feat: Full chain streaming prototypes (#1092)

Signed-off-by: Dave Skender <[email protected]>
DaveSkender · Oct 27, 2024 · 0605107 · 0605107
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diff --git a/.editorconfig b/.editorconfig
@@ -15,18 +15,9 @@ max_line_length = 150
 trim_trailing_whitespace = true
 insert_final_newline = true
 
-[*.{csproj,props,targets}]
-indent_style = space
-indent_size = 2
-
-[*.yml]
-indent_style = space
-indent_size = 2
-
 [*.{cs,vb}]
 tab_width = 4
 indent_size = 4
-end_of_line = lf
 
 #### Naming styles ####
 
@@ -70,11 +61,6 @@ dotnet_naming_style.pascal_case.required_suffix =
 dotnet_naming_style.pascal_case.word_separator =
 dotnet_naming_style.pascal_case.capitalization = pascal_case
 
-dotnet_naming_style.pascal_case.required_prefix =
-dotnet_naming_style.pascal_case.required_suffix =
-dotnet_naming_style.pascal_case.word_separator =
-dotnet_naming_style.pascal_case.capitalization = pascal_case
-
 dotnet_code_quality_unused_parameters = all:suggestion
 
 dotnet_sort_system_directives_first = true
@@ -87,7 +73,7 @@ dotnet_style_null_propagation = true:suggestion
 dotnet_style_prefer_is_null_check_over_reference_equality_method = true:suggestion
 dotnet_style_prefer_auto_properties = true:silent
 dotnet_style_object_initializer = true:suggestion
-dotnet_style_prefer_collection_expression = true:suggestion
+dotnet_style_prefer_collection_expression = false:suggestion
 
 [*.cs]
 # ref: https://learn.microsoft.com/en-us/dotnet/fundamentals/code-analysis/style-rules/csharp-formatting-options

diff --git a/.github/ISSUE_TEMPLATE/bug_report.yml b/.github/ISSUE_TEMPLATE/bug_report.yml
@@ -23,7 +23,7 @@ body:
       render: csharp
       placeholder: |
         // example (put your own code here)
-        IEnumerable<EmaResult> results = quotes.GetEma(14);
+        IReadOnlyList<EmaResult> results = quotes.GetEma(14);
     validations:
       required: false
   - type: textarea

diff --git a/.github/workflows/test-examples.yml b/.github/workflows/test-examples.yml
@@ -2,12 +2,12 @@ name: Examples
 
 on:
   push:
-    branches: ["main"]
+    branches: ["main","v3"]
     paths:
       - docs/examples/**
 
   pull_request:
-    branches: ["main"]
+    branches: ["main","v3"]
     paths:
       - docs/examples/**
       - ".github/workflows/test-examples.yml"

diff --git a/.github/workflows/test-indicators.yml b/.github/workflows/test-indicators.yml
@@ -20,7 +20,7 @@ jobs:
     strategy:
       matrix:
         os: [windows-latest, ubuntu-latest, macos-latest]
-        dotnet-version: ["2.0.x", "6.x", "8.x"]
+        dotnet-version: ["6.x", "8.x"]
 
     env:
 

diff --git a/.github/workflows/test-performance.yml b/.github/workflows/test-performance.yml
@@ -42,12 +42,29 @@ jobs:
           --configuration Release
           --property:ContinuousIntegrationBuild=true
 
-      - name: Benchmark indicators
+      - name: Test performance
         working-directory: tests/performance
         run: dotnet run -c Release
 
