using System.Buffers;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
///
/// GATOR: Williams Gator Oscillator
/// Dual-histogram oscillator derived from three SMMA (Wilder's RMA) lines of the
/// Williams Alligator. Upper histogram = |Jaw_shifted − Teeth_shifted| (always ≥ 0).
/// Lower histogram = −|Teeth_shifted − Lips_shifted| (always ≤ 0).
/// Primary output (Val) = Upper histogram.
///
///
/// Calculation steps:
///
/// - SMMA_jaw = RMA(input, jawPeriod); shifted forward jawShift bars
/// - SMMA_teeth = RMA(input, teethPeriod); shifted forward teethShift bars
/// - SMMA_lips = RMA(input, lipsPeriod); shifted forward lipsShift bars
/// - Upper = |SMMA_jaw[jawShift] − SMMA_teeth[teethShift]|
/// - Lower = −|SMMA_teeth[teethShift] − SMMA_lips[lipsShift]|
///
///
/// Sources:
/// Bill Williams, "New Trading Dimensions", Wiley, 1998
///
/// Detailed documentation
[SkipLocalsInit]
public sealed class Gator : AbstractBase
{
private readonly int _jawPeriod;
private readonly int _jawShift;
private readonly int _teethPeriod;
private readonly int _teethShift;
private readonly int _lipsPeriod;
private readonly int _lipsShift;
private readonly double _jawAlpha;
private readonly double _jawDecay;
private readonly double _teethAlpha;
private readonly double _teethDecay;
private readonly double _lipsAlpha;
private readonly double _lipsDecay;
// Ring buffers to store shifted SMMA values (size = shift + 1)
private readonly RingBuffer _jawHistory;
private readonly RingBuffer _teethHistory;
private readonly RingBuffer _lipsHistory;
[StructLayout(LayoutKind.Auto)]
private record struct State(
double JawSmma,
double TeethSmma,
double LipsSmma,
double LastValidValue,
double LowerValue,
int Count
);
private State _s;
private State _ps;
///
/// Lower histogram value from the most recent calculation.
/// Always ≤ 0 (negated absolute difference between Teeth and Lips).
///
public double Lower => _s.LowerValue;
///
/// Creates GATOR with specified Alligator parameters.
///
/// Jaw SMMA period (must be ≥ 1, default 13)
/// Jaw forward shift (must be ≥ 0, default 8)
/// Teeth SMMA period (must be ≥ 1, default 8)
/// Teeth forward shift (must be ≥ 0, default 5)
/// Lips SMMA period (must be ≥ 1, default 5)
/// Lips forward shift (must be ≥ 0, default 3)
public Gator(int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5, int lipsPeriod = 5, int lipsShift = 3)
{
if (jawPeriod < 1)
{
throw new ArgumentException("Jaw period must be greater than or equal to 1", nameof(jawPeriod));
}
if (teethPeriod < 1)
{
throw new ArgumentException("Teeth period must be greater than or equal to 1", nameof(teethPeriod));
}
if (lipsPeriod < 1)
{
throw new ArgumentException("Lips period must be greater than or equal to 1", nameof(lipsPeriod));
}
if (jawShift < 0)
{
throw new ArgumentException("Jaw shift must be non-negative", nameof(jawShift));
}
if (teethShift < 0)
{
throw new ArgumentException("Teeth shift must be non-negative", nameof(teethShift));
}
if (lipsShift < 0)
{
throw new ArgumentException("Lips shift must be non-negative", nameof(lipsShift));
}
_jawPeriod = jawPeriod;
_jawShift = jawShift;
_teethPeriod = teethPeriod;
_teethShift = teethShift;
_lipsPeriod = lipsPeriod;
_lipsShift = lipsShift;
_jawAlpha = 1.0 / jawPeriod;
_jawDecay = 1.0 - _jawAlpha;
_teethAlpha = 1.0 / teethPeriod;
_teethDecay = 1.0 - _teethAlpha;
_lipsAlpha = 1.0 / lipsPeriod;
_lipsDecay = 1.0 - _lipsAlpha;
// Ring buffers: need shift+1 slots to store current + shifted history
_jawHistory = new RingBuffer(jawShift + 1);
_teethHistory = new RingBuffer(teethShift + 1);
_lipsHistory = new RingBuffer(lipsShift + 1);
Name = $"Gator({jawPeriod},{teethPeriod},{lipsPeriod})";
// Warmup = max(jawPeriod + jawShift, teethPeriod + teethShift, lipsPeriod + lipsShift)
WarmupPeriod = Math.Max(jawPeriod + jawShift, Math.Max(teethPeriod + teethShift, lipsPeriod + lipsShift));
_s = new State(0, 0, 0, 0, 0, 0);
_ps = _s;
}
///
/// Creates GATOR with specified source and parameters.
