mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-13 08:08:05 +00:00
Miha Kralj
1f80cfda74
- Added SmaVector class for calculating multiple SMAs in parallel using SIMD. - Introduced RingBuffer class for efficient circular buffer management with running sum. - Implemented unit tests for RingBuffer to ensure correctness and performance. - Enhanced Add method in RingBuffer to support bar correction semantics. - Added methods for calculating Min and Max using SIMD acceleration. - Improved performance with pinned memory and direct span access for SIMD compatibility.
375 lines
12 KiB
C#
375 lines
12 KiB
C#
using System.Linq;
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using Xunit;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public class SmaVectorTests
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{
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[Fact]
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public void Initialization_WithPeriods_Works()
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{
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int[] periods = { 5, 10, 20 };
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var smaVector = new SmaVector(periods);
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var res = smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(3, res.Length);
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Assert.Equal(100.0, res[0].Value, 1e-9);
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Assert.Equal(100.0, res[1].Value, 1e-9);
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Assert.Equal(100.0, res[2].Value, 1e-9);
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}
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[Fact]
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public void Initialization_WithZeroPeriod_ThrowsArgumentException()
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{
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int[] periods = { 10, 0, 20 };
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Assert.Throws<ArgumentOutOfRangeException>(() => new SmaVector(periods));
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}
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[Fact]
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public void Initialization_WithNegativePeriod_ThrowsArgumentException()
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{
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int[] periods = { 10, -5, 20 };
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Assert.Throws<ArgumentOutOfRangeException>(() => new SmaVector(periods));
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}
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[Fact]
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public void Calc_Streaming_MatchesSingleSma()
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{
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int[] periods = { 5, 10, 20 };
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var smaVector = new SmaVector(periods);
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var smaSingles = periods.Select(p => new Sma(p)).ToArray();
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var values = new double[] { 10, 20, 30, 40, 50, 40, 30, 20, 10 };
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var time = DateTime.UtcNow;
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foreach (var val in values)
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{
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var tVal = new TValue(time, val);
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var multiRes = smaVector.Update(tVal);
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for (int i = 0; i < periods.Length; i++)
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{
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var singleRes = smaSingles[i].Update(tVal);
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Assert.Equal(singleRes.Value, multiRes[i].Value, 1e-9);
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Assert.Equal(singleRes.Time, multiRes[i].Time);
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}
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Calc_Series_MatchesSingleSma()
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{
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int[] periods = { 5, 10, 20 };
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var smaVector = new SmaVector(periods);
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int len = 100;
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var t = new System.Collections.Generic.List<long>(len);
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var v = new System.Collections.Generic.List<double>(len);
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var now = DateTime.UtcNow;
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for (int i = 0; i < len; i++)
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{
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t.Add(now.AddMinutes(i).Ticks);
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v.Add(Math.Sin(i * 0.1) * 100);
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}
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var series = new TSeries(t, v);
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var multiRes = smaVector.Calculate(series);
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// Reset and recalculate for comparison
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var smaSingles = periods.Select(p => new Sma(p)).ToArray();
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for (int j = 0; j < len; j++)
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{
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var tVal = new TValue(new DateTime(t[j], DateTimeKind.Utc), v[j]);
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for (int i = 0; i < periods.Length; i++)
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{
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var singleRes = smaSingles[i].Update(tVal);
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Assert.Equal(singleRes.Value, multiRes[i].Values[j], 1e-8);
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}
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}
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}
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[Fact]
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public void Calc_Series_MatchesStreaming()
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{
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int[] periods = { 5, 10, 20 };
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var smaVectorBatch = new SmaVector(periods);
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var smaVectorStream = new SmaVector(periods);
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int len = 100;
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var t = new System.Collections.Generic.List<long>(len);
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var v = new System.Collections.Generic.List<double>(len);
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var now = DateTime.UtcNow;
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for (int i = 0; i < len; i++)
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{
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t.Add(now.AddMinutes(i).Ticks);
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v.Add(Math.Sin(i * 0.1) * 100);
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}
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var series = new TSeries(t, v);
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var batchRes = smaVectorBatch.Calculate(series);
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for (int i = 0; i < len; i++)
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{
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var tVal = new TValue(new DateTime(t[i], DateTimeKind.Utc), v[i]);
