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);
}
}