using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
///
/// EOM: Ease of Movement
///
///
/// Volume-based oscillator measuring how easily prices move via price change and volume relationship.
/// Positive values indicate upward ease; negative values indicate downward ease.
///
/// Calculation: Midpoint = (High + Low) / 2, Box_Ratio = (Volume / Scale) / (High - Low),
/// Raw_EOM = (Midpoint - prev_Midpoint) / Box_Ratio, EOM = SMA(Raw_EOM, period).
///
/// Detailed documentation
/// Reference Pine Script implementation
[SkipLocalsInit]
public sealed class Eom : ITValuePublisher
{
[StructLayout(LayoutKind.Auto)]
private record struct State
{
public double PrevMidPoint;
public double Sum;
public int Head;
public int Count;
public double LastValidValue;
public bool HasPrevMidPoint;
}
private State _s;
private State _ps;
private readonly int _period;
private readonly double _volumeScale;
private readonly double[] _buffer;
public string Name { get; }
public int WarmupPeriod { get; }
public TValue Last { get; private set; }
public bool IsHot { get; private set; }
public event TValuePublishedHandler? Pub;
///
/// Initializes a new instance of the Eom class.
///
/// The smoothing period for SMA calculation (default: 14)
/// The volume scaling factor (default: 10000)
/// Thrown when period is less than 1 or volumeScale is less than or equal to 0
public Eom(int period = 14, double volumeScale = 10000)
{
if (period < 1)
{
throw new ArgumentException("Period must be >= 1", nameof(period));
}
if (volumeScale <= 0)
{
throw new ArgumentException("Volume scale must be > 0", nameof(volumeScale));
}
_period = period;
_volumeScale = volumeScale;
_buffer = new double[period];
WarmupPeriod = period + 1; // +1 for previous midpoint
Name = $"Eom({period},{volumeScale:F0})";
_s = new State { LastValidValue = 0.0 };
_ps = _s;
}
///
/// Updates the indicator with a new bar.
///
/// The bar data containing High, Low, Close, and Volume
/// Whether this is a new bar or an update to the current bar
/// The calculated EOM value
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TBar bar, bool isNew = true)
{
if (isNew)
{
_ps = _s;
}
else
{
_s = _ps;
}
var s = _s;
double high = bar.High;
double low = bar.Low;
double volume = bar.Volume;
// Calculate midpoint
double midPoint = (high + low) * 0.5;
// Calculate midpoint change (0 if no previous)
double midPointChange = s.HasPrevMidPoint ? midPoint - s.PrevMidPoint : 0.0;
// Calculate price range
double priceRange = high - low;
// Calculate raw EOM
double rawEom;
if (priceRange > 0 && volume > 0)
{
double boxRatio = (volume / _volumeScale) / priceRange;
rawEom = Math.Abs(boxRatio) > 0 ? midPointChange / boxRatio : 0.0;
}
else
{
rawEom = 0.0;
}
// Handle NaN/Infinity
if (!double.IsFinite(rawEom))
{
rawEom = s.LastValidValue;
}
else
{
s.LastValidValue = rawEom;
}
// SMA calculation using ring buffer
if (isNew && s.Count >= _period)
{
s.Sum -= _buffer[s.Head];
}
if (isNew)
{
_buffer[s.Head] = rawEom;
s.Sum += rawEom;
s.Head = (s.Head + 1) % _period;
if (s.Count < _period)
{
s.Count++;
}
s.PrevMidPoint = midPoint;
s.HasPrevMidPoint = true;
}
else
{
// For bar correction: state was restored, so s.Head is the current slot to overwrite
int currentIndex = s.Head;
double oldValue = _buffer[currentIndex];
s.Sum = s.Sum - oldValue + rawEom;
_buffer[currentIndex] = rawEom;
}
double result = s.Count > 0 ? s.Sum / s.Count : 0.0;
_s = s;
IsHot = s.Count >= _period && s.HasPrevMidPoint;
Last = new TValue(bar.Time, result);
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
return Last;
}
///
/// TValue input is not supported for EOM - requires TBar (OHLCV) data.
///
#pragma warning disable S2325 // Method signature must match ITValuePublisher contract
public TValue Update(TValue value, bool isNew = true)
#pragma warning restore S2325
{
throw new NotSupportedException("EOM requires TBar (OHLCV) data. Use Update(TBar) instead.");
}
///
/// Updates EOM with a bar series.