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var streamRes = smaVectorStream.Update(tVal);
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for (int j = 0; j < periods.Length; j++)
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{
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Assert.Equal(batchRes[j].Values[i], streamRes[j].Value, 1e-9);
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}
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}
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}
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[Fact]
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public void Calculate_Static_MatchesInstanceMethod()
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{
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int[] periods = { 5, 10, 20 };
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int len = 50;
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var t = new System.Collections.Generic.List<long>(len);
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var v = new System.Collections.Generic.List<double>(len);
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var now = DateTime.UtcNow;
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for (int i = 0; i < len; i++)
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{
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t.Add(now.AddMinutes(i).Ticks);
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v.Add(Math.Sin(i * 0.1) * 100);
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}
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var series = new TSeries(t, v);
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var instanceSma = new SmaVector(periods);
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var instanceRes = instanceSma.Calculate(series);
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var staticRes = SmaVector.Calculate(series, periods);
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for (int i = 0; i < periods.Length; i++)
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{
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Assert.Equal(instanceRes[i].Count, staticRes[i].Count);
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for (int j = 0; j < len; j++)
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{
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Assert.Equal(instanceRes[i].Values[j], staticRes[i].Values[j], 1e-9);
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}
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}
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}
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[Fact]
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public void Reset_ClearsState()
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{
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int[] periods = { 10 };
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var smaVector = new SmaVector(periods);
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smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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smaVector.Update(new TValue(DateTime.UtcNow, 200.0));
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smaVector.Reset();
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var res = smaVector.Update(new TValue(DateTime.UtcNow, 50.0));
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Assert.Equal(50.0, res[0].Value, 1e-9);
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}
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[Fact]
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public void Update_NaN_Input_UsesLastValidValue()
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{
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int[] periods = { 10, 20 };
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var smaVector = new SmaVector(periods);
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smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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smaVector.Update(new TValue(DateTime.UtcNow, 110.0));
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var resultAfterNaN = smaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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foreach (var result in resultAfterNaN)
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{
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Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}");
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}
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}
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[Fact]
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public void Update_Infinity_Input_UsesLastValidValue()
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{
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int[] periods = { 10, 20 };
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var smaVector = new SmaVector(periods);
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smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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smaVector.Update(new TValue(DateTime.UtcNow, 110.0));
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var resultAfterPosInf = smaVector.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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foreach (var result in resultAfterPosInf)
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{
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Assert.True(double.IsFinite(result.Value));
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}
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var resultAfterNegInf = smaVector.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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foreach (var result in resultAfterNegInf)
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{
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Assert.True(double.IsFinite(result.Value));
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}
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}
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[Fact]
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public void Update_MultipleNaN_ContinuesWithLastValid()
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{
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int[] periods = { 5, 10 };
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var smaVector = new SmaVector(periods);
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smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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smaVector.Update(new TValue(DateTime.UtcNow, 110.0));
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smaVector.Update(new TValue(DateTime.UtcNow, 120.0));
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var r1 = smaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = smaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = smaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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foreach (var result in r1) Assert.True(double.IsFinite(result.Value));
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foreach (var result in r2) Assert.True(double.IsFinite(result.Value));
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foreach (var result in r3) Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Calculate_Series_HandlesNaN()
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{
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int[] periods = { 5, 10 };
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var smaVector = new SmaVector(periods);
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var t = new System.Collections.Generic.List<long>();
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var v = new System.Collections.Generic.List<double>();
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var now = DateTime.UtcNow;
