// PIVOT Tests - Classic Pivot Points (Floor Trader Pivots) namespace QuanTAlib.Tests; // -- A) Constructor Validation ------------------------------------------------ public sealed class PivotConstructorTests { [Fact] public void Constructor_Default_SetsProperties() { var p = new Pivot(); Assert.Equal(2, p.WarmupPeriod); Assert.Contains("Pivot", p.Name, StringComparison.Ordinal); Assert.False(p.IsHot); } [Fact] public void Constructor_InitialState_AllNaN() { var p = new Pivot(); Assert.True(double.IsNaN(p.PP)); Assert.True(double.IsNaN(p.R1)); Assert.True(double.IsNaN(p.R2)); Assert.True(double.IsNaN(p.R3)); Assert.True(double.IsNaN(p.S1)); Assert.True(double.IsNaN(p.S2)); Assert.True(double.IsNaN(p.S3)); } } // -- B) Basic Calculation ----------------------------------------------------- public sealed class PivotBasicTests { [Fact] public void Update_ReturnsTValue() { var p = new Pivot(); var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); TValue result = p.Update(bar); Assert.IsType(result); } [Fact] public void Update_Last_IsAccessible() { var p = new Pivot(); var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); _ = p.Update(bar); Assert.True(double.IsFinite(p.Last.Value) || double.IsNaN(p.Last.Value)); } [Fact] public void Update_KnownValues_CorrectPivotLevels() { // Given previous bar H=110, L=90, C=100 // PP = (110+90+100)/3 = 100 // R1 = 2*100-90 = 110, S1 = 2*100-110 = 90 // R2 = 100+(110-90) = 120, S2 = 100-(110-90) = 80 // R3 = 110+2*(100-90) = 130, S3 = 90-2*(110-100) = 70 var p = new Pivot(); var dt = DateTime.UtcNow; // First bar: stores HLC, no output yet _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); Assert.True(double.IsNaN(p.PP)); // Second bar: computes from first bar's HLC _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); Assert.Equal(100.0, p.PP, precision: 10); Assert.Equal(110.0, p.R1, precision: 10); Assert.Equal(90.0, p.S1, precision: 10); Assert.Equal(120.0, p.R2, precision: 10); Assert.Equal(80.0, p.S2, precision: 10); Assert.Equal(130.0, p.R3, precision: 10); Assert.Equal(70.0, p.S3, precision: 10); } [Fact] public void Update_SecondKnownValues_CorrectPivotLevels() { // Given previous bar H=120, L=100, C=115 // PP = (120+100+115)/3 = 111.666... // R1 = 2*111.666... - 100 = 123.333... // S1 = 2*111.666... - 120 = 103.333... // R2 = 111.666... + 20 = 131.666... // S2 = 111.666... - 20 = 91.666... // R3 = 120 + 2*(111.666...-100) = 143.333... // S3 = 100 - 2*(120-111.666...) = 83.333... var p = new Pivot(); var dt = DateTime.UtcNow; _ = p.Update(new TBar(dt, 110, 120, 100, 115, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 115, 125, 105, 120, 1000), isNew: true); double expectedPP = (120.0 + 100.0 + 115.0) / 3.0; Assert.Equal(expectedPP, p.PP, precision: 10); Assert.Equal(2.0 * expectedPP - 100.0, p.R1, precision: 10); Assert.Equal(2.0 * expectedPP - 120.0, p.S1, precision: 10); Assert.Equal(expectedPP + 20.0, p.R2, precision: 10); Assert.Equal(expectedPP - 20.0, p.S2, precision: 10); Assert.Equal(120.0 + 2.0 * (expectedPP - 100.0), p.R3, precision: 10); Assert.Equal(100.0 - 2.0 * (120.0 - expectedPP), p.S3, precision: 10); } [Fact] public void Update_LevelsHaveCorrectOrdering() { // For any normal bar, S3 < S2 < S1 < PP < R1 < R2 < R3 var p = new Pivot(); var dt = DateTime.UtcNow; _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); Assert.True(p.S3 < p.S2); Assert.True(p.S2 < p.S1); Assert.True(p.S1 < p.PP); Assert.True(p.PP < p.R1); Assert.True(p.R1 < p.R2); Assert.True(p.R2 < p.R3); } [Fact] public void Name_ContainsPivot() { var p = new Pivot(); Assert.Contains("Pivot", p.Name, StringComparison.Ordinal); } } // -- C) State + Bar Correction ------------------------------------------------ public sealed class PivotStateCorrectionTests { [Fact] public void IsNew_True_AdvancesState() { var p = new Pivot(); _ = p.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000), isNew: true); var first = p.Last; _ = p.