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
@@ -0,0 +1,127 @@
+/*
+ * 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 System;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The McClellan Oscillator is a market breadth indicator which was
+    /// developed by Sherman and Marian McClellan. It is based on the
+    /// difference between the number of advancing and declining periods.
+    /// </summary>
+    public class McClellanOscillator : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly IndicatorBase<IndicatorDataPoint> _averageDelta;
+
+        /// <summary>
+        /// Fast period EMA of advance decline difference
+        /// </summary>
+        public ExponentialMovingAverage EMAFast { get; }
+
+        /// <summary>
+        /// Slow period EMA of advance decline difference
+        /// </summary>
+        public ExponentialMovingAverage EMASlow { get; }
+
+        /// <summary>
+        /// The number of advance assets minus the number of decline assets
+        /// </summary>
+        public AdvanceDeclineDifference ADDifference { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => EMASlow.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => EMASlow.WarmUpPeriod + ADDifference.WarmUpPeriod;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="McClellanOscillator"/> class
+        /// <param name="name">The name of the indicator</param>
+        /// <param name="fastPeriod">The fast period of EMA of advance decline difference</param>
+        /// <param name="slowPeriod">The slow period of EMA of advance decline difference</param>
+        /// </summary>
+        public McClellanOscillator(string name, int fastPeriod = 19, int slowPeriod = 39) : base(name)
+        {
+            if (fastPeriod > slowPeriod)
+            {
+                throw new ArgumentException("fastPeriod must be less than slowPeriod.");
+            }
+
+            ADDifference = new AdvanceDeclineDifference("ADD");
+            EMAFast = ADDifference.EMA(fastPeriod);
+            EMASlow = ADDifference.EMA(slowPeriod);
+            _averageDelta = EMAFast.Minus(EMASlow);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="McClellanOscillator"/> class
+        /// <param name="fastPeriod">The fast period of EMA of advance decline difference</param>
+        /// <param name="slowPeriod">The slow period of EMA of advance decline difference</param>
+        /// </summary>
+        public McClellanOscillator(int fastPeriod = 19, int slowPeriod = 39)
+            : this("McClellanOscillator", fastPeriod, slowPeriod)
+        {
+        }
+
+        /// <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)
+        {
+            ADDifference.Update(input);
+
+            return _averageDelta.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            ADDifference.Reset();
+            EMAFast.Reset();
+            EMASlow.Reset();
+            _averageDelta.Reset();
+
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Add Tracking asset issue
+        /// </summary>
+        /// <param name="asset">the tracking asset issue</param>
+        public void Add(Symbol asset)
+        {
+            ADDifference.Add(asset);
+        }
+
+        /// <summary>
+        /// Remove Tracking asset issue
+        /// </summary>
+        /// <param name="asset">the tracking asset issue</param>
+        public void Remove(Symbol asset)
+        {
+            ADDifference.Remove(asset);
+        }
+    }
+}