// ROC: Rate of Change (Absolute) // Calculates absolute price change: current - past using System.Runtime.CompilerServices; namespace QuanTAlib; /// /// ROC: Rate of Change (Absolute) /// Calculates the absolute difference between current value and value N periods ago. /// Formula: current - past /// /// /// Key properties: /// - Returns absolute price movement in price units /// - Useful for momentum measurement, trend direction /// - Different from ROCP (percentage) and ROCR (ratio) /// - Can be validated against TA-Lib MOM function /// [SkipLocalsInit] public sealed class Roc : AbstractBase { private readonly int _period; private readonly RingBuffer _buffer; private record struct State(double LastValid); private State _state, _p_state; public override bool IsHot => _buffer.Count > _period; /// Lookback period (must be >= 1) public Roc(int period = 9) { if (period < 1) throw new ArgumentException("Period must be >= 1", nameof(period)); _period = period; _buffer = new RingBuffer(period + 1); Name = $"Roc({period})"; WarmupPeriod = period + 1; } /// Source indicator for chaining /// Lookback period public Roc(ITValuePublisher source, int period = 9) : this(period) { source.Pub += HandleUpdate; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { if (isNew) _p_state = _state; else _state = _p_state; double value = double.IsFinite(input.Value) ? input.Value : _state.LastValid; _state = new State(value); _buffer.Add(value, isNew); double result; if (_buffer.Count <= _period) { result = 0.0; } else { double past = _buffer[0]; result = value - past; } Last = new TValue(input.Time, result); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { var result = new TSeries(source.Count); ReadOnlySpan values = source.Values; ReadOnlySpan times = source.Times; for (int i = 0; i < source.Count; i++) { var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true); result.Add(tv, true); } return result; } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { TimeSpan interval = step ?? TimeSpan.FromSeconds(1); DateTime time = DateTime.UtcNow - (interval * source.Length); for (int i = 0; i < source.Length; i++) { Update(new TValue(time, source[i]), true); time += interval; } } public static TSeries Calculate(TSeries source, int period = 9) { var indicator = new Roc(period); return indicator.Update(source); } /// /// Calculates absolute change over a span of values. /// public static void Calculate(ReadOnlySpan source, Span output, int period = 9) { if (source.Length == 0) throw new ArgumentException("Source cannot be empty", nameof(source)); if (output.Length < source.Length) throw new ArgumentException("Output length must be >= source length", nameof(output)); if (period < 1) throw new ArgumentException("Period must be >= 1", nameof(period)); for (int i = 0; i < source.Length; i++) { output[i] = i < period ? 0.0 : source[i] - source[i - period]; } } public override void Reset() { _buffer.Clear(); _state = default; _p_state = default; Last = default; } }