using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
///
/// OBV: On Balance Volume
///
///
/// Cumulative indicator measuring buying/selling pressure: adds volume on up days, subtracts on down.
/// Divergences between price and OBV can signal potential reversals.
///
/// Calculation: if Close > Prev_Close: OBV += Volume;
/// if Close < Prev_Close: OBV -= Volume; otherwise unchanged.
///
/// Detailed documentation
/// Reference Pine Script implementation
[SkipLocalsInit]
public sealed class Obv : ITValuePublisher
{
[StructLayout(LayoutKind.Auto)]
private record struct State(
double ObvValue,
double PrevClose,
double LastValidClose,
double LastValidVolume,
int Index);
private State _s;
private State _ps;
///
/// Display name for the indicator.
///
public string Name { get; }
public event TValuePublishedHandler? Pub;
///
/// Current OBV value.
///
public TValue Last { get; private set; }
///
/// True if the indicator has processed at least 2 bars.
///
public bool IsHot => _s.Index >= 2;
///
/// Warmup period required before the indicator is considered hot.
///
#pragma warning disable S2325 // Instance property required by indicator interface convention
public int WarmupPeriod => 2;
#pragma warning restore S2325
///
/// Creates a new OBV indicator.
///
public Obv()
{
_s = new State(ObvValue: 0, PrevClose: 0, LastValidClose: 0, LastValidVolume: 0, Index: 0);
_ps = _s;
Name = "Obv";
}
///
/// Resets the indicator state.
///
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public void Reset()
{
_s = new State(ObvValue: 0, PrevClose: 0, LastValidClose: 0, LastValidVolume: 0, Index: 0);
_ps = _s;
Last = default;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TBar input, bool isNew = true)
{
if (isNew)
{
_ps = _s;
}
else
{
_s = _ps;
}
var s = _s;
// Handle NaN/Infinity in close and volume
double close = double.IsFinite(input.Close) ? input.Close : s.LastValidClose;
double volume = double.IsFinite(input.Volume) ? input.Volume : s.LastValidVolume;
if (double.IsFinite(input.Close) && input.Close > 0)
{
s.LastValidClose = input.Close;
}
if (double.IsFinite(input.Volume) && input.Volume > 0)
{
s.LastValidVolume = input.Volume;
}
// Calculate OBV - compare close to previous close
if (s.Index > 0 && s.PrevClose > 0)
{
if (close > s.PrevClose)
{
s.ObvValue += volume;
}
else if (close < s.PrevClose)
{
s.ObvValue -= volume;
}
// If close == prevClose, OBV stays the same
}
// Store for next iteration
s.PrevClose = close;
if (isNew)
{
s.Index++;
}
_s = s;
Last = new TValue(input.Time, s.ObvValue);
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
return Last;
}
///
/// Updates OBV with a TValue input.
///
///
/// OBV requires volume data to compute. Using TValue without volume data will
/// keep OBV unchanged. For proper OBV calculation, use Update(TBar).
///
#pragma warning disable S2325 // Method signature must match ITValuePublisher contract
public TValue Update(TValue input, bool isNew = true)
#pragma warning restore S2325
{
// OBV requires volume; without it, we can't compute
// Return current value unchanged
if (isNew)
{
_ps = _s;
}
else
{
_s = _ps;
}
Last = new TValue(input.Time, _s.ObvValue);
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
return Last;
}
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);
}
///
/// 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);
}
}
public static TSeries Batch(TBarSeries source)
{
if (source.Count == 0)
{
return [];
}
var t = source.Open.Times.ToArray();
var v = new double[source.Count];
Batch(source.Close.Values, source.Volume.Values, v);
return new TSeries(t, v);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(ReadOnlySpan close, ReadOnlySpan volume, Span output)
{
if (close.Length != volume.Length)
{
throw new ArgumentException("Close and Volume spans must be of the same length", nameof(volume));
}
if (close.Length != output.Length)
{
throw new ArgumentException("Output span must be of the same length as input", nameof(output));
}
int len = close.Length;
if (len == 0)
{
return;
}
// First value is zero (no comparison yet)
output[0] = 0;
double prevClose = close[0];
double obv = 0;
for (int i = 1; i < len; i++)
{
double currentClose = close[i];
double currentVolume = volume[i];
// Skip OBV update if inputs are not finite (matches TA-Lib behavior)
if (double.IsFinite(currentClose) && double.IsFinite(currentVolume) && double.IsFinite(prevClose))
{
if (currentClose > prevClose)
{
obv += currentVolume;
}
else if (currentClose < prevClose)
{
obv -= currentVolume;
}
// If close == prevClose, OBV stays the same
}
output[i] = obv;
// Update prevClose only if current is valid
if (double.IsFinite(currentClose))
{
prevClose = currentClose;
}
}
}
public static (TSeries Results, Obv Indicator) Calculate(TBarSeries source)
{
var indicator = new Obv();
TSeries results = indicator.Update(source);
return (results, indicator);
}
}