using System.Drawing; using System.Runtime.CompilerServices; using TradingPlatform.BusinessLayer; namespace QuanTAlib; /// /// Quantower adapter for Spearman Rank Correlation indicator. /// Measures monotonic association between two price sources from the same symbol. /// /// /// This adapter compares two different price sources from the same symbol (e.g., Close vs Open, /// Close vs Volume, High vs Low). For cross-symbol correlation, use the core /// Spearman class directly. /// /// Output is Spearman's ρ coefficient, ranging from -1 to +1. /// Values near +1 indicate strong positive monotonic association, near -1 strong negative. /// [SkipLocalsInit] public sealed class SpearmanIndicator : Indicator, IWatchlistIndicator { [InputParameter("Period", sortIndex: 0, minimum: 2, maximum: 10000)] public int Period { get; set; } = 20; [IndicatorExtensions.DataSourceInput] public SourceType Source { get; set; } = SourceType.Close; [InputParameter("Source 2 Type", sortIndex: 2)] public SourceType Source2 { get; set; } = SourceType.Open; [InputParameter("Show cold values", sortIndex: 21)] public bool ShowColdValues { get; set; } = true; private Spearman _spearman = null!; private readonly LineSeries _series; private string _sourceName = null!; private Func _priceSelector = null!; private Func _priceSelector2 = null!; public static int MinHistoryDepths => 2; int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths; public override string ShortName => $"SPEARMAN({Period}):{_sourceName}/{Source2}"; public SpearmanIndicator() { OnBackGround = true; SeparateWindow = true; Name = "SPEARMAN - Spearman Rank Correlation"; Description = "Measures monotonic association between two price sources. Range: -1 to +1."; _series = new LineSeries(name: "Spearman", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid); AddLineSeries(_series); } protected override void OnInit() { _priceSelector = Source.GetPriceSelector(); _priceSelector2 = Source2.GetPriceSelector(); _sourceName = Source.ToString(); _spearman = new Spearman(Period); base.OnInit(); } [MethodImpl(MethodImplOptions.AggressiveInlining)] protected override void OnUpdate(UpdateArgs args) { bool isNew = args.IsNewBar(); var item = HistoricalData[Count - 1, SeekOriginHistory.Begin]; double valueA = _priceSelector(item); double valueB = _priceSelector2(item); var tvalA = new TValue(item.TimeLeft.Ticks, valueA); var tvalB = new TValue(item.TimeLeft.Ticks, valueB); double value = _spearman.Update(tvalA, tvalB, isNew).Value; _series.SetValue(value, _spearman.IsHot, ShowColdValues); } }