chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes)
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/// </summary>
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public class RenkoBar : BaseRenkoBar
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{
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/// <summary>
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/// Gets the end time of this renko bar or the most recent update time if it <see cref="BaseRenkoBar.IsClosed"/>
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/// </summary>
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[Obsolete("RenkoBar.End is obsolete. Please use RenkoBar.EndTime property instead.")]
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public DateTime End
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{
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get { return EndTime; }
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set { EndTime = value; }
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}
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/// <summary>
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/// The trend of the bar (i.e. Rising, Falling or NoDelta)
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/// </summary>
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public BarDirection Direction
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{
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get
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{
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if (Open < Close)
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return BarDirection.Rising;
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else if (Open > Close)
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return BarDirection.Falling;
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else
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return BarDirection.NoDelta;
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}
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}
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/// <summary>
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/// The "spread" of the bar
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/// </summary>
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public decimal Spread
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{
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get
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{
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return Math.Abs(Close - Open);
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}
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}
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/// <summary>
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/// Initializes a new default instance of the <see cref="RenkoBar"/> class.
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/// </summary>
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public RenkoBar()
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="RenkoBar"/> class with the specified values
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/// </summary>
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/// <param name="symbol">The symbol of this data</param>
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/// <param name="time">The start time of the bar</param>
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/// <param name="brickSize">The size of each renko brick</param>
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/// <param name="open">The opening price for the new bar</param>
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/// <param name="volume">Any initial volume associated with the data</param>
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public RenkoBar(Symbol symbol, DateTime time, decimal brickSize,
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decimal open, decimal volume)
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{
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Type = RenkoType.Classic;
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Symbol = symbol;
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Start = time;
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EndTime = time;
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BrickSize = brickSize;
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Open = open;
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Close = open;
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Volume = volume;
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High = open;
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Low = open;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="RenkoBar"/> class with the specified values
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/// </summary>
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/// <param name="symbol">The symbol of this data</param>
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/// <param name="start">The start time of the bar</param>
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/// <param name="endTime">The end time of the bar</param>
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/// <param name="brickSize">The size of each wicko brick</param>
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/// <param name="open">The opening price for the new bar</param>
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/// <param name="high">The high price for the new bar</param>
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/// <param name="low">The low price for the new bar</param>
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/// <param name="close">The closing price for the new bar</param>
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public RenkoBar(Symbol symbol, DateTime start, DateTime endTime,
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decimal brickSize, decimal open, decimal high, decimal low, decimal close)
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{
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Type = RenkoType.Wicked;
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Symbol = symbol;
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Start = start;
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EndTime = endTime;
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BrickSize = brickSize;
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Open = open;
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Close = close;
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Volume = 0;
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High = high;
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Low = low;
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}
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/// <summary>
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/// Updates this <see cref="RenkoBar"/> with the specified values and returns whether or not this bar is closed
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/// </summary>
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/// <param name="time">The current time</param>
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/// <param name="currentValue">The current value</param>
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/// <param name="volumeSinceLastUpdate">The volume since the last update called on this instance</param>
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/// <returns>True if this bar <see cref="BaseRenkoBar.IsClosed"/></returns>
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public bool Update(DateTime time, decimal currentValue, decimal volumeSinceLastUpdate)
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{
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if (Type == RenkoType.Wicked)
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throw new InvalidOperationException("A \"Wicked\" RenkoBar cannot be updated!");
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// can't update a closed renko bar
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if (IsClosed) return true;
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if (Start == DateTime.MinValue) Start = time;
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EndTime = time;
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// compute the min/max closes this renko bar can have
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decimal lowClose = Open - BrickSize;
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decimal highClose = Open + BrickSize;
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Close = Math.Min(highClose, Math.Max(lowClose, currentValue));
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Volume += volumeSinceLastUpdate;
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// determine if this data caused the bar to close
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if (currentValue <= lowClose || currentValue >= highClose)
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{
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IsClosed = true;
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}
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if (Close > High) High = Close;
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if (Close < Low) Low = Close;
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return IsClosed;
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}
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/// <summary>
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/// Return a new instance clone of this object, used in fill forward
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/// </summary>
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/// <remarks>
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/// This base implementation uses reflection to copy all public fields and properties
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/// </remarks>
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/// <returns>A clone of the current object</returns>
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public override BaseData Clone()
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{
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return new RenkoBar
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{
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Type = Type,
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BrickSize = BrickSize,
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Open = Open,
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Volume = Volume,
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Close = Close,
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EndTime = EndTime,
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High = High,
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IsClosed = IsClosed,
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Low = Low,
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Time = Time,
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Value = Value,
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Symbol = Symbol,
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DataType = DataType
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};
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}
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}
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}
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