Struct TimeWindowIndicator<TInner, TSample, TValue, TTime>

Namespace

Virtufin.Core.Behavior

Assembly

Virtufin.Core.dll

Result of TimeWindow<TSelf, TSample, TValue, TTime>(IIndicator<TSelf, TSample, TValue>, Func<TSample, TTime>, Func<TTime, TTime, bool>). Maintains a duration-bounded window of the wrapped indicator's timestamped values.

public readonly struct TimeWindowIndicator<TInner, TSample, TValue, TTime> : IIndicator<TimeWindowIndicator<TInner, TSample, TValue, TTime>, TSample, ImmutableArray<TimestampedSample<TTime, TValue>>>, ISignal<ImmutableArray<TimestampedSample<TTime, TValue>>> where TInner : IIndicator<TInner, TSample, TValue> where TTime : IComparable<TTime>

Type Parameters

TInner

The wrapped indicator's concrete type.

TSample

The sample type consumed on each observation.

TValue

The wrapped indicator's value type.

TTime

The sample time type.

Implements

IIndicator<TimeWindowIndicator<TInner, TSample, TValue, TTime>, TSample, ImmutableArray<TimestampedSample<TTime, TValue>>>

ISignal<ImmutableArray<TimestampedSample<TTime, TValue>>>

Inherited Members

ValueType.Equals(object)

ValueType.GetHashCode()

ValueType.ToString()

object.Equals(object, object)

object.GetType()

object.ReferenceEquals(object, object)

Extension Methods

Returns.LogReturn<TSelf, TSample, TValue>(IIndicator<TSelf, TSample, TValue>, int, Func<TValue, TValue, TValue>)

ShannonEntropyIndicators.RunningShannonEntropy<TSelf, TSample, TValue>(IIndicator<TSelf, TSample, TValue>, int, double)

ShannonEntropyIndicators.RunningShannonEntropy<TSelf, TSample, TValue, TTime>(IIndicator<TSelf, TSample, TValue>, Func<TSample, TTime>, Func<TTime, TTime, bool>, double)

IndicatorExtensions.Adapt<TSelf, TSample, TValue, TExternal>(IIndicator<TSelf, TSample, TValue>, Func<TExternal, TSample>)

IndicatorExtensions.Combine<TLeft, TRight, TSample, TL, TR, TResult>(IIndicator<TLeft, TSample, TL>, IIndicator<TRight, TSample, TR>, Func<TL, TR, TResult>)

IndicatorExtensions.Lag<TSelf, TSample, TValue>(IIndicator<TSelf, TSample, TValue>, int)

IndicatorExtensions.Map<TSelf, TSample, TValue, TResult>(IIndicator<TSelf, TSample, TValue>, Func<TValue, TResult>)

IndicatorExtensions.Take<TSelf, TSample, TValue>(IIndicator<TSelf, TSample, TValue>, int)

IndicatorExtensions.TimeWindow<TSelf, TSample, TValue, TTime>(IIndicator<TSelf, TSample, TValue>, Func<TSample, TTime>, Func<TTime, TTime, bool>)

SignalExtensions.Combine<TA, TB, TResult>(ISignal<TA>, ISignal<TB>, Func<TA, TB, TResult>)

SignalExtensions.Map<T, TResult>(ISignal<T>, Func<T, TResult>)

Properties

Value

The current signal value.

public ImmutableArray<TimestampedSample<TTime, TValue>> Value { get; }

Property Value

ImmutableArray<TimestampedSample<TTime, TValue>>

Remarks

Oldest first.

Methods

Add(TSample)

Fold one more sample in, returning the updated indicator.

public TimeWindowIndicator<TInner, TSample, TValue, TTime> Add(TSample sample)

Parameters

sample TSample

The new observation.

Returns

TimeWindowIndicator<TInner, TSample, TValue, TTime>

A new indicator instance reflecting sample.