+      - name: Save test results
+        uses: actions/upload-artifact@v4
+        with:
+          name: test-summaries
+          path: tests/performance/BenchmarkDotNet.Artifacts/results
+
       - name: Publish summary
         working-directory: tests/performance/BenchmarkDotNet.Artifacts/results
         run: |
           echo "### Package version ${{ steps.gitversion.outputs.fullSemVer }}" >> $GITHUB_STEP_SUMMARY
-          cat Tests.Performance.IndicatorsStatic-report-github.md >> $GITHUB_STEP_SUMMARY
+
+          echo "## Series indicators" >> $GITHUB_STEP_SUMMARY
+          cat Performance.SeriesIndicators-report-github.md >> $GITHUB_STEP_SUMMARY
+
+          echo "## Stream indicators (with Quote caching)" >> $GITHUB_STEP_SUMMARY
+          cat Performance.StreamIndicators-report-github.md >> $GITHUB_STEP_SUMMARY
+
+          echo "## Incremental indicators (with buffer)" >> $GITHUB_STEP_SUMMARY
+          cat Performance.Incrementals-report-github.md >> $GITHUB_STEP_SUMMARY
+
+          echo "## Utilities" >> $GITHUB_STEP_SUMMARY
+          cat Performance.Utility-report-github.md >> $GITHUB_STEP_SUMMARY
diff --git a/.github/workflows/test-website-a11y.yml b/.github/workflows/test-website-a11y.yml
@@ -1,8 +1,10 @@
 name: Website
 
 on:
+  push:
+    branches: ["v3"]
   pull_request:
-    branches: [main]
+    branches: ["main"]
     paths:
       - 'docs/**'
       - ".github/workflows/test-website-a11y.yml"

diff --git a/.github/workflows/test-website-links.yml b/.github/workflows/test-website-links.yml
@@ -1,8 +1,10 @@
 name: Website
 
 on:
+  push:
+    branches: ["v3"]
   pull_request:
-    branches: [main]
+    branches: ["main"]
     paths:
       - 'docs/**'
       - ".github/workflows/test-website-links.yml"

diff --git a/.gitignore b/.gitignore
@@ -111,12 +111,13 @@ $tf/
 # Guidance Automation Toolkit
 *.gpState
 
-# ReSharper is a .NET coding add-in
+# ReSharper IDE extension
 _ReSharper*/
 *.[Rr]e[Ss]harper
 *.DotSettings.user
+*.DotSettings
 
-# JustCode is a .NET coding add-in
+# JustCode IDE extension
 .JustCode
 
 # TeamCity is a build add-in
@@ -218,7 +219,7 @@ ClientBin/
 *.publishsettings
 orleans.codegen.cs
 
-# Including strong name files can present a security risk 
+# Including strong name files can present a security risk
 # (https://github.com/github/gitignore/pull/2483#issue-259490424)
 #*.snk
 
@@ -314,7 +315,7 @@ __pycache__/
 # OpenCover UI analysis results
 OpenCover/
 
-# Azure Stream Analytics local run output 
+# Azure Stream Analytics local run output
 ASALocalRun/
 
 # MSBuild Binary and Structured Log
@@ -323,11 +324,11 @@ ASALocalRun/
 # NVidia Nsight GPU debugger configuration file
 *.nvuser
 
-# MFractors (Xamarin productivity tool) working folder 
+# MFractors (Xamarin productivity tool) working folder
 .mfractor/
 
 # Jekyll site
 _site/
 
 # zip artifacts
-.DS_Store
+.DS_Store
diff --git a/Stock.Indicators.sln b/Stock.Indicators.sln
@@ -19,13 +19,14 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Tests.Other", "tests\other\
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Tests.Performance", "tests\performance\Tests.Performance.csproj", "{3BD4837B-D197-41FD-A286-A3256D0770E1}"
 EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Observe.Streaming", "tests\observe\Observe.Streaming.csproj", "{14DEC3AF-9AF2-4A66-8BEE-C342C6CC4307}"
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Test.Application", "tests\application\Test.Application.csproj", "{14DEC3AF-9AF2-4A66-8BEE-C342C6CC4307}"
 	ProjectSection(ProjectDependencies) = postProject
 		{11CD6C7E-871F-4903-AEAD-58E034C6521D} = {11CD6C7E-871F-4903-AEAD-58E034C6521D}
 		{8D0F1781-EDA3-4C51-B05D-D33FF1156E49} = {8D0F1781-EDA3-4C51-B05D-D33FF1156E49}
 	EndProjectSection
 EndProject
-
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Test.Simulation", "tests\simulate\Test.Simulation.csproj", "{9C9045D2-9928-41F8-97FC-ECCBDD3B9868}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -52,6 +53,10 @@ Global
 		{14DEC3AF-9AF2-4A66-8BEE-C342C6CC4307}.Debug|Any CPU.Build.0 = Debug|Any CPU
 		{14DEC3AF-9AF2-4A66-8BEE-C342C6CC4307}.Release|Any CPU.ActiveCfg = Release|Any CPU
 		{14DEC3AF-9AF2-4A66-8BEE-C342C6CC4307}.Release|Any CPU.Build.0 = Release|Any CPU
+		{9C9045D2-9928-41F8-97FC-ECCBDD3B9868}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{9C9045D2-9928-41F8-97FC-ECCBDD3B9868}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{9C9045D2-9928-41F8-97FC-ECCBDD3B9868}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{9C9045D2-9928-41F8-97FC-ECCBDD3B9868}.Release|Any CPU.Build.0 = Release|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE

