mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 20:18:05 +00:00
Miha Kralj
744d680435
- Implemented Vwapsd class for calculating VWAP with configurable standard deviation bands. - Added methods for updating the indicator with new bars and calculating VWAPSD using both bar series and span arrays. - Created comprehensive validation tests for VWAPSD, including checks for consistency between streaming and batch modes, mathematical correctness, and handling of edge cases such as NaN values and zero volume bars. - Ensured that the implementation adheres to performance standards with tests for large datasets and fractional numDevs values.
72 lines
2.6 KiB
C#
72 lines
2.6 KiB
C#
using System.Drawing;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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public class UbandsIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, minimum: 1, maximum: 1000, increment: 1, decimalPlaces: 0)]
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public int Period { get; set; } = 20;
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[InputParameter("Multiplier", sortIndex: 2, minimum: 0.1, maximum: 10.0, increment: 0.1, decimalPlaces: 1)]
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public double Multiplier { get; set; } = 1.0;
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[IndicatorExtensions.DataSourceInput(sortIndex: 3)]
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public SourceType Source { get; set; } = SourceType.Close;
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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 Ubands? ubands;
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protected LineSeries? MiddleSeries;
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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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public int MinHistoryDepths => Period;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"UBANDS ({Period},{Multiplier:F1})";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/channels/ubands/Ubands.cs";
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public UbandsIndicator()
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{
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Name = "UBANDS - Ehlers Ultimate Bands";
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Description = "Volatility channel using the Ehlers Ultrasmooth Filter (USF) as the middle band with RMS-based bands";
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MiddleSeries = new("Middle", Color.Blue, 2, LineStyle.Solid);
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UpperSeries = new("Upper", Color.Red, 1, LineStyle.Solid);
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LowerSeries = new("Lower", Color.Green, 1, LineStyle.Solid);
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WidthSeries = new("Width", Color.Gray, 1, LineStyle.Dot);
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AddLineSeries(MiddleSeries);
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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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ubands = new(Period, Multiplier);
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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 priceSelector = Source.GetPriceSelector();
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var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
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double price = priceSelector(item);
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var time = HistoricalData.Time();
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TValue input = new(time, price);
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TValue result = ubands!.Update(input, args.IsNewBar());
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MiddleSeries!.SetValue(result.Value, ubands.IsHot, ShowColdValues);
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UpperSeries!.SetValue(ubands.Upper.Value, ubands.IsHot, ShowColdValues);
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LowerSeries!.SetValue(ubands.Lower.Value, ubands.IsHot, ShowColdValues);
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WidthSeries!.SetValue(ubands.Width.Value, ubands.IsHot, ShowColdValues);
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}
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} |