentedValues); } } } public static (TSeries Results, Highest Indicator) Calculate(TSeries source, int period) { var indicator = new Highest(period); TSeries results = indicator.Update(source); return (results, indicator); } public override void Reset() { _buffer.Clear(); _state = default; _p_state = default; Last = default; } }