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
@@ -0,0 +1,100 @@
+/*
+ * 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 System;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his
+    /// book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then
+    /// smoothes the TrueRange over a given period.
+    ///
+    /// TrueRange is defined as the maximum of the following:
+    ///   High - Low
+    ///   ABS(High - PreviousClose)
+    ///   ABS(Low - PreviousClose)
+    /// </summary>
+    public class AverageTrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>This indicator is used to smooth the TrueRange computation</summary>
+        /// <remarks>This is not exposed publicly since it is the same value as this indicator, meaning
+        /// that this '_smoother' computers the ATR directly, so exposing it publicly would be duplication</remarks>
+        private readonly IndicatorBase<IndicatorDataPoint> _smoother;
+
+        /// <summary>
+        /// Gets the true range which is the more volatile calculation to be smoothed by this indicator
+        /// </summary>
+        public IndicatorBase<IBaseDataBar> TrueRange { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _smoother.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates a new AverageTrueRange indicator using the specified period and moving average type
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The smoothing period used to smooth the true range values</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public AverageTrueRange(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
+            : base(name)
+        {
+            WarmUpPeriod = period;
+            TrueRange = new TrueRange(name);
+            _smoother = movingAverageType.AsIndicator($"{name}_{movingAverageType}", period).Of(TrueRange, false);
+        }
+
+        /// <summary>
+        /// Creates a new AverageTrueRange indicator using the specified period and moving average type
+        /// </summary>
+        /// <param name="period">The smoothing period used to smooth the true range values</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public AverageTrueRange(int period, MovingAverageType movingAverageType = MovingAverageType.Wilders)
+            : this($"ATR({period})", period, movingAverageType)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            // compute the true range and then send it to our smoother
+            TrueRange.Update(input);
+
+            return _smoother.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _smoother.Reset();
+            TrueRange.Reset();
+            base.Reset();
+        }
+    }
+}