///
public TSeries Update(TBarSeries source)
{
var t = new List(source.Count);
var v = new List(source.Count);
Reset();
for (int i = 0; i < source.Count; i++)
{
var val = Update(source[i], isNew: true);
t.Add(val.Time);
v.Add(val.Value);
}
return new TSeries(t, v);
}
///
/// Resets the indicator to its initial state.
///
public void Reset()
{
_s = new State { LastValidValue = 0.0 };
_ps = _s;
Array.Clear(_buffer);
IsHot = false;
Last = default;
}
///
/// Initializes the indicator state using the provided bar series history.
///
/// Historical bar data.
public void Prime(TBarSeries source)
{
Reset();
if (source.Count == 0)
{
return;
}
for (int i = 0; i < source.Count; i++)
{
Update(source[i], isNew: true);
}
}
///
/// Calculates EOM for a series of bars.
///
/// The input bar series
/// The smoothing period
/// The volume scaling factor
/// A TSeries containing the EOM values
public static TSeries Batch(TBarSeries bars, int period = 14, double volumeScale = 10000)
{
if (bars.Count == 0)
{
return [];
}
var t = bars.Open.Times.ToArray();
var v = new double[bars.Count];
Batch(bars.High.Values, bars.Low.Values, bars.Volume.Values, v, period, volumeScale);
return new TSeries(t, v);
}
///
/// Calculates EOM values using span-based processing.
///
/// Source high prices
/// Source low prices
/// Source volumes
/// Output span for EOM values
/// The smoothing period
/// The volume scaling factor
/// Thrown when spans have different lengths
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(ReadOnlySpan high, ReadOnlySpan low,
ReadOnlySpan volume, Span output, int period = 14, double volumeScale = 10000)
{
if (high.Length != low.Length)
{
throw new ArgumentException("High and low spans must have the same length", nameof(low));
}
if (high.Length != volume.Length)
{
throw new ArgumentException("High and volume spans must have the same length", nameof(volume));
}
if (high.Length != output.Length)
{
throw new ArgumentException("Output span must have the same length as input", nameof(output));
}
if (period < 1)
{
throw new ArgumentException("Period must be >= 1", nameof(period));
}
if (volumeScale <= 0)
{
throw new ArgumentException("Volume scale must be > 0", nameof(volumeScale));
}
int length = high.Length;
if (length == 0)
{
return;
}
const int StackallocThreshold = 256;
double[]? rentedBuffer = null;
scoped Span rawEom;
if (length <= StackallocThreshold)
{
rawEom = stackalloc double[length];
}
else
{
rentedBuffer = System.Buffers.ArrayPool.Shared.Rent(length);
rawEom = rentedBuffer.AsSpan(0, length);
}
try
{
// Calculate raw EOM values
double prevMidPoint = (high[0] + low[0]) * 0.5;
rawEom[0] = 0.0; // First value has no previous midpoint
for (int i = 1; i < length; i++)
{
double midPoint = (high[i] + low[i]) * 0.5;
double midPointChange = midPoint - prevMidPoint;
double priceRange = high[i] - low[i];
if (priceRange > 0 && volume[i] > 0)
{
double boxRatio = (volume[i] / volumeScale) / priceRange;
rawEom[i] = Math.Abs(boxRatio) > 0 ? midPointChange / boxRatio : 0.0;
}
else
{
rawEom[i] = 0.0;
}
if (!double.IsFinite(rawEom[i]))
{
rawEom[i] = i > 0 ? rawEom[i - 1] : 0.0;
}
prevMidPoint = midPoint;
}
// Apply SMA smoothing
double sum = 0;
for (int i = 0; i < length; i++)
{
sum += rawEom[i];
if (i >= period)
{
sum -= rawEom[i - period];
output[i] = sum / period;
}
else
{
output[i] = sum / (i + 1);
}
}
}
finally
{
if (rentedBuffer != null)
{
System.Buffers.ArrayPool.Shared.Return(rentedBuffer);
}
}
}
public static (TSeries Results, Eom Indicator) Calculate(TBarSeries bars, int period = 14, double volumeScale = 10000)
{
var indicator = new Eom(period, volumeScale);
TSeries results = indicator.Update(bars);
return (results, indicator);
}
}