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.
+ */
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents the Derivative Oscillator Indicator, utilizing
+    /// a moving average convergence-divergence (MACD) histogram to a double-smoothed relative strength index (RSI).
+    /// </summary>
+    public class DerivativeOscillator : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly RelativeStrengthIndex _rsi;
+        private readonly ExponentialMovingAverage _smoothedRsi;
+        private readonly ExponentialMovingAverage _doubleSmoothedRsi;
+        private readonly SimpleMovingAverage _signalLine;
+        
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _signalLine.IsReady;
+        
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the IndicatorDerivativeOscillator class with the specified name and periods.
+        /// </summary>
+        /// <param name="name">The name of the indicator</param>
+        /// <param name="rsiPeriod">The period for the RSI calculation</param>
+        /// <param name="smoothingRsiPeriod">The period for the smoothing RSI</param>
+        /// <param name="doubleSmoothingRsiPeriod">The period for the double smoothing RSI</param>
+        /// <param name="signalLinePeriod">The period for the signal line</param>
+        public DerivativeOscillator(string name, int rsiPeriod, int smoothingRsiPeriod, int doubleSmoothingRsiPeriod, int signalLinePeriod) : base(name)
+        {
+            _rsi = new RelativeStrengthIndex($"{name}_RSI", rsiPeriod);
+            _smoothedRsi = new ExponentialMovingAverage($"{name}_SmoothedRSI", smoothingRsiPeriod).Of(_rsi);
+            _doubleSmoothedRsi = new ExponentialMovingAverage($"{name}_DoubleSmoothedRSI", doubleSmoothingRsiPeriod).Of(_smoothedRsi);
+            _signalLine = new SimpleMovingAverage($"{name}_SignalLine", signalLinePeriod).Of(_doubleSmoothedRsi);
+            WarmUpPeriod = (rsiPeriod + smoothingRsiPeriod + doubleSmoothingRsiPeriod + signalLinePeriod - 3) + 1;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the IndicatorDerivativeOscillator class with the specified name and periods.
+        /// </summary>
+        /// <param name="rsiPeriod">The period for the RSI calculation</param>
+        /// <param name="smoothingRsiPeriod">The period for the smoothing RSI</param>
+        /// <param name="doubleSmoothingRsiPeriod">The period for the double smoothing RSI</param>
+        /// <param name="signalLinePeriod">The period for the signal line</param>
+        public DerivativeOscillator(int rsiPeriod, int smoothingRsiPeriod, int doubleSmoothingRsiPeriod, int signalLinePeriod)
+            : this($"DO({rsiPeriod},{smoothingRsiPeriod},{doubleSmoothingRsiPeriod},{signalLinePeriod})", rsiPeriod, smoothingRsiPeriod, doubleSmoothingRsiPeriod, signalLinePeriod)
+        {
+        }
+
+        /// <summary>
+        /// Computes the next value for the derivative oscillator 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(IndicatorDataPoint input)
+        {
+            // Chaining updates all of the other indicators
+            _rsi.Update(input);
+            
+            if (!IsReady)
+            {
+                return 0;
+            }
+
+            return _doubleSmoothedRsi.Current.Value - _signalLine.Current.Value;
+        }
+        
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _rsi.Reset();
+            _smoothedRsi.Reset();
+            _doubleSmoothedRsi.Reset();
+            _signalLine.Reset();
+            base.Reset();
+        }
+    }
+}