managing-apps/src/Managing.Domain/Indicators/Signals/ChandelierExitIndicatorBase.cs

using Managing.Core;
using Managing.Domain.Candles;
using Managing.Domain.Indicators;
using Managing.Domain.Shared.Rules;
using Managing.Domain.Strategies.Base;
using Skender.Stock.Indicators;
using static Managing.Common.Enums;

namespace Managing.Domain.Strategies.Signals;

public class ChandelierExitIndicatorBase : IndicatorBase
{
    public List<LightSignal> Signals { get; set; }

    public ChandelierExitIndicatorBase(string name, int period, double multiplier) : base(name,
        IndicatorType.ChandelierExit)
    {
        Signals = new List<LightSignal>();
        Period = period;
        Multiplier = multiplier;
        MinimumHistory = 1 + Period.Value;
    }

    public override List<LightSignal> Run(HashSet<Candle> candles)
    {
        if (candles.Count <= MinimumHistory)
        {
            return null;
        }

        try
        {
            ProcessChandelierSignals(candles);

            return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
        }
        catch (RuleException)
        {
            return null;
        }
    }

    /// <summary>
    /// Runs the indicator using pre-calculated Chandelier values for performance optimization.
    /// </summary>
    public override List<LightSignal> Run(HashSet<Candle> candles, IndicatorsResultBase preCalculatedValues)
    {
        if (candles.Count <= MinimumHistory)
        {
            return null;
        }

        try
        {
            // Use pre-calculated Chandelier values if available
            List<ChandelierResult> chandelierLong = null;
            List<ChandelierResult> chandelierShort = null;
            if (preCalculatedValues?.ChandelierLong != null && preCalculatedValues.ChandelierLong.Any() &&
                preCalculatedValues?.ChandelierShort != null && preCalculatedValues.ChandelierShort.Any())
            {
                // Filter pre-calculated Chandelier values to match the candles we're processing
                chandelierLong = preCalculatedValues.ChandelierLong
                    .Where(c => c.ChandelierExit.HasValue && candles.Any(candle => candle.Date == c.Date))
                    .OrderBy(c => c.Date)
                    .ToList();
                chandelierShort = preCalculatedValues.ChandelierShort
                    .Where(c => c.ChandelierExit.HasValue && candles.Any(candle => candle.Date == c.Date))
                    .OrderBy(c => c.Date)
                    .ToList();
            }

            // If no pre-calculated values or they don't match, fall back to regular calculation
            if (chandelierLong == null || !chandelierLong.Any() || chandelierShort == null || !chandelierShort.Any())
            {
                return Run(candles);
            }

            ProcessChandelierSignalsWithPreCalculated(chandelierLong, chandelierShort, candles);

            return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
        }
        catch (RuleException)
        {
            return null;
        }
    }

    /// <summary>
    /// Processes Chandelier signals for both Long and Short types.
    /// This method is shared between the regular Run() and optimized Run() methods.
    /// </summary>
    /// <param name="candles">Candles to process</param>
    private void ProcessChandelierSignals(HashSet<Candle> candles)
    {
        GetSignals(ChandelierType.Long, candles);
        GetSignals(ChandelierType.Short, candles);
    }

    /// <summary>
    /// Processes Chandelier signals using pre-calculated values.
    /// </summary>
    /// <param name="chandelierLong">Pre-calculated Long Chandelier values</param>
    /// <param name="chandelierShort">Pre-calculated Short Chandelier values</param>
    /// <param name="candles">Candles to process</param>
    private void ProcessChandelierSignalsWithPreCalculated(
        List<ChandelierResult> chandelierLong,
        List<ChandelierResult> chandelierShort,
        HashSet<Candle> candles)
    {
        GetSignalsWithPreCalculated(ChandelierType.Long, chandelierLong, candles);
        GetSignalsWithPreCalculated(ChandelierType.Short, chandelierShort, candles);
    }

    public override IndicatorsResultBase GetIndicatorValues(HashSet<Candle> candles)
    {
        return new IndicatorsResultBase()
        {
            ChandelierLong = candles.GetChandelier(Period.Value, Multiplier.Value, ChandelierType.Long).ToList(),
            ChandelierShort = candles.GetChandelier(Period.Value, Multiplier.Value, ChandelierType.Short).ToList()
        };
    }

    private void GetSignals(ChandelierType chandelierType, HashSet<Candle> candles)
    {
        var chandelier = candles.GetChandelier(Period.Value, Multiplier.Value, chandelierType)
            .Where(s => s.ChandelierExit.HasValue).ToList();
        ProcessChandelierSignalsForType(chandelier, chandelierType, candles);
    }

    private void GetSignalsWithPreCalculated(ChandelierType chandelierType, List<ChandelierResult> chandelier, HashSet<Candle> candles)
    {
        ProcessChandelierSignalsForType(chandelier, chandelierType, candles);
    }

    /// <summary>
    /// Processes Chandelier signals for a specific type (Long or Short).
    /// This method is shared between regular and optimized signal processing.
    /// </summary>
    /// <param name="chandelier">Chandelier calculation results</param>
    /// <param name="chandelierType">Type of Chandelier (Long or Short)</param>
    /// <param name="candles">Candles to process</param>
    private void ProcessChandelierSignalsForType(List<ChandelierResult> chandelier, ChandelierType chandelierType, HashSet<Candle> candles)
    {
        var chandelierCandle = MapChandelierToCandle(chandelier, candles.TakeLast(MinimumHistory));
        if (chandelierCandle.Count == 0)
            return;

        var previousCandle = chandelierCandle[0];
        foreach (var currentCandle in chandelierCandle.Skip(1))
        {
            // Short
            if (currentCandle.Close < previousCandle.ChandelierExit &&
                previousCandle.Close > previousCandle.ChandelierExit &&
                currentCandle.Close < previousCandle.Open &&
                chandelierType == ChandelierType.Short)
            {
                AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
            }

            // Long
            if (currentCandle.Close > previousCandle.ChandelierExit &&
                previousCandle.Close < previousCandle.ChandelierExit &&
                currentCandle.Close > currentCandle.Open &&
                chandelierType == ChandelierType.Long)
            {
                AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
            }

            previousCandle = currentCandle;
        }
    }

    private List<CandleChandelier> MapChandelierToCandle(List<ChandelierResult> superTrend, IEnumerable<Candle> candles)
    {
        var superTrends = new List<CandleChandelier>();
        foreach (var candle in candles)
        {
            var currentChandelier = superTrend.Find(candle.Date);
            if (currentChandelier != null)
            {
                superTrends.Add(new CandleChandelier()
                {
                    Close = candle.Close,
                    Open = candle.Open,
                    Date = candle.Date,
                    Ticker = candle.Ticker,
                    Exchange = candle.Exchange,
                    ChandelierExit = (decimal)currentChandelier.ChandelierExit.Value,
                });
            }
        }

        return superTrends;
    }

    private void AddSignal(CandleChandelier candleSignal, TradeDirection direction,
        Confidence confidence)
    {
        var signal = new LightSignal(
            candleSignal.Ticker,
            direction,
            confidence,
            candleSignal,
            candleSignal.Date,
            candleSignal.Exchange,
            Type, SignalType,
            Name);
        if (!Signals.Any(s => s.Identifier == signal.Identifier))
        {
            Signals.AddItem(signal);
        }
    }


    private class CandleChandelier : Candle
    {
        public decimal ChandelierExit { get; internal set; }
    }
}