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>
+    /// Represents the traditional commodity channel index (CCI)
+    ///
+    /// CCI = (Typical Price - 20-period SMA of TP) / (.015 * Mean Deviation)
+    /// Typical Price (TP) = (High + Low + Close)/3
+    /// Constant = 0.015
+    ///
+    /// There are four steps to calculating the Mean Deviation, first, subtract
+    /// the most recent 20-period average of the typical price from each period's
+    /// typical price. Second, take the absolute values of these numbers. Third,
+    /// sum the absolute values. Fourth, divide by the total number of periods (20).
+    /// </summary>
+    public class CommodityChannelIndex : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// This constant is used to ensure that CCI values fall between +100 and -100, 70% to 80% of the time
+        /// </summary>
+        private const decimal K = 0.015m;
+
+        /// <summary>
+        /// Gets the type of moving average
+        /// </summary>
+        public MovingAverageType MovingAverageType { get; }
+
+        /// <summary>
+        /// Keep track of the simple moving average of the typical price
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> TypicalPriceAverage { get; }
+
+        /// <summary>
+        /// Keep track of the mean absolute deviation of the typical price
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> TypicalPriceMeanDeviation { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the CommodityChannelIndex class
+        /// </summary>
+        /// <param name="period">The period of the standard deviation and moving average (middle band)</param>
+        /// <param name="movingAverageType">The type of moving average to be used</param>
+        public CommodityChannelIndex(int period, MovingAverageType movingAverageType = MovingAverageType.Simple)
+            : this($"CCI({period})", period, movingAverageType)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the CommodityChannelIndex class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the standard deviation and moving average (middle band)</param>
+        /// <param name="movingAverageType">The type of moving average to be used</param>
+        public CommodityChannelIndex(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Simple)
+            : base(name)
+        {
+            WarmUpPeriod = period;
+            MovingAverageType = movingAverageType;
+            TypicalPriceAverage = movingAverageType.AsIndicator(name + "_TypicalPriceAvg", period);
+            TypicalPriceMeanDeviation = new MeanAbsoluteDeviation(name + "_TypicalPriceMAD", period);
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => TypicalPriceAverage.IsReady && TypicalPriceMeanDeviation.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <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)
+        {
+            var typicalPrice = (input.High + input.Low + input.Close) / 3.0m;
+
+            TypicalPriceAverage.Update(input.EndTime, typicalPrice);
+            TypicalPriceMeanDeviation.Update(input.EndTime, typicalPrice);
+
+            // compare this to zero, since if the mean deviation is very small we can get
+            // precision errors due to non-floating point math
+            var weightedMeanDeviation = K * TypicalPriceMeanDeviation.Current.Value;
+            if (weightedMeanDeviation == 0.0m)
+            {
+                return 0.0m;
+            }
+
+            return (typicalPrice - TypicalPriceAverage.Current.Value).SafeDivision(weightedMeanDeviation, Current.Value);
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            TypicalPriceAverage.Reset();
+            TypicalPriceMeanDeviation.Reset();
+            base.Reset();
+        }
+    }
+}