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); var second = p.Last; Assert.NotEqual(first.Time, second.Time); } [Fact] public void IsNew_False_CorrectionRestoresState() { var p = new Pivot(); var dt = DateTime.UtcNow; // Two bars: first stores HLC, second computes _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); double ppBefore = p.PP; // Correct the second bar (isNew=false) _ = p.Update(new TBar(dt.AddMinutes(1), 108, 118, 92, 108, 1000), isNew: false); // PP should still be based on bar 0's HLC (H=110, L=90, C=100) // since isNew=false doesn't change the "previous" bar Assert.Equal(ppBefore, p.PP, precision: 10); } [Fact] public void IterativeCorrections_ProduceSameResult() { var p = new Pivot(); var dt = DateTime.UtcNow; _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); double[] ppResults = new double[3]; for (int i = 0; i < 3; i++) { _ = p.Update(new TBar(dt.AddMinutes(1), 108, 120, 88, 110, 1000), isNew: false); ppResults[i] = p.PP; } Assert.Equal(ppResults[0], ppResults[1]); Assert.Equal(ppResults[1], ppResults[2]); } [Fact] public void IsNew_False_AllLevelsStable() { var p = new Pivot(); var dt = DateTime.UtcNow; _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 108, 120, 88, 110, 1000), isNew: false); double r1a = p.R1, s1a = p.S1, r2a = p.R2, s2a = p.S2, r3a = p.R3, s3a = p.S3; _ = p.Update(new TBar(dt.AddMinutes(1), 108, 120, 88, 110, 1000), isNew: false); Assert.Equal(r1a, p.R1); Assert.Equal(s1a, p.S1); Assert.Equal(r2a, p.R2); Assert.Equal(s2a, p.S2); Assert.Equal(r3a, p.R3); Assert.Equal(s3a, p.S3); } [Fact] public void Reset_ClearsAllState() { var p = new Pivot(); var dt = DateTime.UtcNow; for (int i = 0; i < 10; i++) { double price = 100.0 + i; _ = p.Update(new TBar(dt.AddMinutes(i), price, price + 5, price - 5, price + 1, 1000)); } Assert.True(p.IsHot); p.Reset(); Assert.False(p.IsHot); Assert.True(double.IsNaN(p.PP)); Assert.True(double.IsNaN(p.R1)); Assert.True(double.IsNaN(p.R2)); Assert.True(double.IsNaN(p.R3)); Assert.True(double.IsNaN(p.S1)); Assert.True(double.IsNaN(p.S2)); Assert.True(double.IsNaN(p.S3)); } } // -- D) Warmup / Convergence -------------------------------------------------- public sealed class PivotWarmupTests { [Fact] public void IsHot_FlipsAfterWarmup() { var p = new Pivot(); // First bar - not hot _ = p.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000)); Assert.False(p.IsHot, "Should not be hot after 1 bar"); // Second bar - should be hot _ = p.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 105, 115, 95, 105, 1000)); Assert.True(p.IsHot, "Should be hot after 2 bars"); } [Fact] public void WarmupPeriod_Equals2() { var p = new Pivot(); Assert.Equal(2, p.WarmupPeriod); } } // -- E) Robustness ------------------------------------------------------------ public sealed class PivotRobustnessTests { [Fact] public void NaN_Input_UsesLastValidValue() { var p = new Pivot(); var dt = DateTime.UtcNow; // Feed valid bars _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); Assert.True(p.IsHot); // Feed NaN bar _ = p.Update(new TBar(dt.AddMinutes(2), double.NaN, double.NaN, double.NaN, double.NaN, 0), isNew: true); // Should still be hot and produce valid pivots from last-valid values Assert.True(p.IsHot); Assert.True(double.IsFinite(p.PP)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var p = new Pivot(); var dt = DateTime.UtcNow; _ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true); _ = p.Update(new TBar(dt.AddMinutes(2), double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, 0), isNew: true); Assert.True(p.IsHot); Assert.True(double.IsFinite(p.PP)); } [Fact] public void FirstBar_NaN_ReturnsNaN() { var p = new Pivot(); _ = p.Update(new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 0)); Assert.True(double.IsNaN(p.Last.Value)); Assert.True(double.IsNaN(p.PP)); } } // -- F) Consistency ----------------------------------------------------------- public sealed class PivotConsistencyTests { private static TBarSeries CreateGbmBars(int count = 500) { var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42); return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); } [Fact] public void Streaming_MatchesBatch() { var bars = CreateGbmBars(); // Streaming var streaming = new Pivot(); var streamPP = new double[bars.Count]; for (int i = 0; i < bars.Count; i++) { _ = streaming.Update(bars[i], isNew: true); streamPP[i] = streaming.PP; } // Batch var batchResults = Pivot.Batch(bars); for (int i = 1; i < bars.Count; i++) { if (double.IsNaN(streamPP[i])) { Assert.True(double.IsNaN(batchResults[i].Value), $"Mismatch at {i}"); } else { Assert.Equal(streamPP[i], batchResults[i].Value, precision: 10); } } } [Fact] public void Streaming_MatchesSpan() { var bars = CreateGbmBars(); // Streaming var streaming = new Pivot(); var streamPP = new double[bars.Count]; for (int i = 0; i < bars.Count; i++) { _ = streaming.Update(bars[i], isNew: true); streamPP[i] = streaming.PP; } // Span var spanPP = new double[bars.Count]; Pivot.Batch(bars.HighValues, bars.LowValues, bars.CloseValues, spanPP); for (int i = 1; i < bars.Count; i++) { if (double.IsNaN(streamPP[i])) { Assert.True(double.IsNaN(spanPP[i]), $"PP mismatch at {i}"); } else { Assert.Equal(streamPP[i], spanPP[i], precision: 10); } } } [Fact] public void Streaming_MatchesBatchAll_AllLevels() { var bars = CreateGbmBars(count: 200); // Streaming var streaming = new Pivot(); var sPP = new double[bars.Count]; var sR1 = new double[bars.Count]; var sS1 = new double[bars.Count]; var sR2 = new double[bars.Count]; var sS2 = new double[bars.Count]; var sR3 = new double[bars.Count]; var sS3 = new double[bars.Count]; for (int i = 0; i < bars.Count; i++) { _ = streaming.Update(bars[i], isNew: true); sPP[i] = streaming.PP; sR1[i] = streaming.R1; sS1[i] = streaming.S1; sR2[i] = streaming.R2; sS2[i] = streaming.S2; sR3[i] = streaming.R3; sS3[i] = streaming.S3; } // BatchAll var bPP = new double[bars.Count]; var bR1 = new double[bars.Count]; var bS1 = new double[bars.Count]; var bR2 = new double[bars.Count]; var bS2 = new double[bars.Count]; var bR3 = new double[bars.Count]; var bS3 = new double[bars.Count]; Pivot.BatchAll(bars.HighValues, bars.LowValues, bars.CloseValues, bPP, bR1, bS1, bR2, bS2, bR3, bS3); for (int i = 1; i < bars.Count; i++) { if (double.IsNaN(sPP[i])) { Assert.True(double.IsNaN(bPP[i])); continue; } Assert.Equal(sPP[i], bPP[i], precision: 10); Assert.Equal(sR1[i], bR1[i], precision: 10); Assert.Equal(sS1[i], bS1[i], precision: 10); Assert.Equal(sR2[i], bR2[i], precision: 10); Assert.Equal(sS2[i], bS2[i], precision: 10); Assert.Equal(sR3[i], bR3[i], precision: 10); Assert.Equal(sS3[i], bS3[i], precision: 10); } } [Fact] public void TValue_Update_MatchesTBar_Update() { var p1 = new Pivot(); var p2 = new Pivot(); double[] prices = [100, 102, 98, 105, 99, 103, 107, 95, 110, 108]; for (int i = 0; i < prices.Length; i++) { double pr = prices[i]; _ = p1.Update(new TBar(DateTime.UtcNow.AddMinutes(i), pr, pr, pr, pr, 0), isNew: true); _ = p2.Update(new TValue(DateTime.UtcNow.AddMinutes(i), pr), isNew: true); } Assert.Equal(p1.PP, p2.PP); Assert.Equal(p1.R1, p2.R1); Assert.Equal(p1.S1, p2.S1); } } // -- G) Span API Tests -------------------------------------------------------- public sealed class PivotSpanTests { [Fact] public void Batch_Span_MismatchedLengths_Throws() { var ex = Assert.Throws(() => Pivot.Batch(new double[10], new double[5], new double[10], new double[10])); Assert.Equal("high", ex.ParamName); } [Fact] public void Batch_Span_OutputTooShort_Throws() { var ex = Assert.Throws(() => Pivot.Batch(new double[10], new double[10], new double[10], new double[5])); Assert.Equal("ppOutput", ex.ParamName); } [Fact] public void Batch_Span_Empty_NoException() { var ex = Record.Exception(() => Pivot.Batch(ReadOnlySpan.Empty, ReadOnlySpan.Empty, ReadOnlySpan.Empty, Span.Empty)); Assert.Null(ex); } [Fact] public void BatchAll_OutputTooShort_Throws() { var ex = Assert.Throws(() => Pivot.BatchAll(new double[10], new double[10], new double[10], new double[10], new double[5], new double[10], new double[10], new double[10], new double[10], new double[10])); Assert.Equal("r1Out", ex.ParamName); } } // -- H) Event / Chainability ------------------------------------------------- public sealed class PivotEventTests { [Fact] public void Pub_FiresOnUpdate() { var p = new Pivot(); int fireCount = 0; p.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; }; _ = p.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000)); Assert.Equal(1, fireCount); } [Fact] public void Pub_FiresOnEachUpdate() { var p = new Pivot(); int fireCount = 0; p.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; }; for (int i = 0; i < 5; i++) { double price = 100.0 + i; _ = p.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 5, price - 5, price + 1, 1000)); } Assert.Equal(5, fireCount); } } // -- I) Prime Tests ----------------------------------------------------------- public sealed class PivotPrimeTests { [Fact] public void Prime_TBarSeries_SetsState() { var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var p = new Pivot(); p.Prime(bars); Assert.True(p.IsHot); } [Fact] public void Prime_EmptySource_NoException() { var p = new Pivot(); var bars = new TBarSeries(); var ex = Record.Exception(() => p.Prime(bars)); Assert.Null(ex); Assert.False(p.IsHot); } }