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t.Add(now.Ticks); v.Add(100.0);
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t.Add(now.AddMinutes(1).Ticks); v.Add(110.0);
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t.Add(now.AddMinutes(2).Ticks); v.Add(double.NaN);
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t.Add(now.AddMinutes(3).Ticks); v.Add(120.0);
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t.Add(now.AddMinutes(4).Ticks); v.Add(double.PositiveInfinity);
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t.Add(now.AddMinutes(5).Ticks); v.Add(130.0);
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var series = new TSeries(t, v);
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var results = smaVector.Calculate(series);
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foreach (var periodResults in results)
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{
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foreach (var val in periodResults.Values)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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}
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}
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[Fact]
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public void Reset_ClearsLastValidValue()
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{
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int[] periods = { 10 };
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var smaVector = new SmaVector(periods);
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smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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smaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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smaVector.Reset();
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var result = smaVector.Update(new TValue(DateTime.UtcNow, 50.0));
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Assert.Equal(50.0, result[0].Value, 1e-9);
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}
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[Fact]
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public void NaN_Handling_MatchesSingleSma()
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{
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int[] periods = { 5, 10, 20 };
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var smaVector = new SmaVector(periods);
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var smaSingles = periods.Select(p => new Sma(p)).ToArray();
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var values = new double[] { 10, 20, double.NaN, 40, double.PositiveInfinity, 60, 70 };
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var time = DateTime.UtcNow;
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foreach (var val in values)
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{
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var tVal = new TValue(time, val);
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var multiRes = smaVector.Update(tVal);
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for (int i = 0; i < periods.Length; i++)
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{
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var singleRes = smaSingles[i].Update(tVal);
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Assert.Equal(singleRes.Value, multiRes[i].Value, 1e-9);
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}
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Values_Property_UpdatesAfterUpdate()
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{
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int[] periods = { 5, 10 };
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var smaVector = new SmaVector(periods);
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var result = smaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(result[0].Value, smaVector.Values[0].Value);
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Assert.Equal(result[1].Value, smaVector.Values[1].Value);
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}
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[Fact]
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public void Values_Property_UpdatesAfterCalculate()
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{
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int[] periods = { 5, 10 };
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var smaVector = new SmaVector(periods);
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var t = new System.Collections.Generic.List<long> { 100, 200, 300 };
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var v = new System.Collections.Generic.List<double> { 10.0, 20.0, 30.0 };
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var series = new TSeries(t, v);
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var results = smaVector.Calculate(series);
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Assert.Equal(results[0].Last.Value, smaVector.Values[0].Value, 1e-9);
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Assert.Equal(results[1].Last.Value, smaVector.Values[1].Value, 1e-9);
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}
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[Fact]
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public void Update_BarCorrection_WorksCorrectly()
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{
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int[] periods = { 3 };
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var smaVector = new SmaVector(periods);
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smaVector.Update(new TValue(DateTime.UtcNow, 10.0), isNew: true);
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smaVector.Update(new TValue(DateTime.UtcNow, 20.0), isNew: true);
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smaVector.Update(new TValue(DateTime.UtcNow, 30.0), isNew: true);
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var res1 = smaVector.Values[0].Value;
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Assert.Equal(20.0, res1, 1e-9); // (10+20+30)/3 = 20
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// Correct the last bar
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var res2 = smaVector.Update(new TValue(DateTime.UtcNow, 60.0), isNew: false);
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Assert.Equal(30.0, res2[0].Value, 1e-9); // (10+20+60)/3 = 30
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}
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[Fact]
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public void SMA_MatchesExpectedValues()
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{
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int[] periods = { 3 };
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var smaVector = new SmaVector(periods);
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// Test sequence: 10, 20, 30, 40, 50
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// Expected SMA(3): 10, 15, 20, 30, 40
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var expected = new double[] { 10, 15, 20, 30, 40 };
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var values = new double[] { 10, 20, 30, 40, 50 };
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var time = DateTime.UtcNow;
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for (int i = 0; i < values.Length; i++)
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{
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var res = smaVector.Update(new TValue(time, values[i]));
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Assert.Equal(expected[i], res[0].Value, 1e-9);
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time = time.AddMinutes(1);
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}
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}
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}
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