Joshua Joshua - 8 months ago 179
C# Question

Calculate Exponential Moving Average on a Queue in C#

I have a simple class for calculating the moving average of values I add to it. I use it like this:

MovingAverage ma = new MovingAverage();

//the class
public class MovingAverage
public int Period = 5;
private Queue<double> Quotes = new Queue<double>();

public void Push(double quote)
if (Quotes.Count == Period)

public void Clear()
public double Average { get { if (Quotes.Count == 0) return 0; return Quotes.Average(); } }
public double ExponentialMovingAverage

I would like to extend this class to also return the ExponentialMovingAverage. How would you write return the Exponential Average of the Queued items in Quotes?

I realize you will need to add an Alpha property to the class but I'm not sure how to complete the math for the calculation.

Ani Ani

How about with LINQ:

return Quotes.DefaultIfEmpty()
             .Aggregate((ema, nextQuote) => alpha * nextQuote + (1 - alpha) * ema);

I would point out that for real-time financial data, this is highly inefficient. A much better way would be to cache the previous EMA value and update it on a new quote with the above (constant-time) recurrence-formula.