namespace QuanTAlib;
using System;
using System.Collections.Generic;

/* <summary>
ATR: wildeR Moving Average
    The average true range (ATR) is a price volatility indicator
    showing the average price variation of assets within a given time period.

Sources:
    https://en.wikipedia.org/wiki/Average_true_range
    https://www.tradingview.com/wiki/Average_True_Range_(ATR)
    https://www.investopedia.com/terms/a/atr.asp

</summary> */

public class ATR_Series : TSeries {
	protected readonly int _period;
	protected readonly bool _NaN;
	protected readonly TBars _data;
	private double _k;
	private int _len;
	private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;

	//core constructors
	public ATR_Series(int period, bool useNaN) {
		_period = period;
		_k = 1.0 / (double)(_period);
		_NaN = useNaN;
		_len = 0;
		Name = $"ATR({period})";
	}
	public ATR_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
		_data = source;
		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
		_data.Pub += Sub;
		Add(data: _data);
	}
	public ATR_Series() : this(period: 1, useNaN: false) { }
	public ATR_Series(int period) : this(period: period, useNaN: false) { }
	public ATR_Series(TBars source) : this(source, period: 1, useNaN: false) { }
	public ATR_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }

	//////////////////
	// core Add() algo
	public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
		if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
		else { 
			_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
			_k = (_period == 0) ? 1 / (double)_len : _k;
			_len++;
		}
		
		if (_len == 1) { _cm1 = TBar.c; }
		double d1 = Math.Abs(TBar.h - TBar.l);
		double d2 = Math.Abs(_cm1 - TBar.h);
		double d3 = Math.Abs(_cm1 - TBar.l);
		(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
		_cm1 = TBar.c;

		double _atr = 0;
		if (this.Count == 0) { _atr = d.v; }
		else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
		else { _atr = _k * (d.v - _lastatr) + _lastatr; }
		_lastatr = _atr;
		
		var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atr);
		return base.Add(res, update);
	}

	public new void Add(TBars data) {
		foreach (var item in data) { Add(item, false); }
	}
	public (DateTime t, double v) Add(bool update) {
		return this.Add(TBar: _data.Last, update: update);
	}
	public (DateTime t, double v) Add() {
		return Add(TBar: _data.Last, update: false);
	}
	private new void Sub(object source, TSeriesEventArgs e) {
		Add(TBar: _data.Last, update: e.update);
	}

	//reset calculation
	public override void Reset() {
		_len = 0;
	}
}