chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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>
+    /// Represents the Average Range (AR) indicator, which calculates the average price range
+    /// </summary>
+    public class AverageRange : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// The Simple Moving Average (SMA) used to calculate the average of the price ranges.
+        /// </summary>
+        private readonly SimpleMovingAverage _sma;
+
+        /// <summary>
+        /// Initializes a new instance of the AverageRange class with the specified name and period.
+        /// </summary>
+        /// <param name="name">The name of the AR indicator.</param>
+        /// <param name="period">The number of periods over which to compute the average range.</param>
+        public AverageRange(string name, int period) : base(name)
+        {
+            _sma = new SimpleMovingAverage(name + "_SMA", period);
+        }
+
+        /// <summary>
+        /// Initializes the AR indicator with the default name format and period.
+        /// </summary>
+        public AverageRange(int period)
+            : this($"AR({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Indicates whether the indicator has enough data to start producing valid results.
+        /// </summary>
+        public override bool IsReady => _sma.IsReady;
+
+        /// <summary>
+        /// The number of periods needed to fully initialize the AR indicator.
+        /// </summary>
+        public int WarmUpPeriod => _sma.WarmUpPeriod;
+
+        /// <summary>
+        /// Resets the indicator and clears the internal state, including the SMA.
+        /// </summary>
+        public override void Reset()
+        {
+            _sma.Reset();
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Computes the next value of the Average Range (AR) by calculating the price range (high - low)
+        /// and passing it to the SMA to get the smoothed value.
+        /// </summary>
+        /// <param name="input">The input data for the current bar, including open, high, low, close values.</param>
+        /// <returns>The computed AR value, which is the smoothed average of price ranges.</returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            var priceRange = input.High - input.Low;
+            // Update the SMA with the price range
+            _sma.Update(new IndicatorDataPoint(input.EndTime, priceRange));
+            return _sma.Current.Value;
+        }
+    }
+}