using System.Buffers; using System.Runtime.CompilerServices; using System.Runtime.InteropServices; namespace QuanTAlib; /// /// Trim: Rolling Trimmed Mean Moving Average /// /// /// Sorts the lookback window, discards the lowest and highest trimPct% of values, /// and returns the arithmetic mean of the remaining middle portion. /// trimPct=0 → SMA, trimPct approaches 50 → Median. /// /// Complexity per bar: O(N log N) sort + O(N) sum — unavoidable for exact order statistics. /// Sorted buffer maintained incrementally via BinarySearch + Array.Copy to avoid full re-sort. /// [SkipLocalsInit] public sealed class Trim : AbstractBase { private readonly int _period; private readonly double _trimPct; private readonly RingBuffer _buffer; private readonly double[] _sortedBuffer; private readonly double[] _p_sortedBuffer; private readonly TValuePublishedHandler _handler; private readonly ITValuePublisher? _source; private double _lastValidValue; private int _p_sortedCount; private bool _disposed; public override bool IsHot => _buffer.IsFull; /// /// Creates a Trim indicator with the specified period and trim percentage. /// /// The size of the rolling window (must be >= 3). /// Percentage of values to trim from each tail (0–49). Default 10. public Trim(int period, double trimPct = 10.0) { if (period < 3) { throw new ArgumentException("Period must be >= 3", nameof(period)); } if (trimPct < 0 || trimPct >= 50) { throw new ArgumentException("TrimPct must be in [0, 49]", nameof(trimPct)); } _period = period; _trimPct = trimPct; _buffer = new RingBuffer(period); _sortedBuffer = new double[period]; _p_sortedBuffer = new double[period]; Name = $"Trim({period},{trimPct})"; WarmupPeriod = period; _handler = Handle; } /// Creates a chained Trim indicator. public Trim(ITValuePublisher source, int period, double trimPct = 10.0) : this(period, trimPct) { _source = source; source.Pub += _handler; } /// Creates a Trim indicator primed from a TSeries source. public Trim(TSeries source, int period, double trimPct = 10.0) : this(period, trimPct) { Prime(source.Values); if (source.Count > 0) { Last = new TValue(source.LastTime, Last.Value); } _source = source; source.Pub += _handler; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void Handle(object? sender, in TValueEventArgs args) => Update(args.Value, args.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { double value = input.Value; if (!double.IsFinite(value)) { value = _lastValidValue; } else { _lastValidValue = value; } if (isNew) { _p_sortedCount = _buffer.Count; Array.Copy(_sortedBuffer, _p_sortedBuffer, _p_sortedCount); if (_buffer.IsFull) { double old = _buffer.Oldest; RemoveFromSorted(old); } _buffer.Add(value); AddToSorted(value); } else { if (_p_sortedCount > 0) { Array.Copy(_p_sortedBuffer, _sortedBuffer, _p_sortedCount); } if (_buffer.Count > 0) { double current = _buffer.Newest; RemoveFromSorted(current); _buffer.UpdateNewest(value); AddToSorted(value); } else { _buffer.Add(value); AddToSorted(value); } } double result = ComputeTrimmedMean(_sortedBuffer, _buffer.Count, _trimPct); Last = new TValue(input.Time, result); 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, _period, _trimPct); source.Times.CopyTo(tSpan); Prime(source.Values); Last = new TValue(tSpan[len - 1], vSpan[len - 1]); return new TSeries(t, v); } public override void Reset() { _buffer.Clear(); Array.Clear(_sortedBuffer); Array.Clear(_p_sortedBuffer); Last = default; } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { if (source.Length == 0) { return; } _buffer.Clear(); Array.Clear(_sortedBuffer); int warmupLength = Math.Min(source.Length, WarmupPeriod); int startIndex = source.Length - warmupLength; for (int i = startIndex; i < source.Length; i++) { Update(new TValue(DateTime.MinValue, source[i])); } } /// Calculates Trim for the entire series using a new instance. public static TSeries Batch(TSeries source, int period, double trimPct = 10.0) { var trim = new Trim(period, trimPct); return trim.Update(source); } /// Calculates Trim in-place using spans. [MethodImpl(MethodImplOptions.AggressiveInlining)] public static void Batch(ReadOnlySpan source, Span output, int period, double trimPct = 10.0) { if (source.Length != output.Length) { throw new ArgumentException("Source and output must have the same length", nameof(output)); } if (period < 3) { throw new ArgumentException("Period must be >= 3", nameof(period)); } if (trimPct < 0 || trimPct >= 50) { throw new ArgumentException("TrimPct must be in [0, 49]", nameof(trimPct)); } int len = source.Length; if (len == 0) { return; } const int StackallocThreshold = 256; double[]? rentedSorted = null; double[]? rentedWindow = null; scoped Span sortedBuffer; scoped Span window; if (period <= StackallocThreshold) { sortedBuffer = stackalloc double[period]; window = stackalloc double[period]; } else { rentedSorted = ArrayPool.Shared.Rent(period); rentedWindow = ArrayPool.Shared.Rent(period); sortedBuffer = rentedSorted.AsSpan(0, period); window = rentedWindow.AsSpan(0, period); } sortedBuffer.Clear(); window.Clear(); try { int windowIdx = 0; int count = 0; for (int i = 0; i < len; i++) { double val = source[i]; if (count == period) { double old = window[windowIdx]; int oldIndex = BinarySearchSpan(sortedBuffer, count, old); if (oldIndex >= 0) { if (oldIndex < count - 1) { sortedBuffer.Slice(oldIndex + 1, count - 1 - oldIndex).CopyTo(sortedBuffer.Slice(oldIndex)); } count--; } } window[windowIdx] = val; windowIdx = (windowIdx + 1) % period; int newIndex = BinarySearchSpan(sortedBuffer, count, val); if (newIndex < 0) { newIndex = ~newIndex; } if (newIndex < count) { sortedBuffer.Slice(newIndex, count - newIndex).CopyTo(sortedBuffer.Slice(newIndex + 1)); } sortedBuffer[newIndex] = val; count++; output[i] = ComputeTrimmedMeanSpan(sortedBuffer, count, trimPct); } } finally { if (rentedSorted != null) { ArrayPool.Shared.Return(rentedSorted); } if (rentedWindow != null) { ArrayPool.Shared.Return(rentedWindow); } } } public static (TSeries Results, Trim Indicator) Calculate(TSeries source, int period, double trimPct = 10.0) { var indicator = new Trim(period, trimPct); TSeries results = indicator.Update(source); return (results, indicator); } [MethodImpl(MethodImplOptions.AggressiveInlining)] private static double ComputeTrimmedMean(double[] sorted, int count, double trimPct) { if (count == 0) { return double.NaN; } int trimCount = (int)(count * trimPct / 100.0); int keepCount = count - 2 * trimCount; if (keepCount < 1) { keepCount = 1; trimCount = (count - 1) / 2; } double sum = 0.0; int end = trimCount + keepCount; for (int i = trimCount; i < end; i++) { sum += sorted[i]; } return sum / keepCount; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private static double ComputeTrimmedMeanSpan(Span sorted, int count, double trimPct) { if (count == 0) { return double.NaN; } int trimCount = (int)(count * trimPct / 100.0); int keepCount = count - 2 * trimCount; if (keepCount < 1) { keepCount = 1; trimCount = (count - 1) / 2; } double sum = 0.0; int end = trimCount + keepCount; for (int i = trimCount; i < end; i++) { sum += sorted[i]; } return sum / keepCount; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void AddToSorted(double value) { int validCount = _buffer.Count - 1; int index = Array.BinarySearch(_sortedBuffer, 0, validCount, value); if (index < 0) { index = ~index; } if (index < validCount) { Array.Copy(_sortedBuffer, index, _sortedBuffer, index + 1, validCount - index); } _sortedBuffer[index] = value; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void RemoveFromSorted(double value) { int validCount = _buffer.Count; int index = Array.BinarySearch(_sortedBuffer, 0, validCount, value); if (index < 0) { return; } if (index < validCount - 1) { Array.Copy(_sortedBuffer, index + 1, _sortedBuffer, index, validCount - 1 - index); } } [MethodImpl(MethodImplOptions.AggressiveInlining)] private static int BinarySearchSpan(Span span, int length, double value) { int lo = 0; int hi = length - 1; while (lo <= hi) { int mid = lo + ((hi - lo) >> 1); int cmp = span[mid].CompareTo(value); if (cmp == 0) { return mid; } if (cmp < 0) { lo = mid + 1; } else { hi = mid - 1; } } return ~lo; } protected override void Dispose(bool disposing) { if (!_disposed) { if (disposing && _source != null) { _source.Pub -= _handler; } _disposed = true; } base.Dispose(disposing); } }