using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
using System.Buffers;
namespace QuanTAlib;
///
/// MACD: Moving Average Convergence Divergence
///
///
/// MACD is a trend-following momentum indicator that shows the relationship between
/// two moving averages of a security's price.
///
/// Calculation:
/// MACD Line = Fast EMA - Slow EMA
/// Signal Line = EMA(MACD Line)
/// Histogram = MACD Line - Signal Line
///
/// Standard parameters: 12, 26, 9
///
[SkipLocalsInit]
public sealed class Macd : ITValuePublisher, IDisposable
{
private readonly Ema _fastEma;
private readonly Ema _slowEma;
private readonly Ema _signalEma;
private readonly ITValuePublisher? _source;
private readonly TValuePublishedHandler _handler;
private bool _disposed;
public string Name { get; }
public bool IsHot => _fastEma.IsHot && _slowEma.IsHot && _signalEma.IsHot;
public int WarmupPeriod { get; }
public TValue Last { get; private set; }
public TValue Signal { get; private set; }
public TValue Histogram { get; private set; }
public event TValuePublishedHandler? Pub;
public Macd(int fastPeriod = 12, int slowPeriod = 26, int signalPeriod = 9)
{
_fastEma = new Ema(fastPeriod);
_slowEma = new Ema(slowPeriod);
_signalEma = new Ema(signalPeriod);
_handler = Handle;
Name = $"Macd({fastPeriod},{slowPeriod},{signalPeriod})";
WarmupPeriod = Math.Max(fastPeriod, slowPeriod) + signalPeriod - 2;
}
public Macd(ITValuePublisher source, int fastPeriod = 12, int slowPeriod = 26, int signalPeriod = 9)
: this(fastPeriod, slowPeriod, signalPeriod)
{
_source = source;
_source.Pub += _handler;
}
public void Dispose()
{
Dispose(disposing: true);
GC.SuppressFinalize(this);
}
private void Dispose(bool disposing)
{
if (!_disposed)
{
if (disposing && _source != null)
{
_source.Pub -= _handler;
}
_disposed = true;
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public void Reset()
{
_fastEma.Reset();
_slowEma.Reset();
_signalEma.Reset();
Last = default;
Signal = default;
Histogram = default;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TValue input, bool isNew = true)
{
var fast = _fastEma.Update(input, isNew);
var slow = _slowEma.Update(input, isNew);
double macdValue = fast.Value - slow.Value;
var macdTValue = new TValue(input.Time, macdValue);
var signal = _signalEma.Update(macdTValue, isNew);
double histValue = macdValue - signal.Value;
Last = macdTValue;
Signal = signal;
Histogram = new TValue(input.Time, histValue);
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
return Last;
}
public TSeries Update(TSeries source)
{
if (source.Count == 0) return [];
var 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);
Reset();
for (int i = 0; i < len; i++)
{
Update(source[i], isNew: true);
tSpan[i] = source[i].Time;
vSpan[i] = Last.Value;
}
return new TSeries(t, v);
}
private void Handle(object? sender, in TValueEventArgs args)
{
Update(args.Value, args.IsNew);
}
///
/// Calculates the MACD Line (Fast EMA - Slow EMA).
/// Does not calculate Signal or Histogram.
///
public static void Calculate(ReadOnlySpan source, Span destination, int fastPeriod = 12, int slowPeriod = 26)
{
if (source.Length != destination.Length)
throw new ArgumentException("Source and destination must be same length", nameof(destination));
int len = source.Length;
double[] fastBuffer = ArrayPool.Shared.Rent(len);
double[] slowBuffer = ArrayPool.Shared.Rent(len);
try
{
Span fastSpan = fastBuffer.AsSpan(0, len);
Span slowSpan = slowBuffer.AsSpan(0, len);
Ema.Batch(source, fastSpan, fastPeriod);
Ema.Batch(source, slowSpan, slowPeriod);
SimdExtensions.Subtract(fastSpan, slowSpan, destination);
}
finally
{
ArrayPool.Shared.Return(fastBuffer);
ArrayPool.Shared.Return(slowBuffer);
}
}
}