using System.Runtime.CompilerServices; using System.Runtime.InteropServices; namespace QuanTAlib; /// /// NVI: Negative Volume Index /// /// /// Tracks price changes only on days when volume decreases (smart money theory). /// Bullish signal when NVI crosses above its signal line. /// /// Calculation: If Volume < Prev_Volume: NVI = Prev_NVI × (Close / Prev_Close); /// otherwise NVI unchanged. /// /// Detailed documentation /// Reference Pine Script implementation [SkipLocalsInit] public sealed class Nvi : ITValuePublisher { private readonly double _startValue; [StructLayout(LayoutKind.Auto)] private record struct State( double NviValue, double PrevClose, double PrevVolume, double LastValidClose, double LastValidVolume, int Index); private State _s; private State _ps; /// /// Display name for the indicator. /// public string Name { get; } public event TValuePublishedHandler? Pub; /// /// Current NVI value. /// public TValue Last { get; private set; } /// /// True if the indicator has processed at least 2 bars. /// public bool IsHot => _s.Index >= 2; /// /// Warmup period required before the indicator is considered hot. /// #pragma warning disable S2325 // Instance property required by indicator interface convention public int WarmupPeriod => 2; #pragma warning restore S2325 /// /// Creates a new NVI indicator. /// /// Initial NVI value (default: 100) /// Thrown when startValue is not positive. public Nvi(double startValue = 100.0) { if (startValue <= 0) { throw new ArgumentException("Start value must be positive", nameof(startValue)); } _startValue = startValue; _s = new State(NviValue: startValue, PrevClose: 0, PrevVolume: 0, LastValidClose: 0, LastValidVolume: 0, Index: 0); _ps = _s; Name = $"Nvi({startValue})"; } /// /// Resets the indicator state. /// [MethodImpl(MethodImplOptions.AggressiveInlining)] public void Reset() { _s = new State(NviValue: _startValue, PrevClose: 0, PrevVolume: 0, LastValidClose: 0, LastValidVolume: 0, Index: 0); _ps = _s; Last = default; } [MethodImpl(MethodImplOptions.AggressiveInlining)] public TValue Update(TBar input, bool isNew = true) { if (isNew) { _ps = _s; } else { _s = _ps; } var s = _s; // Handle NaN/Infinity in close and volume double close = double.IsFinite(input.Close) ? input.Close : s.LastValidClose; double volume = double.IsFinite(input.Volume) ? input.Volume : s.LastValidVolume; if (double.IsFinite(input.Close) && input.Close > 0) { s.LastValidClose = input.Close; } if (double.IsFinite(input.Volume) && input.Volume > 0) { s.LastValidVolume = input.Volume; } // Calculate NVI - only update when volume decreases // Matches PineScript: if not (na(src) or na(vol) or na(src[1]) or na(vol[1]) or src[1] == 0.0 or vol[1] <= 0.0) and vol < vol[1] if (s.Index > 0 && s.PrevClose > 0 && s.PrevVolume > 0 && volume < s.PrevVolume) { s.NviValue *= close / s.PrevClose; } // If volume >= previous volume, NVI stays the same // Store for next iteration s.PrevClose = close; s.PrevVolume = volume; if (isNew) { s.Index++; } _s = s; Last = new TValue(input.Time, s.NviValue); Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew }); return Last; } /// /// Updates NVI with a TValue input. /// /// /// NVI requires volume data to determine when to update. Using TValue without /// volume data will keep NVI unchanged. For proper NVI calculation, use Update(TBar). /// #pragma warning disable S2325 // Method signature must match ITValuePublisher contract public TValue Update(TValue input, bool isNew = true) #pragma warning restore S2325 { // NVI requires volume; without it, we can't determine direction // Return current value unchanged if (isNew) { _ps = _s; } else { _s = _ps; } Last = new TValue(input.Time, _s.NviValue); Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew }); return Last; } public TSeries Update(TBarSeries source) { var t = new List(source.Count); var v = new List(source.Count); Reset(); for (int i = 0; i < source.Count; i++) { var val = Update(source[i], isNew: true); t.Add(val.Time); v.Add(val.Value); } return new TSeries(t, v); } /// /// Initializes the indicator state using the provided bar series history. /// /// Historical bar data. public void Prime(TBarSeries source) { Reset(); if (source.Count == 0) { return; } for (int i = 0; i < source.Count; i++) { Update(source[i], isNew: true); } } public static TSeries Batch(TBarSeries source, double startValue = 100.0) { if (source.Count == 0) { return []; } var t = source.Open.Times.ToArray(); var v = new double[source.Count]; Batch(source.Close.Values, source.Volume.Values, v, startValue); return new TSeries(t, v); } [MethodImpl(MethodImplOptions.AggressiveInlining)] public static void Batch(ReadOnlySpan close, ReadOnlySpan volume, Span output, double startValue = 100.0) { if (close.Length != volume.Length) { throw new ArgumentException("Close and Volume spans must be of the same length", nameof(volume)); } if (close.Length != output.Length) { throw new ArgumentException("Output span must be of the same length as input", nameof(output)); } if (startValue <= 0) { throw new ArgumentException("Start value must be positive", nameof(startValue)); } int len = close.Length; if (len == 0) { return; } // Track last valid values for NaN/Infinity substitution (mirrors Update behavior) double lastValidClose = 0; double lastValidVolume = 0; // First value is just the start value output[0] = startValue; // Handle first bar's close/volume for last-valid tracking if (double.IsFinite(close[0]) && close[0] > 0) { lastValidClose = close[0]; } if (double.IsFinite(volume[0]) && volume[0] > 0) { lastValidVolume = volume[0]; } // Sanitized previous values for NVI calculation double prevClose = double.IsFinite(close[0]) ? close[0] : lastValidClose; double prevVolume = double.IsFinite(volume[0]) ? volume[0] : lastValidVolume; double nvi = startValue; for (int i = 1; i < len; i++) { // Sanitize current close/volume (substitute last-valid if not finite) double currentClose = double.IsFinite(close[i]) ? close[i] : lastValidClose; double currentVolume = double.IsFinite(volume[i]) ? volume[i] : lastValidVolume; // Update last-valid tracking when values are finite and > 0 if (double.IsFinite(close[i]) && close[i] > 0) { lastValidClose = close[i]; } if (double.IsFinite(volume[i]) && volume[i] > 0) { lastValidVolume = volume[i]; } // Only update when volume decreases (using sanitized values) // Matches PineScript: if not (na(src) or na(vol) or na(src[1]) or na(vol[1]) or src[1] == 0.0 or vol[1] <= 0.0) and vol < vol[1] if (prevClose > 0 && prevVolume > 0 && currentVolume < prevVolume) { nvi *= currentClose / prevClose; } // Otherwise NVI stays the same output[i] = nvi; // Store sanitized values for next iteration prevClose = currentClose; prevVolume = currentVolume; } } public static (TSeries Results, Nvi Indicator) Calculate(TBarSeries source, double startValue = 100.0) { var indicator = new Nvi(startValue); TSeries results = indicator.Update(source); return (results, indicator); } }