diff --git a/docs/_data/aliases.yml b/docs/_data/aliases.yml
@@ -59,23 +59,23 @@
   type: price-characteristic
 
 - title: HL2
-  permalink: /indicators/BasicQuote/
+  permalink: /indicators/quotepart/
   type: price-transform
 
 - title: HLC3
-  permalink: /indicators/BasicQuote/
+  permalink: /indicators/quotepart/
   type: price-transform
 
 - title: OC2
-  permalink: /indicators/BasicQuote/
+  permalink: /indicators/quotepart/
   type: price-transform
 
 - title: OHL3
-  permalink: /indicators/BasicQuote/
+  permalink: /indicators/quotepart/
   type: price-transform
 
 - title: OHLC4
-  permalink: /indicators/BasicQuote/
+  permalink: /indicators/quotepart/
   type: price-transform
 
 - title: Price Channels

diff --git a/docs/_includes/candle-properties.md b/docs/_includes/candle-properties.md
@@ -2,7 +2,7 @@
 
 | name | type | notes
 | -- |-- |--
-| `Date` | DateTime | Date
+| `Timestamp` | DateTime | Close date
 | `Open` | decimal | Open price
 | `High` | decimal | High price
 | `Low` | decimal | Low price

diff --git a/docs/_includes/candle-result.md b/docs/_includes/candle-result.md
@@ -1,6 +1,6 @@
 ### CandleResult
 
-**`Date`** _`DateTime`_ - Date
+**`Timestamp`** _`DateTime`_ - Time of last trade in candle period
 
 **`Price`** _`decimal`_ - Price of the most relevant OHLC candle element when a signal is present
 

diff --git a/docs/_indicators/Adl.md b/docs/_indicators/Adl.md
@@ -16,19 +16,11 @@ Created by Marc Chaikin, the [Accumulation/Distribution Line/Index](https://en.w
 
 ```csharp
 // C# usage syntax
-IEnumerable<AdlResult> results =
+IReadOnlyList<AdlResult> results =
   quotes.GetAdl();
-
-// usage with optional overlay SMA of ADL (shown above)
-IEnumerable<AdlResult> results =
-  quotes.GetAdl(smaPeriods);
 ```
 
-## Parameters
-
-**`smaPeriods`** _`int`_ - Optional.  Number of periods (`N`) in the moving average of ADL.  Must be greater than 0, if specified.
-
-### Historical quotes requirements
+## Historical quotes requirements
 
 You must have at least two historical quotes to cover the warmup periods; however, since this is a trendline, more is recommended.
 
