mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 02:28:05 +00:00
Miha Kralj
2836f253c4
- Updated buffer handling in TheilU and Wmape classes to ensure consistency after adding new values. - Changed the resync interval constant in TukeyBiweight for better clarity. - Refactored state structures to record structs in Gauss, Hann, Hp, Hpf, Kalman, Loess, Notch, and other filter classes for improved performance and readability. - Enhanced numerical stability in Mama class calculations using Fused Multiply-Add (FMA) for precision. - Added comprehensive tests for Atan2 validation to compare .NET's Math.Atan2 with PineScript's implementation, ensuring accuracy across various edge cases. - Updated NDepend badges to reflect changes in classes, methods, and lines of code.
71 lines
2.7 KiB
C#
71 lines
2.7 KiB
C#
using System.Drawing;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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public class VwapsdIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Number of Deviations", sortIndex: 1, minimum: 0.1, maximum: 5.0, increment: 0.1, decimalPlaces: 1)]
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public double NumDevs { get; set; } = 2.0;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Vwapsd? vwapsd;
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protected LineSeries? VwapSeries;
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protected LineSeries? UpperSeries;
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protected LineSeries? LowerSeries;
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protected LineSeries? WidthSeries;
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#pragma warning disable S2325 // Methods and properties that don't access instance data should be static
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public int MinHistoryDepths => 2;
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#pragma warning restore S2325
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"VWAPSD ({NumDevs:F1})";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/channels/vwapsd/Vwapsd.cs";
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public VwapsdIndicator()
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{
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Name = "VWAPSD - Volume Weighted Average Price with Configurable Standard Deviation Bands";
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Description = "Volume weighted average price with configurable standard deviation bands";
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VwapSeries = new("VWAP", Color.Blue, 2, LineStyle.Solid);
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UpperSeries = new($"Upper (+{NumDevs}σ)", Color.Red, 1, LineStyle.Solid);
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LowerSeries = new($"Lower (-{NumDevs}σ)", Color.Green, 1, LineStyle.Solid);
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WidthSeries = new("Width", Color.Gray, 1, LineStyle.Dot);
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AddLineSeries(VwapSeries);
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AddLineSeries(UpperSeries);
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AddLineSeries(LowerSeries);
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AddLineSeries(WidthSeries);
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SeparateWindow = false;
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OnBackGround = true;
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}
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protected override void OnInit()
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{
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vwapsd = new(NumDevs);
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base.OnInit();
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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var item = HistoricalData[0, SeekOriginHistory.End];
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// VWAP requires OHLCV data - using HLC3 for price
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double high = item[PriceType.High];
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double low = item[PriceType.Low];
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double close = item[PriceType.Close];
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double volume = item[PriceType.Volume];
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TBar bar = new(item.TimeLeft, item[PriceType.Open], high, low, close, volume);
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TValue result = vwapsd!.Update(bar, args.IsNewBar());
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VwapSeries!.SetValue(result.Value, vwapsd.IsHot, ShowColdValues);
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UpperSeries!.SetValue(vwapsd.Upper.Value, vwapsd.IsHot, ShowColdValues);
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LowerSeries!.SetValue(vwapsd.Lower.Value, vwapsd.IsHot, ShowColdValues);
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WidthSeries!.SetValue(vwapsd.Width.Value, vwapsd.IsHot, ShowColdValues);
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}
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} |