wehub-resource-sync
100 lines
3.5 KiB
C#
100 lines
3.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections;
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using System.Collections.Generic;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Provides a base class for types that maintain a rolling window history of values.
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/// This is the single source of truth for window logic shared between indicators and consolidators.
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/// </summary>
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/// <typeparam name="T">The type of value stored in the rolling window</typeparam>
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public abstract class WindowBase<T> : IEnumerable<T>
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{
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private RollingWindow<T> _window;
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/// <summary>
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/// The default number of values to keep in the rolling window history
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/// </summary>
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public static int DefaultWindowSize { get; } = 2;
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/// <summary>
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/// Initializes a new instance of the <see cref="WindowBase{T}"/> class.
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/// </summary>
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protected WindowBase() { }
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/// <summary>
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/// Initializes the rolling window with the given size.
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/// </summary>
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protected WindowBase(int windowSize)
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{
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_window = new RollingWindow<T>(windowSize);
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}
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/// <summary>
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/// A rolling window keeping a history of values. The most recent value is at index 0.
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/// Uses lazy initialization to support Python subclasses that do not call base constructors.
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/// </summary>
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public virtual RollingWindow<T> Window => _window ??= new RollingWindow<T>(DefaultWindowSize);
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/// <summary>
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/// Gets the most recent value. The protected setter adds the value to the rolling window.
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/// </summary>
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public virtual T Current
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{
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get
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{
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return Window[0];
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}
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protected set
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{
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Window.Add(value);
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}
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}
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/// <summary>
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/// Gets the previous value, or default if fewer than two values have been produced.
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/// </summary>
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public virtual T Previous => Window.Count > 1 ? Window[1] : default;
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/// <summary>
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/// Indexes the history window, where index 0 is the most recent value.
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/// </summary>
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/// <param name="i">The index</param>
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/// <returns>The ith most recent value</returns>
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public T this[int i] => Window[i];
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/// <summary>
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/// Returns an enumerator that iterates through the history window.
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/// </summary>
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public IEnumerator<T> GetEnumerator() => Window.GetEnumerator();
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/// <summary>
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/// Returns an enumerator that iterates through the history window.
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/// </summary>
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IEnumerator IEnumerable.GetEnumerator() => GetEnumerator();
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/// <summary>
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/// Resets the rolling window, clearing all stored values.
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/// </summary>
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protected void ResetWindow()
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{
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_window?.Reset();
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}
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}
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}
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