@@ -37,7 +29,7 @@ You must have at least two historical quotes to cover the warmup periods; howeve
 ## Response
 
 ```csharp
-IEnumerable<AdlResult>
+IReadOnlyList<AdlResult>
 ```
 
 - This method returns a time series of all available indicator values for the `quotes` provided.
@@ -46,16 +38,14 @@ IEnumerable<AdlResult>
 
 ### AdlResult
 
-**`Date`** _`DateTime`_ - Date from evaluated `TQuote`
+**`Timestamp`** _`DateTime`_ - date from evaluated `TQuote`
 
 **`MoneyFlowMultiplier`** _`double`_ - Money Flow Multiplier
 
 **`MoneyFlowVolume`** _`double`_ - Money Flow Volume
 
 **`Adl`** _`double`_ - Accumulation Distribution Line (ADL)
 
-**`AdlSma`** _`double`_ - Moving average (SMA) of ADL based on `smaPeriods` periods, if specified
-
 > &#128681; **Warning**: absolute values in ADL and MFV are somewhat meaningless.  Use with caution.
 
 ### Utilities

diff --git a/docs/_indicators/Adx.md b/docs/_indicators/Adx.md
@@ -16,7 +16,7 @@ Created by J. Welles Wilder, the Directional Movement Index (DMI) and [Average D
 
 ```csharp
 // C# usage syntax
-IEnumerable<AdxResult> results =
+IReadOnlyList<AdxResult> results =
   quotes.GetAdx(lookbackPeriods);
 ```
 
@@ -33,7 +33,7 @@ You must have at least `2×N+100` periods of `quotes` to cover the [warmup and c
 ## Response
 
 ```csharp
-IEnumerable<AdxResult>
+IReadOnlyList<AdxResult>
 ```
 
 - This method returns a time series of all available indicator values for the `quotes` provided.
@@ -45,7 +45,7 @@ IEnumerable<AdxResult>
 
 ### AdxResult
 
-**`Date`** _`DateTime`_ - Date from evaluated `TQuote`
+**`Timestamp`** _`DateTime`_ - date from evaluated `TQuote`
 
 **`Pdi`** _`double`_ - Plus Directional Index (+DI)
 

diff --git a/docs/_indicators/Alligator.md b/docs/_indicators/Alligator.md
@@ -16,7 +16,7 @@ Created by Bill Williams, Alligator is a depiction of three smoothed moving aver
 
 ```csharp
 // C# usage syntax
-IEnumerable<AlligatorResult> results =
+IReadOnlyList<AlligatorResult> results =
   quotes.GetAlligator(jawPeriods,jawOffset,teethPeriods,teethOffset,lipsPeriods,lipsOffset);
 ```
 
@@ -43,7 +43,7 @@ You must have at least `JP+JO+100` periods of `quotes` to cover the [warmup and
 ## Response
 
 ```csharp
-IEnumerable<AlligatorResult>
+IReadOnlyList<AlligatorResult>
 ```
 
 - This method returns a time series of all available indicator values for the `quotes` provided.
@@ -55,7 +55,7 @@ IEnumerable<AlligatorResult>
 
 ### AlligatorResult
 
-**`Date`** _`DateTime`_ - Date from evaluated `TQuote`
+**`Timestamp`** _`DateTime`_ - date from evaluated `TQuote`
 
 **`Jaw`** _`double`_ - Alligator's Jaw
 

diff --git a/docs/_indicators/Alma.md b/docs/_indicators/Alma.md
@@ -16,7 +16,7 @@ Created by Arnaud Legoux and Dimitrios Kouzis-Loukas, [ALMA]({{site.github.repos
 
 ```csharp
 // C# usage syntax
-IEnumerable<AlmaResult> results =
+IReadOnlyList<AlmaResult> results =
   quotes.GetAlma(lookbackPeriods, offset, sigma);
 ```
 
@@ -37,7 +37,7 @@ You must have at least `N` periods of `quotes` to cover the warmup periods.
 ## Response
 
 ```csharp
-IEnumerable<AlmaResult>
+IReadOnlyList<AlmaResult>
 ```
 
 - This method returns a time series of all available indicator values for the `quotes` provided.
@@ -47,7 +47,7 @@ IEnumerable<AlmaResult>
 
 ### AlmaResult
 
-**`Date`** _`DateTime`_ - Date from evaluated `TQuote`
+**`Timestamp`** _`DateTime`_ - date from evaluated `TQuote`
 
 **`Alma`** _`double`_ - Arnaud Legoux Moving Average