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);
}
}