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.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Force Index is calculated by comparing the current market price with the previous market price 
+    /// and multiplying its difference with the traded volume during a specific time period.
+    /// </summary>
+    public class ForceIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private TradeBar _previousInput;
+
+        /// <summary>
+        /// This indicator is used to smooth the ForceIndex computation
+        /// </summary>
+        /// <remarks>This is not exposed publicly since it is the same value as this indicator, meaning
+        /// that this '_smoother' computers the ForceIndex directly, so exposing it publicly would be duplication</remarks>
+        private readonly IndicatorBase<IndicatorDataPoint> _smoother;
+
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _smoother.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Creates a new ForceIndex indicator using the specified period and moving average type
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The smoothing period used to smooth the instantaneous force index values</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the true range values</param>
+        public ForceIndex(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Exponential)
+            : base(name)
+        {
+            _smoother = movingAverageType.AsIndicator($"{name}_{movingAverageType}", period);
+            WarmUpPeriod = period + 1;
+
+        }
+
+        /// <summary>
+        /// Creates a new ForceIndex indicator using the specified period and moving average type
+        /// </summary>
+        /// <param name="period">The smoothing period used to smooth the instantenous force index values</param>
+        /// <param name="movingAverageType">The type of smoothing used to smooth the instantenous force index values</param>
+        public ForceIndex(int period, MovingAverageType movingAverageType = MovingAverageType.Exponential)
+            : this($"FI({period})", period, movingAverageType)
+        {
+        }
+
+        /// <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(TradeBar input)
+        {
+            if (Samples < 2)
+            {
+                _previousInput = input;
+                return 0;
+            }
+            // compute the instantaneous force index and then send it to our smoother
+            
+            _smoother.Update(input.EndTime, (input.Close - _previousInput.Close) * input.Volume);
+
+            _previousInput = input;
+
+            return _smoother.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _previousInput = null;
+            _smoother.Reset();
+            base.Reset();
+        }
+    }
+}