using System.Buffers;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
///
/// SINEMA: Sine-Weighted Moving Average
///
///
/// Sine-wave weighting creating smooth bell-shaped emphasis on middle values.
/// Better noise reduction than SMA while preserving mid-frequency trends.
///
/// Calculation: W_i = sin(π×(i+1)/n); SINEMA = Σ(P_i×W_i) / Σ(W_i).
///
/// Detailed documentation
[SkipLocalsInit]
public sealed class Sinema : AbstractBase
{
private readonly int _period;
private readonly double[] _weights;
private readonly double _weightSum;
private readonly RingBuffer _buffer;
private readonly TValuePublishedHandler _handler;
private readonly ITValuePublisher? _source;
private bool _disposed;
[StructLayout(LayoutKind.Auto)]
private record struct State(double LastValidValue);
private State _state;
private State _p_state;
///
/// Creates SINEMA with specified period.
///
/// Number of values in the lookback window (must be > 0)
public Sinema(int period)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_buffer = new RingBuffer(period);
Name = $"Sinema({period})";
WarmupPeriod = period;
_handler = Handle;
// Pre-calculate sine weights for full period
_weights = new double[period];
double sum = 0;
for (int i = 0; i < period; i++)
{
_weights[i] = Math.Sin(Math.PI * (i + 1) / period);
sum += _weights[i];
}
_weightSum = sum;
}
public Sinema(ITValuePublisher source, int period) : this(period)
{
_source = source;
source.Pub += _handler;
}
public Sinema(TSeries source, int period) : this(period)
{
Prime(source.Values);
if (source.Count > 0)
{
Last = new TValue(source.LastTime, Last.Value);
}
_source = source;
source.Pub += _handler;
}
private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
/////////////////////////////////////////////////////////////////////////////////////////////////
// Mode B: Streaming (Stateful)
/////////////////////////////////////////////////////////////////////////////////////////////////
///
/// True if the SINEMA has enough data to produce valid results.
/// SINEMA is "hot" when the buffer is full (has received at least 'period' values).
///
public override bool IsHot => _buffer.IsFull;
/////////////////////////////////////////////////////////////////////////////////////////////////
// Mode C: Priming (The Bridge)
/////////////////////////////////////////////////////////////////////////////////////////////////
///
/// Initializes the indicator state using the provided history.
///
/// Historical data
/// Optional time step (unused)
public override void Prime(ReadOnlySpan source, TimeSpan? step = null)
{
if (source.Length == 0)
{
return;
}
// Reset state
_buffer.Clear();
_state = default;
_p_state = default;
int warmupLength = Math.Min(source.Length, WarmupPeriod);
int startIndex = source.Length - warmupLength;
// Seed LastValidValue from history before warmup window
_state.LastValidValue = double.NaN;
for (int i = startIndex - 1; i >= 0; i--)
{
if (double.IsFinite(source[i]))
{
_state.LastValidValue = source[i];
break;
}
}
// If not found, search in warmup window
if (double.IsNaN(_state.LastValidValue))
{
for (int i = startIndex; i < source.Length; i++)
{
if (double.IsFinite(source[i]))
{
_state.LastValidValue = source[i];
break;
}
}
}
// Feed the RingBuffer
for (int i = startIndex; i < source.Length; i++)
{
double val = GetValidValue(source[i]);
_buffer.Add(val);
}
// Calculate result
double result = CalculateFromBuffer();
Last = new TValue(DateTime.MinValue, result);
_p_state = _state;
}
///
/// Gets a valid input value, using last-value substitution for non-finite inputs.
///
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double GetValidValue(double input)
{
if (double.IsFinite(input))
{
_state.LastValidValue = input;
return input;
}
return _state.LastValidValue;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateFromBuffer()
{
if (_buffer.Count == 0)
{
return double.NaN;
}
int count = _buffer.Count;
double sum = 0;
double weightSum = 0;
// For partial buffer, recalculate weights for current count
if (count < _period)
{
int idx = 0;
foreach (double val in _buffer)
{
double w = Math.Sin(Math.PI * (idx + 1) / count);
sum += val * w;
weightSum += w;
idx++;
}
}
else
{
// Full buffer: use precalculated weights and SIMD
ReadOnlySpan internalBuf = _buffer.InternalBuffer;
int head = _buffer.StartIndex;
int part1Len = _period - head;
double sum1 = internalBuf.Slice(head, part1Len).DotProduct(_weights.AsSpan(0, part1Len));
double sum2 = internalBuf[..head].DotProduct(_weights.AsSpan(part1Len));
sum = sum1 + sum2;
weightSum = _weightSum;
}
return weightSum > 0 ? sum / weightSum : double.NaN;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override TValue Update(TValue input, bool isNew = true)
{
if (isNew)
{
_p_state = _state;
double val = GetValidValue(input.Value);
_buffer.Add(val);
}
else
{
_state = _p_state;
double val = GetValidValue(input.Value);
_buffer.UpdateNewest(val);
}
double result = CalculateFromBuffer();
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);
source.Times.CopyTo(tSpan);
Prime(source.Values);
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
}
/////////////////////////////////////////////////////////////////////////////////////////////////
// Mode A: Batch (Stateless)
/////////////////////////////////////////////////////////////////////////////////////////////////
///
/// Calculates SINEMA for the entire series using a new instance.
