chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the short stop and lower stop values of the Chande Kroll Stop Indicator.
+    /// It is used to determine the optimal placement of a stop-loss order.
+    /// </summary>
+    public class ChandeKrollStop : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly AverageTrueRange _atr;
+        private readonly decimal _atrMult;
+
+        private readonly Maximum _underlyingMaximum;
+        private readonly Minimum _underlyingMinimum;
+
+        /// <summary>
+        /// Gets the short stop of ChandeKrollStop.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> ShortStop { get; }
+
+        /// <summary>
+        /// Gets the long stop of ChandeKrollStop.
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> LongStop { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= WarmUpPeriod;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ChandeKrollStop"/> class.
+        /// </summary>
+        /// <param name="atrPeriod">The period over which to compute the average true range.</param>
+        /// <param name="atrMult">The ATR multiplier to be used to compute stops distance.</param>
+        /// <param name="period">The period over which to compute the max of high stop and min of low stop.</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public ChandeKrollStop(int atrPeriod, decimal atrMult, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
+            : this($"CKS({atrPeriod},{atrMult},{period})", atrPeriod, atrMult, period, movingAverageType)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ChandeKrollStop"/> class.
+        /// </summary>
+        /// <param name="name">The name.</param>
+        /// <param name="atrPeriod">The period over which to compute the average true range.</param>
+        /// <param name="atrMult">The ATR multiplier to be used to compute stops distance.</param>
+        /// <param name="period">The period over which to compute the max of high stop and min of low stop.</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public ChandeKrollStop(string name, int atrPeriod, decimal atrMult, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
+            : base(name)
+        {
+            WarmUpPeriod = atrPeriod + period - 1;
+
+            _atr = new AverageTrueRange(atrPeriod, movingAverageType);
+            _atrMult = atrMult;
+            _underlyingMaximum = new Maximum(atrPeriod);
+            _underlyingMinimum = new Minimum(atrPeriod);
+
+            LongStop = new Minimum(name + "_Long", period);
+            ShortStop = new Maximum(name + "_Short", period);
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>The input is returned unmodified.</returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            _atr.Update(input);
+
+            _underlyingMaximum.Update(input.EndTime, input.High);
+            var highStop = _underlyingMaximum.Current.Value - _atr.Current.Value * _atrMult;
+
+            _underlyingMinimum.Update(input.EndTime, input.Low);
+            var lowStop = _underlyingMinimum.Current.Value + _atr.Current.Value * _atrMult;
+
+            ShortStop.Update(input.EndTime, highStop);
+            LongStop.Update(input.EndTime, lowStop);
+
+            return input.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            base.Reset();
+            _atr.Reset();
+            _underlyingMaximum.Reset();
+            _underlyingMinimum.Reset();
+            ShortStop.Reset();
+            LongStop.Reset();
+        }
+    }
+}