///
public Gator(ITValuePublisher source, int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5, int lipsPeriod = 5, int lipsShift = 3)
: this(jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift)
{
source.Pub += Handle;
}
private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
///
/// True when all three shift buffers are full (enough shifted history).
///
public override bool IsHot => _jawHistory.IsFull && _teethHistory.IsFull && _lipsHistory.IsFull;
///
/// Updates the indicator with a single TValue input.
/// Uses DPO-proven Snapshot/Restore pattern for bar correction.
///
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override TValue Update(TValue input, bool isNew = true)
{
// NaN/Infinity handling: last-valid substitution (before branching)
double val = input.Value;
if (!double.IsFinite(val))
{
val = _s.LastValidValue;
}
if (isNew)
{
// skipcq:CS-R1140 - DPO pattern: save state, snapshot buffers, compute, add
_ps = _s;
_jawHistory.Snapshot();
_teethHistory.Snapshot();
_lipsHistory.Snapshot();
var s = _s;
if (double.IsFinite(input.Value))
{
s.LastValidValue = val;
}
s.Count++;
ComputeSmma(ref s, val);
_jawHistory.Add(s.JawSmma <= 0 && s.Count <= 1 ? val : s.JawSmma);
_teethHistory.Add(s.TeethSmma <= 0 && s.Count <= 1 ? val : s.TeethSmma);
_lipsHistory.Add(s.LipsSmma <= 0 && s.Count <= 1 ? val : s.LipsSmma);
_s = s;
}
else
{
// skipcq:CS-R1140 - Mirror isNew=true: restore state, restore buffers, recompute, re-add
_s = _ps;
_jawHistory.Restore();
_teethHistory.Restore();
_lipsHistory.Restore();
var s = _s;
if (double.IsFinite(input.Value))
{
s.LastValidValue = val;
}
s.Count++;
ComputeSmma(ref s, val);
_jawHistory.Add(s.JawSmma <= 0 && s.Count <= 1 ? val : s.JawSmma);
_teethHistory.Add(s.TeethSmma <= 0 && s.Count <= 1 ? val : s.TeethSmma);
_lipsHistory.Add(s.LipsSmma <= 0 && s.Count <= 1 ? val : s.LipsSmma);
_s = s;
}
// Calculate histogram values using shifted (oldest) values from buffers
double upper;
double lower;
if (_jawHistory.IsFull && _teethHistory.IsFull && _lipsHistory.IsFull)
{
double jawShifted = _jawHistory.Oldest;
double teethShifted = _teethHistory.Oldest;
double lipsShifted = _lipsHistory.Oldest;
upper = Math.Abs(jawShifted - teethShifted);
lower = -Math.Abs(teethShifted - lipsShifted);
}
else
{
upper = 0.0;
lower = 0.0;
}
_s.LowerValue = lower;
Last = new TValue(input.Time, upper);
PubEvent(Last, isNew);
return Last;
}
public override TSeries Update(TSeries source)
{
if (source.Count == 0)
{
return [];
}
int len = source.Count;
var t = new List(len);
var v = new List(len);
CollectionsMarshal.SetCount(t, len);
CollectionsMarshal.SetCount(v, len);
var tSpan = CollectionsMarshal.AsSpan(t);
var vSpan = CollectionsMarshal.AsSpan(v);
Batch(source.Values, vSpan, _jawPeriod, _jawShift, _teethPeriod, _teethShift, _lipsPeriod, _lipsShift);
source.Times.CopyTo(tSpan);
// Prime internal state by replaying
Prime(source.Values);
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
}
public override void Prime(ReadOnlySpan source, TimeSpan? step = null)
{
if (source.Length == 0)
{
return;
}
_jawHistory.Clear();
_teethHistory.Clear();
_lipsHistory.Clear();
_s = default;
_ps = default;
