using System.Runtime.CompilerServices; namespace QuanTAlib; /// /// ROCR: Rate of Change Ratio /// /// /// Price ratio momentum: ratio between current and N-period-ago value. /// Returns 1.0 for no change, greater than 1 for increase, less than 1 for decrease. /// See ROC for absolute change, ROCP for percentage. /// /// Calculation: ROCR = Price / Price[N]. /// /// Detailed documentation [SkipLocalsInit] public sealed class Rocr : AbstractBase { private readonly int _period; private readonly RingBuffer _buffer; private record struct State(double LastValid); private State _state, _p_state; private ITValuePublisher? _source; private bool _disposed; public override bool IsHot => _buffer.Count > _period; /// /// Initializes a new Rate of Change Ratio indicator with specified lookback period. /// /// Lookback period (must be >= 1) public Rocr(int period = 9) { if (period < 1) { throw new ArgumentException("Period must be >= 1", nameof(period)); } _period = period; _buffer = new RingBuffer(period + 1); Name = $"Rocr({period})"; WarmupPeriod = period + 1; } /// /// Initializes a new Rate of Change Ratio indicator with source for event-based chaining. /// /// Source indicator for chaining /// Lookback period public Rocr(ITValuePublisher source, int period = 9) : this(period) { _source = source; _source.Pub += HandleUpdate; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { if (isNew) { _p_state = _state; } else { _state = _p_state; } double value = double.IsFinite(input.Value) ? input.Value : _state.LastValid; _state = new State(value); _buffer.Add(value, isNew); double result; if (_buffer.Count <= _period) { result = 1.0; // Default ratio during warmup } else { double past = _buffer[0]; result = past != 0 ? value / past : 1.0; // skipcq: CS-R1077 - Exact-zero IEEE 754 div guard } Last = new TValue(input.Time, result); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { var result = new TSeries(source.Count); ReadOnlySpan values = source.Values; ReadOnlySpan times = source.Times; for (int i = 0; i < source.Count; i++) { var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true); result.Add(tv, true); } return result; } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { TimeSpan interval = step ?? TimeSpan.FromSeconds(1); DateTime time = DateTime.UtcNow - (interval * source.Length); for (int i = 0; i < source.Length; i++) { Update(new TValue(time, source[i]), true); time += interval; } } public static TSeries Batch(TSeries source, int period = 9) { var indicator = new Rocr(period); return indicator.Update(source); } /// /// Calculates rate of change ratio over a span of values. /// public static void Batch(ReadOnlySpan source, Span output, int period = 9) { if (source.Length == 0) { throw new ArgumentException("Source cannot be empty", nameof(source)); } if (output.Length < source.Length) { throw new ArgumentException("Output length must be >= source length", nameof(output)); } if (period < 1) { throw new ArgumentException("Period must be >= 1", nameof(period)); } for (int i = 0; i < source.Length; i++) { if (i < period) { output[i] = 1.0; // Default ratio during warmup } else { double past = source[i - period]; output[i] = past != 0 ? source[i] / past : 1.0; // skipcq: CS-R1077 - Exact-zero IEEE 754 div guard } } } public static (TSeries Results, Rocr Indicator) Calculate(TSeries source, int period = 9) { var indicator = new Rocr(period); TSeries results = indicator.Update(source); return (results, indicator); } public override void Reset() { _buffer.Clear(); _state = default; _p_state = default; Last = default; } protected override void Dispose(bool disposing) { if (!_disposed) { if (disposing && _source != null) { _source.Pub -= HandleUpdate; _source = null; } _disposed = true; } base.Dispose(disposing); } }