///
/// Input series
/// SINEMA period
/// SINEMA series
public static TSeries Batch(TSeries source, int period)
{
var sinema = new Sinema(period);
return sinema.Update(source);
}
///
/// Calculates SINEMA in-place, writing results to pre-allocated output span.
/// Zero-allocation method for maximum performance.
///
/// Input values
/// Output span (must be same length as source)
/// SINEMA period (must be > 0)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(ReadOnlySpan source, Span output, int period)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
int len = source.Length;
if (len == 0)
{
return;
}
CalculateScalarCore(source, output, period);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void CalculateScalarCore(ReadOnlySpan source, Span output, int period)
{
int len = source.Length;
const int StackAllocThreshold = 256;
double[]? rentedBuffer = period > StackAllocThreshold ? ArrayPool.Shared.Rent(period) : null;
double[]? rentedWeights = period > StackAllocThreshold ? ArrayPool.Shared.Rent(period) : null;
Span buffer = rentedBuffer != null
? rentedBuffer.AsSpan(0, period)
: stackalloc double[period];
Span weights = rentedWeights != null
? rentedWeights.AsSpan(0, period)
: stackalloc double[period];
try
{
double lastValid = double.NaN;
// Find first valid value to seed lastValid
for (int k = 0; k < len; k++)
{
if (double.IsFinite(source[k]))
{
lastValid = source[k];
break;
}
}
int bufferIndex = 0;
int i = 0;
// Warmup phase: buffer not yet full
int warmupEnd = Math.Min(period, len);
for (; i < warmupEnd; i++)
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
buffer[i] = val;
// Calculate weights for current count
int count = i + 1;
double sum = 0;
double weightSum = 0;
for (int j = 0; j < count; j++)
{
double w = Math.Sin(Math.PI * (j + 1) / count);
sum += buffer[j] * w;
weightSum += w;
}
output[i] = weightSum > 0 ? sum / weightSum : val;
}
// Pre-calculate full-period weights
double fullWeightSum = 0;
for (int j = 0; j < period; j++)
{
weights[j] = Math.Sin(Math.PI * (j + 1) / period);
fullWeightSum += weights[j];
}
// Steady-state: buffer is full, use sliding window
for (; i < len; i++)
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
buffer[bufferIndex] = val;
bufferIndex++;
if (bufferIndex >= period)
{
bufferIndex = 0;
}
// Calculate weighted sum using circular buffer
int part1Len = period - bufferIndex;
double sum1 = buffer.Slice(bufferIndex, part1Len).DotProduct(weights.Slice(0, part1Len));
double sum2 = buffer.Slice(0, bufferIndex).DotProduct(weights.Slice(part1Len, bufferIndex));
double sum = sum1 + sum2;
output[i] = sum / fullWeightSum;
}
}
finally
{
if (rentedBuffer != null)
{
ArrayPool.Shared.Return(rentedBuffer);
}
if (rentedWeights != null)
{
ArrayPool.Shared.Return(rentedWeights);
}
}
}
///
/// Runs a batch calculation on history and returns a "Hot" Sinema instance
/// ready to process the next tick immediately.
///
/// Historical time series
/// SINEMA Period
/// A tuple containing the full calculation results and the hot indicator instance
public static (TSeries Results, Sinema Indicator) Calculate(TSeries source, int period)
{
var sinema = new Sinema(period);
TSeries results = sinema.Update(source);
return (results, sinema);
}
///
/// Resets the SINEMA state.
///
public override void Reset()
{
_buffer.Clear();
_state = default;
_p_state = default;
Last = default;
}
///
/// Disposes the indicator and unsubscribes from the source.
///
protected override void Dispose(bool disposing)
{
if (!_disposed)
{
if (disposing && _source != null)
{
_source.Pub -= _handler;
}
_disposed = true;
}
base.Dispose(disposing);
}
}