int warmupLength = Math.Min(source.Length, WarmupPeriod + 10);
int startIndex = source.Length - warmupLength;
// Find a valid seed value for last-valid tracking
_s.LastValidValue = 0;
for (int i = startIndex - 1; i >= 0; i--)
{
if (double.IsFinite(source[i]))
{
_s.LastValidValue = source[i];
break;
}
}
if (_s.LastValidValue == 0)
{
for (int i = startIndex; i < source.Length; i++)
{
if (double.IsFinite(source[i]))
{
_s.LastValidValue = source[i];
break;
}
}
}
for (int i = startIndex; i < source.Length; i++)
{
Update(new TValue(DateTime.MinValue, source[i]), isNew: true);
}
// After priming, sync saved state so first isNew=false works
_ps = _s;
_jawHistory.Snapshot();
_teethHistory.Snapshot();
_lipsHistory.Snapshot();
}
///
/// Calculates GATOR for the entire series using a new instance.
///
public static TSeries Batch(TSeries source, int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5, int lipsPeriod = 5, int lipsShift = 3)
{
var gator = new Gator(jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift);
return gator.Update(source);
}
///
/// Span-based batch calculation. Outputs upper histogram values.
/// Zero-allocation method for maximum performance.
///
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(ReadOnlySpan source, Span output,
int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5,
int lipsPeriod = 5, int lipsShift = 3)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (jawPeriod < 1)
{
throw new ArgumentException("Jaw period must be greater than or equal to 1", nameof(jawPeriod));
}
if (teethPeriod < 1)
{
throw new ArgumentException("Teeth period must be greater than or equal to 1", nameof(teethPeriod));
}
if (lipsPeriod < 1)
{
throw new ArgumentException("Lips period must be greater than or equal to 1", nameof(lipsPeriod));
}
if (jawShift < 0)
{
throw new ArgumentException("Jaw shift must be non-negative", nameof(jawShift));
}
if (teethShift < 0)
{
throw new ArgumentException("Teeth shift must be non-negative", nameof(teethShift));
}
if (lipsShift < 0)
{
throw new ArgumentException("Lips shift must be non-negative", nameof(lipsShift));
}
int len = source.Length;
if (len == 0)
{
return;
}
CalculateScalarCore(source, output, jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift);
}
///
/// Calculates GATOR and returns both results and the indicator instance.
///
public static (TSeries Results, Gator Indicator) Calculate(TSeries source,
int jawPeriod = 13, int jawShift = 8, int teethPeriod = 8, int teethShift = 5,
int lipsPeriod = 5, int lipsShift = 3)
{
var indicator = new Gator(jawPeriod, jawShift, teethPeriod, teethShift, lipsPeriod, lipsShift);
TSeries results = indicator.Update(source);
return (results, indicator);
}
// ---- Private implementation ----
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void ComputeSmma(ref State s, double val)
{
if (s.Count <= 1)
{
// Seed: first value initializes all SMMAs
s.JawSmma = val;
s.TeethSmma = val;
s.LipsSmma = val;
}
else
{
// SMMA: alpha * input + (1-alpha) * prevSmma = FMA(prevSmma, decay, alpha * input)
s.JawSmma = Math.FusedMultiplyAdd(s.JawSmma, _jawDecay, _jawAlpha * val);
s.TeethSmma = Math.FusedMultiplyAdd(s.TeethSmma, _teethDecay, _teethAlpha * val);
