using System;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
///
/// VEL: Jurik Velocity
///
///
/// VEL is a momentum oscillator calculated as the difference between a Parabolic Weighted Moving Average (PWMA)
/// and a Weighted Moving Average (WMA) of the same period.
///
/// Calculation:
/// VEL = PWMA(Period) - WMA(Period)
///
/// This indicator measures the rate of change of the price, smoothed by the difference in weighting schemes.
///
[SkipLocalsInit]
public sealed class Vel : ITValuePublisher
{
private readonly Pwma _pwma;
private readonly Wma _wma;
private readonly int _period;
private readonly TValuePublishedHandler _handler;
public string Name { get; }
public TValue Last { get; private set; }
public bool IsHot => _pwma.IsHot && _wma.IsHot;
public int WarmupPeriod { get; }
public event TValuePublishedHandler? Pub;
public Vel(int period)
{
if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period));
_pwma = new Pwma(period);
_wma = new Wma(period);
_period = period;
WarmupPeriod = period;
Name = $"Vel({period})";
_handler = Handle;
}
public Vel(ITValuePublisher source, int period) : this(period)
{
source.Pub += _handler;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void Handle(object? sender, TValueEventArgs args) => Update(args.Value, args.IsNew);
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TValue input, bool isNew = true)
{
var pwma = _pwma.Update(input, isNew);
var wma = _wma.Update(input, isNew);
Last = new TValue(input.Time, pwma.Value - wma.Value);
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
return Last;
}
public TSeries Update(TSeries source)
{
int len = source.Count;
if (len == 0)
return [];
var t = new List(len);
var v = new List(len);
CollectionsMarshal.SetCount(t, len);
CollectionsMarshal.SetCount(v, len);
var tSpan = CollectionsMarshal.AsSpan(t);
var vSpan = CollectionsMarshal.AsSpan(v);
// Span-based batch calculation
Batch(source.Values, vSpan, _period);
source.Times.CopyTo(tSpan);
// Restore streaming state by replaying the tail of the series
Reset();
int start = Math.Max(0, len - WarmupPeriod - 1);
for (int i = start; i < len; i++)
{
Update(new TValue(source.Times[i], source.Values[i]), true);
}
Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
return new TSeries(t, v);
}
public static TSeries Batch(TSeries source, int period)
{
int len = source.Count;
if (len == 0)
return [];
var t = new List(len);
var v = new List(len);
CollectionsMarshal.SetCount(t, len);
CollectionsMarshal.SetCount(v, len);
var tSpan = CollectionsMarshal.AsSpan(t);
var vSpan = CollectionsMarshal.AsSpan(v);
Batch(source.Values, vSpan, period);
source.Times.CopyTo(tSpan);
return new TSeries(t, v);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Batch(ReadOnlySpan source, Span output, int period)
{
if (source.Length != output.Length)
throw new ArgumentException("Source and output must have the same length", nameof(output));
Span pwma = source.Length <= 1024 ? stackalloc double[source.Length] : new double[source.Length];
Span wma = source.Length <= 1024 ? stackalloc double[source.Length] : new double[source.Length];
Pwma.Calculate(source, pwma, period);
Wma.Batch(source, wma, period);
SimdExtensions.Subtract(pwma, wma, output);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public void Reset()
{
_pwma.Reset();
_wma.Reset();
Last = default;
}
}