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 Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator is capable of wiring up two separate indicators into a single indicator
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/// such that the output of each will be sent to a user specified function.
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/// </summary>
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/// <remarks>
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/// This type is initialized such that there is no need to call the Update function. This indicator
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/// will have its values automatically updated each time a new piece of data is received from both
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/// the left and right indicators.
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/// </remarks>
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public class CompositeIndicator : IndicatorBase<IndicatorDataPoint>
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{
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/// <summary>
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/// Delegate type used to compose the output of two indicators into a new value.
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/// </summary>
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/// <remarks>
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/// A simple example would be to compute the difference between the two indicators (such as with MACD)
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/// (left, right) => left - right
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/// </remarks>
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/// <param name="left">The left indicator</param>
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/// <param name="right">The right indicator</param>
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/// <returns>And indicator result representing the composition of the two indicators</returns>
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public delegate IndicatorResult IndicatorComposer(IndicatorBase left, IndicatorBase right);
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/// <summary>function used to compose the individual indicators</summary>
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private readonly IndicatorComposer _composer;
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/// <summary>
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/// Gets the 'left' indicator for the delegate
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/// </summary>
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public IndicatorBase Left { get; private set; }
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/// <summary>
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/// Gets the 'right' indicator for the delegate
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/// </summary>
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public IndicatorBase Right { get; private set; }
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady
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{
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get { return Left.IsReady && Right.IsReady; }
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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Left.Reset();
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Right.Reset();
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base.Reset();
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}
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/// <summary>
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/// Creates a new CompositeIndicator capable of taking the output from the left and right indicators
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/// and producing a new value via the composer delegate specified
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="left">The left indicator for the 'composer'</param>
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/// <param name="right">The right indicator for the 'composer'</param>
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/// <param name="composer">Function used to compose the left and right indicators</param>
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public CompositeIndicator(string name, IndicatorBase left, IndicatorBase right, IndicatorComposer composer)
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: base(name)
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{
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_composer = composer;
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Left = left;
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Right = right;
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Name ??= $"COMPOSE({Left.Name},{Right.Name})";
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ConfigureEventHandlers();
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}
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/// <summary>
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/// Creates a new CompositeIndicator capable of taking the output from the left and right indicators
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/// and producing a new value via the composer delegate specified
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/// </summary>
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/// <param name="left">The left indicator for the 'composer'</param>
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/// <param name="right">The right indicator for the 'composer'</param>
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/// <param name="composer">Function used to compose the left and right indicators</param>
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public CompositeIndicator(IndicatorBase left, IndicatorBase right, IndicatorComposer composer)
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: this(null, left, right, composer)
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{ }
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/// <summary>
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/// Initializes a new instance of <see cref="CompositeIndicator"/> using two indicators
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/// and a custom function.
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/// </summary>
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/// <param name="name">The name of the composite indicator.</param>
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/// <param name="left">The first indicator in the composition.</param>
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/// <param name="right">The second indicator in the composition.</param>
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/// <param name="handler">A Python function that processes the indicator values.</param>
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/// <exception cref="ArgumentException">
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/// Thrown if the provided left or right indicator is not a valid QuantConnect Indicator object.
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/// </exception>
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public CompositeIndicator(string name, PyObject left, PyObject right, PyObject handler)
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: this(
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name,
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(IndicatorBase)left.GetIndicatorAsManagedObject(),
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(IndicatorBase)right.GetIndicatorAsManagedObject(),
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new IndicatorComposer(handler.SafeAs<Func<IndicatorBase, IndicatorBase, IndicatorResult>>())
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)
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{
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}
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/// <summary>
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/// Initializes a new instance of <see cref="CompositeIndicator"/> using two indicators
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/// and a custom function.
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/// </summary>
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/// <param name="left">The first indicator in the composition.</param>
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/// <param name="right">The second indicator in the composition.</param>
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/// <param name="handler">A Python function that processes the indicator values.</param>
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public CompositeIndicator(PyObject left, PyObject right, PyObject handler)
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: this(null, left, right, handler)
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{ }
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// and returns an instance of the <see cref="IndicatorResult"/> class
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/// </summary>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>An IndicatorResult object including the status of the indicator</returns>
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protected override IndicatorResult ValidateAndComputeNextValue(IndicatorDataPoint input)
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{
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return _composer.Invoke(Left, Right);
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <remarks>
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/// Since this class overrides <see cref="ValidateAndComputeNextValue"/>, this method is a no-op
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/// </remarks>
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/// <param name="_">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IndicatorDataPoint _)
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{
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// this should never actually be invoked
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return _composer.Invoke(Left, Right).Value;
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}
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/// <summary>
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/// Configures the event handlers for Left.Updated and Right.Updated to update this instance when
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/// they both have new data.
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/// </summary>
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private void ConfigureEventHandlers()
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{
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// if either of these are constants then there's no reason
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bool leftIsConstant = Left.GetType().IsSubclassOfGeneric(typeof(ConstantIndicator<>));
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bool rightIsConstant = Right.GetType().IsSubclassOfGeneric(typeof(ConstantIndicator<>));
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// wire up the Updated events such that when we get a new piece of data from both left and right
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// we'll call update on this indicator. It's important to note that the CompositeIndicator only uses
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// the timestamp that gets passed into the Update function, his compuation is soley a function
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// of the left and right indicator via '_composer'
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IndicatorDataPoint newLeftData = null;
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IndicatorDataPoint newRightData = null;
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Left.Updated += (sender, updated) =>
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{
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newLeftData = updated;
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// if we have left and right data (or if right is a constant) then we need to update
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if (newRightData != null || rightIsConstant)
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{
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var dataPoint = new IndicatorDataPoint { Time = MaxTime(updated) };
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Update(dataPoint);
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// reset these to null after each update
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newLeftData = null;
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newRightData = null;
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}
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};
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Right.Updated += (sender, updated) =>
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{
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newRightData = updated;
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// if we have left and right data (or if left is a constant) then we need to update
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if (newLeftData != null || leftIsConstant)
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{
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var dataPoint = new IndicatorDataPoint { Time = MaxTime(updated) };
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Update(dataPoint);
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// reset these to null after each update
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newLeftData = null;
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newRightData = null;
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}
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};
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}
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private DateTime MaxTime(IndicatorDataPoint updated)
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{
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return new DateTime(Math.Max(updated.Time.Ticks, Math.Max(Right.Current.Time.Ticks, Left.Current.Time.Ticks)));
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}
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}
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}
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