// SQRTTRANS: Square Root Transformer // Transforms values using the square root function √x using System.Runtime.CompilerServices; namespace QuanTAlib; /// /// SQRTTRANS: Square Root Transformer /// Applies √x transformation to input values. /// /// /// Key properties: /// - Inverse of squaring: sqrt(x²) = |x| for x ≥ 0 /// - Compresses large values while expanding small ones /// - Only defined for non-negative inputs /// - Useful for variance to standard deviation conversion /// [SkipLocalsInit] public sealed class Sqrttrans : AbstractBase { private record struct State(double LastValid); private State _state, _p_state; public override bool IsHot => true; // No warmup needed public Sqrttrans() { Name = "Sqrttrans"; WarmupPeriod = 0; } /// /// Creates a Square Root transformer with source for event-based chaining. /// /// Source indicator for chaining public Sqrttrans(ITValuePublisher source) : this() { 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 = input.Value; double result; if (double.IsFinite(value) && value >= 0) { result = Math.Sqrt(value); _state = new State(result); } else { // For negative values or non-finite, use last valid result = _state.LastValid; } 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) { var indicator = new Sqrttrans(); return indicator.Update(source); } /// /// Calculates square root over a span of values. /// public static void Batch(ReadOnlySpan source, Span output) { 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)); } double lastValid = 0.0; // sqrt(0) = 0 for (int i = 0; i < source.Length; i++) { double val = source[i]; if (double.IsFinite(val) && val >= 0) { lastValid = Math.Sqrt(val); output[i] = lastValid; } else { output[i] = lastValid; } } } public static (TSeries Results, Sqrttrans Indicator) Calculate(TSeries source) { var indicator = new Sqrttrans(); TSeries results = indicator.Update(source); return (results, indicator); } public override void Reset() { _state = default; _p_state = default; Last = default; } }