using System.Drawing; using System.Runtime.CompilerServices; using TradingPlatform.BusinessLayer; namespace QuanTAlib; [SkipLocalsInit] public sealed class QuantileIndicator : Indicator, IWatchlistIndicator { [InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)] public int Period { get; set; } = 14; [InputParameter("Quantile Level (0.0-1.0)", sortIndex: 2, 0.0, 1.0, 0.01, 2)] public double QuantileLevel { get; set; } = 0.5; [IndicatorExtensions.DataSourceInput] public SourceType Source { get; set; } = SourceType.Close; [InputParameter("Show cold values", sortIndex: 21)] public bool ShowColdValues { get; set; } = true; private Quantile _quantile = null!; private readonly LineSeries _series; private Func _priceSelector = null!; public static int MinHistoryDepths => 0; int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths; public override string ShortName => $"Quantile {Period} ({QuantileLevel})"; public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/quantile/Quantile.Quantower.cs"; public QuantileIndicator() { OnBackGround = true; SeparateWindow = false; Name = "Quantile - Rolling Quantile"; Description = "Fraction of observations that fall below a given value in a rolling window"; _series = new LineSeries(name: "Quantile", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid); AddLineSeries(_series); } [MethodImpl(MethodImplOptions.AggressiveInlining)] protected override void OnInit() { _quantile = new Quantile(Period, QuantileLevel); _priceSelector = Source.GetPriceSelector(); base.OnInit(); } [MethodImpl(MethodImplOptions.AggressiveInlining)] protected override void OnUpdate(UpdateArgs args) { var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin]; double value = _priceSelector(item); var time = this.HistoricalData.Time(); var input = new TValue(time, value); TValue result = _quantile.Update(input, args.IsNewBar()); _series.SetValue(result.Value, _quantile.IsHot, ShowColdValues); } }