Class: Quant::Indicators::Indicator

Inherits:
Object
  • Object
show all
Includes:
Enumerable
Defined in:
lib/quant/indicators/indicator.rb

Direct Known Subclasses

Ma, Ping

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(series:, source:) ⇒ Indicator

Returns a new instance of Indicator.



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# File 'lib/quant/indicators/indicator.rb', line 19

def initialize(series:, source:)
  @series = series
  @source = source
  @points = {}
  series.each { |tick| self << tick }
end

Instance Attribute Details

#p0 ⇒ Object (readonly)

Returns the value of attribute p0.



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# File 'lib/quant/indicators/indicator.rb', line 38

def p0
  @p0
end

#p1 ⇒ Object (readonly)

Returns the value of attribute p1.



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# File 'lib/quant/indicators/indicator.rb', line 38

def p1
  @p1
end

#p2 ⇒ Object (readonly)

Returns the value of attribute p2.



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# File 'lib/quant/indicators/indicator.rb', line 38

def p2
  @p2
end

#p3 ⇒ Object (readonly)

Returns the value of attribute p3.



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# File 'lib/quant/indicators/indicator.rb', line 38

def p3
  @p3
end

#series ⇒ Object (readonly)

# include Mixins::TrendMethods include Mixins::Trig include Mixins::WeightedAverage include Mixins::HilbertTransform include Mixins::SuperSmoother include Mixins::Stochastic include Mixins::FisherTransform include Mixins::HighPassFilter include Mixins::Direction include Mixins::Filters



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# File 'lib/quant/indicators/indicator.rb', line 17

def series
  @series
end

#source ⇒ Object (readonly)

# include Mixins::TrendMethods include Mixins::Trig include Mixins::WeightedAverage include Mixins::HilbertTransform include Mixins::SuperSmoother include Mixins::Stochastic include Mixins::FisherTransform include Mixins::HighPassFilter include Mixins::Direction include Mixins::Filters



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# File 'lib/quant/indicators/indicator.rb', line 17

def source
  @source
end

#t0 ⇒ Object (readonly)

Returns the value of attribute t0.



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# File 'lib/quant/indicators/indicator.rb', line 39

def t0
  @t0
end

#t1 ⇒ Object (readonly)

Returns the value of attribute t1.



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# File 'lib/quant/indicators/indicator.rb', line 39

def t1
  @t1
end

#t2 ⇒ Object (readonly)

Returns the value of attribute t2.



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# File 'lib/quant/indicators/indicator.rb', line 39

def t2
  @t2
end

#t3 ⇒ Object (readonly)

Returns the value of attribute t3.



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# File 'lib/quant/indicators/indicator.rb', line 39

def t3
  @t3
end

Instance Method Details

#<<(tick) ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 41

def <<(tick)
  @t0 = tick
  @p0 = points_class.new(tick: tick, source: source)
  @points[tick] = @p0

  @p1 = values[-2] || @p0
  @p2 = values[-3] || @p1
  @p3 = values[-4] || @p2

  @t1 = ticks[-2] || @t0
  @t2 = ticks[-3] || @t1
  @t3 = ticks[-4] || @t2

  compute
end

#compute ⇒ Object

Raises:

  • (NotImplementedError) 


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# File 'lib/quant/indicators/indicator.rb', line 65

def compute
  raise NotImplementedError
end

#each(&block) ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 57

def each(&block)
  @points.each_value(&block)
end

#indicator_name ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 69

def indicator_name
  self.class.name.split("::").last
end

#input ⇒ Numeric

The input is the value derived from the source for the indicator for the current tick. For example, if the source is :oc2, then the input is the value of the current tick’s (open + close) / 2

Returns:

  • (Numeric) 


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# File 'lib/quant/indicators/indicator.rb', line 104

def input
  t0.send(source)
end

#inspect ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 61

def inspect
  "#<#{self.class.name} symbol=#{series.symbol} source=#{source} #{points.size} ticks>"
end

#p(offset) ⇒ Object

p(0) => values p(1) => values p(2) => values p(3) => values

Raises:

  • (ArgumentError) 


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# File 'lib/quant/indicators/indicator.rb', line 81

def p(offset)
  raise ArgumentError, "offset must be a positive value" if offset < 0

  index = offset + 1
  values[[-index, -size].max]
end

#points_class ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 73

def points_class
  Object.const_get "Quant::Indicators::#{indicator_name}Point"
end

#size ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 34

def size
  @points.size
end

#t(offset) ⇒ Object

t(0) => ticks t(1) => ticks t(2) => ticks t(3) => ticks

Raises:

  • (ArgumentError) 


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# File 'lib/quant/indicators/indicator.rb', line 92

def t(offset)
  raise ArgumentError, "offset must be a positive value" if offset < 0

  index = offset + 1
  ticks[[-index, -size].max]
end

#ticks ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 26

def ticks
  @points.keys
end

#values ⇒ Object 



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# File 'lib/quant/indicators/indicator.rb', line 30

def values
  @points.values
end