Does `quotes.Aggregate(PeriodSize.Week)` use a fixed calendar week?

DaveSkender / Stock.Indicators

Stock Indicators for .NET is a C# NuGet package that transforms raw equity, commodity, forex, or cryptocurrency financial market price quotes into technical indicators and trading insights. You'll need this essential data in the investment tools that you're building for algorithmic trading, technical analysis, machine learning, or visual charting.

https://dotnet.StockIndicators.dev

Apache License 2.0

953 stars 237 forks source link

Does `quotes.Aggregate(PeriodSize.Week)` use a fixed calendar week? #1184

Open DaveSkender opened 5 months ago

DaveSkender commented 5 months ago

The quotes.Aggregate(PeriodSize.Week) utility likely uses a rolling 7-day week instead of a fixed week with a specific day (e.g. Saturday) as the end -- which may be more preferred in most use cases.

[ ] confirm its behavior with additional unit tests
[ ] update documentation to clarify exactly how it boxes dates at each size
[ ] consider providing overloads to allow both rolling or fixed calendar windows (e.g. with CalendarWeekRule)

Originally posted by @DaveSkender in https://github.com/DaveSkender/Stock.Indicators/issues/1183#issuecomment-2030205582

DaveSkender commented 5 months ago

The fix here is likely to make the non-TimeSpan variant of this method only use fixed calendar windows, like we do in our regular week block code for Pivot Points.

... switch {
  PeriodSize.Month => d.Month,
  PeriodSize.Week => EnglishCalendar.GetWeekOfYear(d, EnglishCalendarWeekRule, EnglishFirstDayOfWeek),
  ...

to do

[ ] only use fixed calendar window, not the rolling 7-day period, for week
[ ] update and clarify in documentation
[ ] test that sub-week variants can be done this way as well. It may require more def on CalendarWeekRule as the arbitrary starting date e.g. for 3-day / 15-minute. Do we need one rule for each window size?

hmuhdkamran commented 5 months ago

Great, hoping it may get the good result, I am waiting for new rollout, when you fix the issue. I am also planning, to use dll in rust and go, and creat a library for rust and go users as well.

DaveSkender commented 5 months ago

I am also planning to use dll in rust and go, and creat a library for rust and go users as well.

If you get started with Go and/or Rust, think you can commit to it long term, and want to add it to our collection with some co-branding on go/rust.stockindicators.dev, let me know. I’ll likely be moving these repos out of my personal account over to the @facioquo Org in the next months, and can start adding contributions there.

hmuhdkamran commented 5 months ago

Let's have a plan for it, and by proper timeline, lets start on it. I will make spare time for it and some weekends too, and let it start for the finish.

DaveSkender commented 5 months ago

I am also planning to use dll in rust and go, and creat a library for rust and go users as well.

@hmuhdkamran, let's continue this discussion here:

https://github.com/DaveSkender/Stock.Indicators/discussions/1187