Class SimpleMovingAverage<TTime, TValue>

Namespace

Virtufin.Base.Behaviour

Assembly

Virtufin.Base.dll

Time-windowed simple moving average. "Simple" describes the averaging method (uniformly-weighted mean), not the implementation — count-based windowing is the special case where samples happen to arrive at a regular cadence, so this is windowed by time in general.

public sealed class SimpleMovingAverage<TTime, TValue> : IIndicator<SimpleMovingAverage<TTime, TValue>, TimestampedSample<TTime, TValue>, TValue>, ISignal<TValue> where TTime : IComparable<TTime> where TValue : IAdditionOperators<TValue, TValue, TValue>, ISubtractionOperators<TValue, TValue, TValue>, IDivisionOperators<TValue, TValue, TValue>

Type Parameters

TTime

The sample time type.

TValue

The sample/average value type.

Inheritance

object

SimpleMovingAverage<TTime, TValue>

Implements

IIndicator<SimpleMovingAverage<TTime, TValue>, TimestampedSample<TTime, TValue>, TValue>

ISignal<TValue>

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.ReferenceEquals(object, object)

object.ToString()

Remarks

Immutable: Add(TimestampedSample<TTime, TValue>) returns a new instance, safe to carry inside an IStrategyState record without mutation. Backed by an ImmutableQueue<T> of in-window samples (append at back, evict from front, peek front — O(1) amortized per operation), with a running sum maintained incrementally rather than resummed on every Value read.

Properties

Count

Number of samples currently inside the window.

public int Count { get; }

Property Value

int

Value

The current signal value.

public TValue Value { get; }

Property Value

TValue

Exceptions

InvalidOperationException

No samples have been added yet.

Methods

Add(TimestampedSample<TTime, TValue>)

Fold one more sample in, returning the updated indicator.

public SimpleMovingAverage<TTime, TValue> Add(TimestampedSample<TTime, TValue> sample)

Parameters

sample TimestampedSample<TTime, TValue>

The new observation.

Returns

SimpleMovingAverage<TTime, TValue>

A new indicator instance reflecting sample.

Empty(Func<int, TValue>, Func<TTime, TTime, bool>)

Construct an empty average with no samples yet.

public static SimpleMovingAverage<TTime, TValue> Empty(Func<int, TValue> fromCount, Func<TTime, TTime, bool> isExpired)

Parameters

fromCount Func<int, TValue>

Converts a sample count into a TValue divisor — reusable across every Add(TimestampedSample<TTime, TValue>) call, since the in-window count varies under time-based windowing (e.g. for decimal: count => (decimal)count).

isExpired Func<TTime, TTime, bool>

Called as isExpired(oldestSampleTime, newestTime) during eviction to decide whether the oldest in-window sample has fallen out of the window (e.g. for DateTimeOffset: (old, latest) => (latest - old) > windowDuration).

Returns

SimpleMovingAverage<TTime, TValue>