QuanTAlib/lib/volume/adosc/Adosc.cs

using System.Runtime.CompilerServices;

namespace QuanTAlib;

/// <summary>
/// ADOSC: Accumulation/Distribution Oscillator (Chaikin Oscillator)
/// </summary>
/// <remarks>
/// The Chaikin Oscillator is a momentum indicator for the Accumulation/Distribution Line (ADL).
/// It calculates the difference between two Exponential Moving Averages (EMAs) of the ADL.
///
/// Calculation:
/// ADOSC = EMA(Fast, ADL) - EMA(Slow, ADL)
///
/// Standard Parameters:
/// Fast Period: 3
/// Slow Period: 10
///
/// Sources:
/// https://www.investopedia.com/terms/c/chaikinoscillator.asp
/// https://school.stockcharts.com/doku.php?id=technical_indicators:chaikin_oscillator
/// </remarks>
[SkipLocalsInit]
public sealed class Adosc : ITValuePublisher
{
    private readonly Adl _adl;
    private readonly Ema _emaFast;
    private readonly Ema _emaSlow;

    /// <summary>
    /// Display name for the indicator.
    /// </summary>
    public string Name { get; }

    public event Action<TValue>? Pub;

    /// <summary>
    /// Current ADOSC value.
    /// </summary>
    public TValue Last { get; private set; }

    /// <summary>
    /// True if the indicator has enough data to produce valid results.
    /// </summary>
    public bool IsHot => _emaSlow.IsHot;

    /// <summary>
    /// The number of bars required to warm up the indicator.
    /// </summary>
    public int WarmupPeriod { get; }

    /// <summary>
    /// Creates ADOSC with specified periods.
    /// </summary>
    /// <param name="fastPeriod">Fast EMA period (default 3)</param>
    /// <param name="slowPeriod">Slow EMA period (default 10)</param>
    public Adosc(int fastPeriod = 3, int slowPeriod = 10)
    {
        if (fastPeriod <= 0)
            throw new ArgumentException("Fast period must be greater than 0", nameof(fastPeriod));
        if (slowPeriod <= 0)
            throw new ArgumentException("Slow period must be greater than 0", nameof(slowPeriod));
        if (fastPeriod >= slowPeriod)
            throw new ArgumentException("Fast period must be less than slow period", nameof(fastPeriod));

        _adl = new Adl();
        _emaFast = new Ema(fastPeriod);
        _emaSlow = new Ema(slowPeriod);
        WarmupPeriod = slowPeriod;
        Name = $"Adosc({fastPeriod},{slowPeriod})";
    }

    /// <summary>
    /// Resets the indicator state.
    /// </summary>
    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    public void Reset()
    {
        _adl.Reset();
        _emaFast.Reset();
        _emaSlow.Reset();
        Last = default;
    }

    /// <summary>
    /// Updates the indicator with a new ADL value.
    /// </summary>
    /// <param name="input">The new ADL value</param>
    /// <param name="isNew">Whether this is a new value or an update to the last value</param>
    /// <returns>The updated ADOSC value</returns>
    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    public TValue Update(TValue input, bool isNew = true)
    {
        var eFast = _emaFast.Update(input, isNew);
        var eSlow = _emaSlow.Update(input, isNew);

        double adosc = eFast.Value - eSlow.Value;
        Last = new TValue(input.Time, adosc);
        Pub?.Invoke(Last);
        return Last;
    }

    /// <summary>
    /// Updates the indicator with a new bar.
    /// </summary>
    /// <param name="input">The new bar data</param>
    /// <param name="isNew">Whether this is a new bar or an update to the last bar</param>
    /// <returns>The updated ADOSC value</returns>
    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    public TValue Update(TBar input, bool isNew = true)
    {
        var adl = _adl.Update(input, isNew);
        return Update(adl, isNew);
    }

    /// <summary>
    /// Updates the indicator with a series of bars.
    /// </summary>
    /// <param name="source">The source series of bars</param>
    /// <returns>The ADOSC series</returns>
    public TSeries Update(TBarSeries source)
    {
        var t = new List<long>(source.Count);
        var v = new List<double>(source.Count);

        Reset();

        for (int i = 0; i < source.Count; i++)
        {
            var val = Update(source[i], true);
            t.Add(val.Time);
            v.Add(val.Value);
        }

        return new TSeries(t, v);
    }

    /// <summary>
    /// Calculates ADOSC for the entire series using a new instance.
    /// </summary>
    /// <param name="source">Input series</param>
    /// <param name="fastPeriod">Fast EMA period (default 3)</param>
    /// <param name="slowPeriod">Slow EMA period (default 10)</param>
    /// <returns>ADOSC series</returns>
    public static TSeries Batch(TBarSeries source, int fastPeriod = 3, int slowPeriod = 10)
    {
        var adosc = new Adosc(fastPeriod, slowPeriod);
        return adosc.Update(source);
    }

    /// <summary>
    /// Calculates ADOSC for the entire span.
    /// </summary>
    /// <param name="high">High prices</param>
    /// <param name="low">Low prices</param>
    /// <param name="close">Close prices</param>
    /// <param name="volume">Volume</param>
    /// <param name="output">Output span</param>
    /// <param name="fastPeriod">Fast EMA period (default 3)</param>
    /// <param name="slowPeriod">Slow EMA period (default 10)</param>
    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    public static void Calculate(ReadOnlySpan<double> high, ReadOnlySpan<double> low, ReadOnlySpan<double> close, ReadOnlySpan<double> volume, Span<double> output, int fastPeriod = 3, int slowPeriod = 10)
    {
        if (high.Length != output.Length)
            throw new ArgumentException("Source and output spans must be of the same length.");

        Span<double> adl = high.Length <= 1024 ? stackalloc double[high.Length] : new double[high.Length];
        Adl.Calculate(high, low, close, volume, adl);

        Span<double> fastEma = high.Length <= 1024 ? stackalloc double[high.Length] : new double[high.Length];
        Span<double> slowEma = high.Length <= 1024 ? stackalloc double[high.Length] : new double[high.Length];

        Ema.Batch(adl, fastEma, fastPeriod);
        Ema.Batch(adl, slowEma, slowPeriod);

        SimdExtensions.Subtract(fastEma, slowEma, output);
    }
}