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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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect
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{
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/// <summary>
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/// Provides static properties to be used as selectors with the indicator system
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/// </summary>
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public static partial class Field
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{
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private readonly static Func<IBaseData, decimal> _high = DataTypePropertyOrValue<IBaseDataBar>(x => x.High);
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private readonly static Func<IBaseData, decimal> _low = DataTypePropertyOrValue<IBaseDataBar>(x => x.Low);
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private readonly static Func<IBaseData, decimal> _open = DataTypePropertyOrValue<IBaseDataBar>(x => x.Open);
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private readonly static Func<IBaseData, decimal> _bidClose = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Bid.Close);
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private readonly static Func<IBaseData, decimal> _bidOpen = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Bid.Open);
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private readonly static Func<IBaseData, decimal> _bidLow = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Bid.Low);
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private readonly static Func<IBaseData, decimal> _bidHigh = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Bid.High);
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private readonly static Func<IBaseData, decimal> _askClose = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Ask.Close);
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private readonly static Func<IBaseData, decimal> _askOpen = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Ask.Open);
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private readonly static Func<IBaseData, decimal> _askLow = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Ask.Low);
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private readonly static Func<IBaseData, decimal> _askHigh = DataTypePropertyOrValue<QuoteBar>(x => ((QuoteBar)x).Ask.High);
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private readonly static Func<IBaseData, decimal> _bidPrice = DataTypePropertyOrValue<Tick>(x => ((Tick)x).BidPrice, defaultQuoteSelector: x => ((QuoteBar)x).Bid.Close);
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private readonly static Func<IBaseData, decimal> _askPrice = DataTypePropertyOrValue<Tick>(x => ((Tick)x).AskPrice, defaultQuoteSelector: x => ((QuoteBar)x).Ask.Close);
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private readonly static Func<IBaseData, decimal> _volume = DataTypePropertyOrValue<TradeBar>(x => ((TradeBar)x).Volume, x => ((Tick)x).Quantity);
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private readonly static Func<IBaseData, decimal> _average = DataTypePropertyOrValue<IBaseDataBar>(x => (x.Open + x.High + x.Low + x.Close) / 4m);
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private readonly static Func<IBaseData, decimal> _median = DataTypePropertyOrValue<IBaseDataBar>(x => (x.High + x.Low) / 2m);
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private readonly static Func<IBaseData, decimal> _typical = DataTypePropertyOrValue<IBaseDataBar>(x => (x.High + x.Low + x.Close) / 3m);
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private readonly static Func<IBaseData, decimal> _weighted = DataTypePropertyOrValue<IBaseDataBar>(x => (x.High + x.Low + 2 * x.Close) / 4m);
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private readonly static Func<IBaseData, decimal> _sevenBar = DataTypePropertyOrValue<IBaseDataBar>(x => (2 * x.Open + x.High + x.Low + 3 * x.Close) / 7m);
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/// <summary>
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/// Gets a selector that selectes the Bid close price
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/// </summary>
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public static Func<IBaseData, decimal> BidClose
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{
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get { return _bidClose; }
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}
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/// <summary>
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/// Gets a selector that selectes the Bid open price
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/// </summary>
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public static Func<IBaseData, decimal> BidOpen
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{
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get { return _bidOpen; }
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}
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/// <summary>
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/// Gets a selector that selectes the Bid low price
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/// </summary>
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public static Func<IBaseData, decimal> BidLow
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{
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get { return _bidLow; }
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}
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/// <summary>
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/// Gets a selector that selectes the Bid high price
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/// </summary>
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public static Func<IBaseData, decimal> BidHigh
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{
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get { return _bidHigh; }
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}
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/// <summary>
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/// Gets a selector that selectes the Ask close price
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/// </summary>
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public static Func<IBaseData, decimal> AskClose
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{
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get { return _askClose; }
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}
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/// <summary>
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/// Gets a selector that selectes the Ask open price
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/// </summary>
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public static Func<IBaseData, decimal> AskOpen
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{
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get { return _askOpen; }
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}
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/// <summary>
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/// Gets a selector that selectes the Ask low price
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/// </summary>
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public static Func<IBaseData, decimal> AskLow
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{
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get { return _askLow; }
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}
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/// <summary>
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/// Gets a selector that selectes the Ask high price
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/// </summary>
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public static Func<IBaseData, decimal> AskHigh
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{
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get { return _askHigh; }
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}
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/// <summary>
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/// Gets a selector that selectes the Ask price
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/// </summary>
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public static Func<IBaseData, decimal> AskPrice
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{
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get { return _askPrice; }
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}
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/// <summary>
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/// Gets a selector that selectes the Bid price
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/// </summary>
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public static Func<IBaseData, decimal> BidPrice
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{
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get { return _bidPrice; }
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}
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/// <summary>
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/// Gets a selector that selects the Open value
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/// </summary>
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public static Func<IBaseData, decimal> Open
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{
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get { return _open; }
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}
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/// <summary>
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/// Gets a selector that selects the High value
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/// </summary>
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public static Func<IBaseData, decimal> High
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{
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get { return _high; }
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}
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/// <summary>
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/// Gets a selector that selects the Low value
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/// </summary>
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public static Func<IBaseData, decimal> Low
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{
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get { return _low; }
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}
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/// <summary>
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/// Gets a selector that selects the Close value
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/// </summary>
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public static Func<IBaseData, decimal> Close
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{
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get { return x => x.Value; }
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}
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/// <summary>
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/// Defines an average price that is equal to (O + H + L + C) / 4
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/// </summary>
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public static Func<IBaseData, decimal> Average
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{
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get { return _average; }
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}
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/// <summary>
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/// Defines an average price that is equal to (H + L) / 2
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/// </summary>
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public static Func<IBaseData, decimal> Median
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{
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get { return _median; }
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}
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/// <summary>
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/// Defines an average price that is equal to (H + L + C) / 3
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/// </summary>
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public static Func<IBaseData, decimal> Typical
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{
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get { return _typical; }
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}
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/// <summary>
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/// Defines an average price that is equal to (H + L + 2*C) / 4
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/// </summary>
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public static Func<IBaseData, decimal> Weighted
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{
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get { return _weighted; }
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}
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/// <summary>
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/// Defines an average price that is equal to (2*O + H + L + 3*C)/7
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/// </summary>
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public static Func<IBaseData, decimal> SevenBar
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{
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get { return _sevenBar; }
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}
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/// <summary>
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/// Gets a selector that selectors the Volume value
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/// </summary>
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public static Func<IBaseData, decimal> Volume
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{
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get { return _volume; }
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}
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private static Func<IBaseData, decimal> DataTypePropertyOrValue<T>(Func<T, decimal> selector,
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Func<IBaseData, decimal> defaultTickSelector = null,
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Func<IBaseData, decimal> defaultQuoteSelector = null)
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where T: class, IBaseData
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{
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return x =>
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{
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var dataType = x as T;
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if (dataType != null)
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{
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return selector(dataType);
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}
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var tick = x as Tick;
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if (tick != null && defaultTickSelector != null)
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{
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return defaultTickSelector(x as Tick);
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}
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var quoteBar = x as QuoteBar;
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if (quoteBar != null && defaultQuoteSelector != null)
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{
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return defaultQuoteSelector(x as QuoteBar);
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}
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var defaultSelector = new Func<IBaseData, decimal>(data => data.Value);
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return defaultSelector(x);
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};
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}
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}
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}
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