s.LipsSmma = Math.FusedMultiplyAdd(s.LipsSmma, _lipsDecay, _lipsAlpha * val);
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void CalculateScalarCore(ReadOnlySpan source, Span output,
int jawPeriod, int jawShift, int teethPeriod, int teethShift, int lipsPeriod, int lipsShift)
{
int len = source.Length;
double jawAlpha = 1.0 / jawPeriod;
double jawDecay = 1.0 - jawAlpha;
double teethAlpha = 1.0 / teethPeriod;
double teethDecay = 1.0 - teethAlpha;
double lipsAlpha = 1.0 / lipsPeriod;
double lipsDecay = 1.0 - lipsAlpha;
int jawBufSize = jawShift + 1;
int teethBufSize = teethShift + 1;
int lipsBufSize = lipsShift + 1;
const int StackAllocThreshold = 256;
double[]? rentedJaw = jawBufSize > StackAllocThreshold ? ArrayPool.Shared.Rent(jawBufSize) : null;
Span jawBuf = rentedJaw != null
? rentedJaw.AsSpan(0, jawBufSize)
: stackalloc double[jawBufSize];
double[]? rentedTeeth = teethBufSize > StackAllocThreshold ? ArrayPool.Shared.Rent(teethBufSize) : null;
Span teethBuf = rentedTeeth != null
? rentedTeeth.AsSpan(0, teethBufSize)
: stackalloc double[teethBufSize];
double[]? rentedLips = lipsBufSize > StackAllocThreshold ? ArrayPool.Shared.Rent(lipsBufSize) : null;
Span lipsBuf = rentedLips != null
? rentedLips.AsSpan(0, lipsBufSize)
: stackalloc double[lipsBufSize];
try
{
double lastValid = 0;
double jawSmma = 0;
double teethSmma = 0;
double lipsSmma = 0;
int jawIdx = 0;
int teethIdx = 0;
int lipsIdx = 0;
int jawFilled = 0;
int teethFilled = 0;
int lipsFilled = 0;
bool seeded = false;
for (int k = 0; k < len; k++)
{
if (double.IsFinite(source[k]))
{
lastValid = source[k];
break;
}
}
for (int i = 0; i < len; i++)
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
double jawVal;
double teethVal;
double lipsVal;
if (!seeded)
{
jawSmma = val;
teethSmma = val;
lipsSmma = val;
seeded = true;
jawVal = val;
teethVal = val;
lipsVal = val;
}
else
{
jawSmma = Math.FusedMultiplyAdd(jawSmma, jawDecay, jawAlpha * val);
teethSmma = Math.FusedMultiplyAdd(teethSmma, teethDecay, teethAlpha * val);
lipsSmma = Math.FusedMultiplyAdd(lipsSmma, lipsDecay, lipsAlpha * val);
jawVal = jawSmma;
teethVal = teethSmma;
lipsVal = lipsSmma;
}
jawBuf[jawIdx] = jawVal;
if (jawFilled < jawBufSize)
{
jawFilled++;
}
jawIdx++;
if (jawIdx >= jawBufSize)
{
jawIdx = 0;
}
teethBuf[teethIdx] = teethVal;
if (teethFilled < teethBufSize)
{
teethFilled++;
}
teethIdx++;
if (teethIdx >= teethBufSize)
{
teethIdx = 0;
}
lipsBuf[lipsIdx] = lipsVal;
if (lipsFilled < lipsBufSize)
{
lipsFilled++;
}
lipsIdx++;
if (lipsIdx >= lipsBufSize)
{
lipsIdx = 0;
}
if (jawFilled >= jawBufSize && teethFilled >= teethBufSize && lipsFilled >= lipsBufSize)
{
double jawShifted = jawBuf[jawIdx % jawBufSize];
double teethShifted = teethBuf[teethIdx % teethBufSize];
output[i] = Math.Abs(jawShifted - teethShifted);
}
else
{
output[i] = 0.0;
}
}
}
finally
{
if (rentedJaw != null)
{
ArrayPool.Shared.Return(rentedJaw);
}
if (rentedTeeth != null)
{
ArrayPool.Shared.Return(rentedTeeth);
}
if (rentedLips != null)
{
ArrayPool.Shared.Return(rentedLips);
}
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Reset()
{
_jawHistory.Clear();
_teethHistory.Clear();
_lipsHistory.Clear();
_s = new State(0, 0, 0, 0, 0, 0);
_ps = _s;
Last = default;
}
}