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
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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;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Base class for indicators that work with two different symbols and calculate an indicator based on them.
+    /// </summary>
+    /// <typeparam name="TInput">Indicator input data type</typeparam>
+    public abstract class DualSymbolIndicator<TInput> : MultiSymbolIndicator<TInput>
+        where TInput : IBaseData
+    {
+        /// <summary>
+        /// RollingWindow to store the data points of the target symbol
+        /// </summary>
+        protected IReadOnlyWindow<TInput> TargetDataPoints { get; }
+
+        /// <summary>
+        /// RollingWindow to store the data points of the reference symbol
+        /// </summary>
+        protected IReadOnlyWindow<TInput> ReferenceDataPoints { get; }
+
+        /// <summary>
+        /// Symbol of the reference used
+        /// </summary>
+        protected Symbol ReferenceSymbol { get; }
+
+        /// <summary>
+        /// Symbol of the target used
+        /// </summary>
+        protected Symbol TargetSymbol { get; }
+
+        /// <summary>
+        /// Initializes the dual symbol indicator.
+        /// <para>
+        /// The constructor accepts a target symbol and a reference symbol. It also initializes
+        /// the time zones for both symbols and checks if they are different.
+        /// </para>
+        /// </summary>
+        /// <param name="name">The name of the indicator.</param>
+        /// <param name="targetSymbol">The symbol of the target asset.</param>
+        /// <param name="referenceSymbol">The symbol of the reference asset.</param>
+        /// <param name="period">The period (number of data points) over which to calculate the indicator.</param>
+        protected DualSymbolIndicator(string name, Symbol targetSymbol, Symbol referenceSymbol, int period)
+            : base(name, [targetSymbol, referenceSymbol], period)
+        {
+            TargetDataPoints = DataBySymbol[targetSymbol].DataPoints;
+            ReferenceDataPoints = DataBySymbol[referenceSymbol].DataPoints;
+            TargetSymbol = targetSymbol;
+            ReferenceSymbol = referenceSymbol;
+        }
+    }
+}