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>
+    /// The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over
+    /// a specified period.
+    ///
+    /// CMF = n-day Sum of [(((C - L) - (H - C)) / (H - L)) x Vol] / n-day Sum of Vol
+    ///
+    /// Where:
+    /// n = number of periods, typically 21
+    /// H = high
+    /// L = low
+    /// C = close
+    /// Vol = volume
+    /// 
+    /// https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cmf
+    /// </summary>
+    public class ChaikinMoneyFlow : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// Holds the point-wise flow-sum and volume terms. 
+        /// </summary>
+        private readonly Sum _flowRatioSum;
+
+        private readonly Sum _volumeSum;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _flowRatioSum.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _volumeSum.Reset();
+            _flowRatioSum.Reset();
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ChaikinMoneyFlow class
+        /// </summary>
+        /// <param name="name">A name for the indicator</param>
+        /// <param name="period">The period over which to perform computation</param>
+        public ChaikinMoneyFlow(string name, int period)
+            : base(name)
+        {
+            WarmUpPeriod = period;
+            _flowRatioSum = new Sum(period);
+            _volumeSum = new Sum(period);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the ChaikinMoneyFlow class
+        /// </summary>
+        /// <param name="period">The period over which to perform computation</param>
+        public ChaikinMoneyFlow(int period)
+            : this($"CMF({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(TradeBar input)
+        {
+            var denominator = (input.High - input.Low);
+            var flowRatio = denominator > 0
+                ? input.Volume * (input.Close - input.Low - (input.High - input.Close)) / denominator
+                : 0m;
+
+            _flowRatioSum.Update(input.EndTime, flowRatio);
+            _volumeSum.Update(input.EndTime, input.Volume);
+
+            return !IsReady || _volumeSum == 0m ? 0m : _flowRatioSum / _volumeSum;
+        }
+    }
+}