using System.Runtime.CompilerServices; using Skender.Stock.Indicators; using TALib; using Xunit; using Xunit.Abstractions; namespace QuanTAlib.Tests; /// /// Validation for Avgprice (Average Price) = (O+H+L+C)/4. /// Cross-validated against TA-Lib AVGPRICE and Skender CandlePart.OHLC4. /// public sealed class AvgpriceValidationTests : IDisposable { private readonly ValidationTestData _data = new(); private readonly ITestOutputHelper _output; private bool _disposed; public AvgpriceValidationTests(ITestOutputHelper output) { _output = output; } public void Dispose() { Dispose(disposing: true); GC.SuppressFinalize(this); } private void Dispose(bool disposing) { if (!_disposed && disposing) { _data.Dispose(); _disposed = true; } } // ── A) Cross-validate with TA-Lib AVGPRICE ──────────────────────────────── [Fact] public void TALib_AvgPrice_Batch_Validates() { double[] open = _data.OpenPrices.ToArray(); double[] high = _data.HighPrices.ToArray(); double[] low = _data.LowPrices.ToArray(); double[] close = _data.ClosePrices.ToArray(); // TA-Lib AvgPrice var taOut = new double[open.Length]; var retCode = Functions.AvgPrice(open.AsSpan(), high.AsSpan(), low.AsSpan(), close.AsSpan(), 0..^0, taOut, out var outRange); Assert.Equal(TALib.Core.RetCode.Success, retCode); var (offset, length) = outRange.GetOffsetAndLength(taOut.Length); // QuanTAlib batch span var qlOut = new double[open.Length]; Avgprice.Batch(open.AsSpan(), high.AsSpan(), low.AsSpan(), close.AsSpan(), qlOut.AsSpan()); int mismatches = 0; for (int j = 0; j < length; j++) { int qi = j + offset; double err = Math.Abs(qlOut[qi] - taOut[j]); if (err > ValidationHelper.TalibTolerance) { mismatches++; } } double mismatchRate = (double)mismatches / length; _output.WriteLine($"TALib AVGPRICE: {length} compared, {mismatches} mismatches ({mismatchRate:P2})"); Assert.Equal(0, mismatches); } // ── B) Streaming == Batch span ──────────────────────────────────────────── [Fact] [SkipLocalsInit] public void Validate_Streaming_Equals_Batch() { const int N = 200; var gbm = new GBM(100.0, 0.05, 0.2, seed: 1001); var bars = new TBar[N]; for (int i = 0; i < N; i++) { bars[i] = gbm.Next(isNew: true); } // Streaming var ind = new Avgprice(); for (int i = 0; i < N; i++) { ind.Update(bars[i], isNew: true); } double streamVal = ind.Last.Value; // Batch span double[] o = new double[N], h = new double[N], l = new double[N], c = new double[N]; for (int i = 0; i < N; i++) { o[i] = bars[i].Open; h[i] = bars[i].High; l[i] = bars[i].Low; c[i] = bars[i].Close; } var qlOut = new double[N]; Avgprice.Batch(o.AsSpan(), h.AsSpan(), l.AsSpan(), c.AsSpan(), qlOut.AsSpan()); _output.WriteLine($"Streaming={streamVal:F10}, Batch={qlOut[N - 1]:F10}"); Assert.Equal(streamVal, qlOut[N - 1], 1e-12); } // ── C) Formula verification: (O+H+L+C)/4 ───────────────────────────────── [Fact] public void Validate_Formula_Manual() { var bar = new TBar(DateTime.UtcNow, open: 10.0, high: 20.0, low: 5.0, close: 15.0, volume: 1000); var ind = new Avgprice(); var result = ind.Update(bar, isNew: true); double expected = (10.0 + 20.0 + 5.0 + 15.0) / 4.0; // = 12.5 Assert.Equal(expected, result.Value, 1e-12); _output.WriteLine($"AVGPRICE formula: expected={expected}, actual={result.Value}: PASSED"); } // ── D) Batch(TBarSeries) == Calculate ───────────────────────────────────── [Fact] public void Validate_BatchBarSeries_Equals_Calculate() { var (results, _) = Avgprice.Calculate(_data.Bars); var batchResult = Avgprice.Batch(_data.Bars); for (int i = 0; i < _data.Bars.Count; i++) { Assert.Equal(batchResult.Values[i], results.Values[i], 1e-12); } _output.WriteLine("AVGPRICE Batch(TBarSeries) == Calculate: PASSED"); } // ── E) Determinism ──────────────────────────────────────────────────────── [Fact] public void Validate_Deterministic() { var r1 = Avgprice.Batch(_data.Bars); var r2 = Avgprice.Batch(_data.Bars); for (int i = 0; i < r1.Count; i++) { Assert.Equal(r1.Values[i], r2.Values[i], 15); } _output.WriteLine("AVGPRICE determinism: PASSED"); } // ═══════════════════════════════════════════════════════════════════════════ // Skender.Stock.Indicators Validation — CandlePart.OHLC4 // ═══════════════════════════════════════════════════════════════════════════ // ── F) Skender OHLC4 batch validation ───────────────────────────────────── [Fact] public void Validate_Against_Skender_OHLC4_Batch() { var skenderResults = _data.SkenderQuotes .GetBaseQuote(CandlePart.OHLC4) .ToList(); var qlResult = Avgprice.Batch(_data.Bars); Assert.Equal(qlResult.Count, skenderResults.Count); int count = qlResult.Count; int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount); for (int i = start; i < count; i++) { double qlVal = qlResult.Values[i]; double skVal = skenderResults[i].Value; Assert.True( Math.Abs(qlVal - skVal) <= ValidationHelper.SkenderTolerance, $"Mismatch at index {i}: QuanTAlib={qlVal:G17}, Skender={skVal:G17}, Diff={Math.Abs(qlVal - skVal):G17}"); } _output.WriteLine($"AVGPRICE vs Skender OHLC4 batch: {count} bars, last {count - start} verified within {ValidationHelper.SkenderTolerance}: PASSED"); } // ── G) Skender OHLC4 streaming validation ───────────────────────────────── [Fact] public void Validate_Against_Skender_OHLC4_Streaming() { var skenderResults = _data.SkenderQuotes .GetBaseQuote(CandlePart.OHLC4) .ToList(); var ind = new Avgprice(); int count = _data.Bars.Count; double[] streamValues = new double[count]; for (int i = 0; i < count; i++) { var result = ind.Update(_data.Bars[i], isNew: true); streamValues[i] = result.Value; } int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount); for (int i = start; i < count; i++) { double qlVal = streamValues[i]; double skVal = skenderResults[i].Value; Assert.True( Math.Abs(qlVal - skVal) <= ValidationHelper.SkenderTolerance, $"Mismatch at index {i}: QuanTAlib={qlVal:G17}, Skender={skVal:G17}"); } _output.WriteLine($"AVGPRICE streaming vs Skender OHLC4: {count} bars, last {count - start} verified: PASSED"); } // ── H) Skender OHLC4 span validation ────────────────────────────────────── [Fact] [SkipLocalsInit] public void Validate_Against_Skender_OHLC4_Span() { var skenderResults = _data.SkenderQuotes .GetBaseQuote(CandlePart.OHLC4) .ToList(); int count = _data.Bars.Count; double[] o = new double[count], h = new double[count], l = new double[count], c = new double[count]; for (int i = 0; i < count; i++) { o[i] = _data.Bars[i].Open; h[i] = _data.Bars[i].High; l[i] = _data.Bars[i].Low; c[i] = _data.Bars[i].Close; } var qlOut = new double[count]; Avgprice.Batch(o.AsSpan(), h.AsSpan(), l.AsSpan(), c.AsSpan(), qlOut.AsSpan()); int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount); for (int i = start; i < count; i++) { double qlVal = qlOut[i]; double skVal = skenderResults[i].Value; Assert.True( Math.Abs(qlVal - skVal) <= ValidationHelper.SkenderTolerance, $"Span mismatch at index {i}: QuanTAlib={qlVal:G17}, Skender={skVal:G17}"); } _output.WriteLine($"AVGPRICE span vs Skender OHLC4: {count} bars, last {count - start} verified: PASSED"); } }