using System.Runtime.CompilerServices; using Skender.Stock.Indicators; using TALib; using Xunit; using Xunit.Abstractions; namespace QuanTAlib.Tests; /// /// Validation for Medprice (Median Price) = (H+L)/2. /// Cross-validated against TA-Lib MEDPRICE and Skender CandlePart.HL2. /// public sealed class MedpriceValidationTests : IDisposable { private readonly ValidationTestData _data = new(); private readonly ITestOutputHelper _output; private bool _disposed; public MedpriceValidationTests(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 MEDPRICE ──────────────────────────────── [Fact] public void TALib_MedPrice_Batch_Validates() { double[] high = _data.HighPrices.ToArray(); double[] low = _data.LowPrices.ToArray(); // TA-Lib MedPrice var taOut = new double[high.Length]; var retCode = Functions.MedPrice(high.AsSpan(), low.AsSpan(), 0..^0, taOut, out var outRange); Assert.Equal(TALib.Core.RetCode.Success, retCode); var (offset, length) = outRange.GetOffsetAndLength(taOut.Length); // QuanTAlib batch via TBarSeries var qlOut = new double[high.Length]; Medprice.Batch(_data.Bars, 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($"TALib MEDPRICE: {length} compared, {mismatches} mismatches ({mismatchRate:P2})"); Assert.Equal(0, mismatches); } // ── B) Streaming == Batch span ──────────────────────────────────────────── [Fact] [SkipLocalsInit] public void Validate_Streaming_Equals_Batch() { const int N = 200; var gbm = new GBM(100.0, 0.05, 0.2, seed: 1001); var bars = new TBar[N]; for (int i = 0; i < N; i++) { bars[i] = gbm.Next(isNew: true); } // Streaming var ind = new Medprice(); for (int i = 0; i < N; i++) { ind.Update(bars[i], isNew: true); } double streamVal = ind.Last.Value; // Batch span double[] h = new double[N], l = new double[N]; for (int i = 0; i < N; i++) { h[i] = bars[i].High; l[i] = bars[i].Low; } var qlOut = new double[N]; Medprice.Batch(h.AsSpan(), l.AsSpan(), qlOut.AsSpan()); _output.WriteLine($"Streaming={streamVal:F10}, Batch={qlOut[N - 1]:F10}"); Assert.Equal(streamVal, qlOut[N - 1], 1e-12); } // ── C) Formula verification: (H+L)/2 ────────────────────────────────────── [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 Medprice(); var result = ind.Update(bar, isNew: true); double expected = (20.0 + 5.0) / 2.0; // = 12.5 Assert.Equal(expected, result.Value, 1e-12); _output.WriteLine($"MEDPRICE formula: expected={expected}, actual={result.Value}: PASSED"); } // ── D) Always hot after first bar ───────────────────────────────────────── [Fact] public void Validate_AlwaysHotAfterFirstBar() { var ind = new Medprice(); Assert.False(ind.IsHot); ind.Update(new TBar(DateTime.UtcNow, 10, 12, 8, 11, 1000), isNew: true); Assert.True(ind.IsHot); _output.WriteLine("MEDPRICE always hot after first bar: PASSED"); } // ── E) Batch(TBarSeries) == Calculate ───────────────────────────────────── [Fact] public void Validate_BatchBarSeries_Equals_Calculate() { var (results, _) = Medprice.Calculate(_data.Bars); var batchResult = Medprice.Batch(_data.Bars); for (int i = 0; i < _data.Bars.Count; i++) { Assert.Equal(batchResult.Values[i], results.Values[i], 1e-12); } _output.WriteLine("MEDPRICE Batch(TBarSeries) == Calculate: PASSED"); } // ── F) Determinism ──────────────────────────────────────────────────────── [Fact] public void Validate_Deterministic() { var r1 = Medprice.Batch(_data.Bars); var r2 = Medprice.Batch(_data.Bars); for (int i = 0; i < r1.Count; i++) { Assert.Equal(r1.Values[i], r2.Values[i], 15); } _output.WriteLine("MEDPRICE determinism: PASSED"); } // ═══════════════════════════════════════════════════════════════════════════ // Skender.Stock.Indicators Validation — CandlePart.HL2 // ═══════════════════════════════════════════════════════════════════════════ // ── G) Skender HL2 batch validation ─────────────────────────────────────── [Fact] public void Validate_Against_Skender_HL2_Batch() { var skenderResults = _data.SkenderQuotes .GetBaseQuote(CandlePart.HL2) .ToList(); var qlResult = Medprice.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, $"Mismatch at index {i}: QuanTAlib={qlVal:G17}, Skender={skVal:G17}, Diff={Math.Abs(qlVal - skVal):G17}"); } _output.WriteLine($"MEDPRICE vs Skender HL2 batch: {count} bars, last {count - start} verified within {ValidationHelper.SkenderTolerance}: PASSED"); } // ── H) Skender HL2 streaming validation ─────────────────────────────────── [Fact] public void Validate_Against_Skender_HL2_Streaming() { var skenderResults = _data.SkenderQuotes .GetBaseQuote(CandlePart.HL2) .ToList(); var ind = new Medprice(); 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, $"Mismatch at index {i}: QuanTAlib={qlVal:G17}, Skender={skVal:G17}"); } _output.WriteLine($"MEDPRICE streaming vs Skender HL2: {count} bars, last {count - start} verified: PASSED"); } // ── I) Skender HL2 span validation ──────────────────────────────────────── [Fact] [SkipLocalsInit] public void Validate_Against_Skender_HL2_Span() { var skenderResults = _data.SkenderQuotes .GetBaseQuote(CandlePart.HL2) .ToList(); int count = _data.Bars.Count; double[] h = new double[count], l = new double[count]; for (int i = 0; i < count; i++) { h[i] = _data.Bars[i].High; l[i] = _data.Bars[i].Low; } var qlOut = new double[count]; Medprice.Batch(h.AsSpan(), l.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, $"Span mismatch at index {i}: QuanTAlib={qlVal:G17}, Skender={skVal:G17}"); } _output.WriteLine($"MEDPRICE span vs Skender HL2: {count} bars, last {count - start} verified: PASSED"); } }