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.
+*/
+
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The McClellan Summation Index (MSI) is a market breadth indicator that is based on the rolling average of difference 
+    /// between the number of advancing and declining issues on a stock exchange. It is generally considered as is 
+    /// a long-term version of the <see cref="McClellanOscillator"/>
+    /// </summary>
+    public class McClellanSummationIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// The McClellan Summation Index value
+        /// </summary>
+        /// <remarks>Protected for testing</remarks>
+        protected IndicatorDataPoint Summation { get; }
+
+        /// <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 McClellanOscillator McClellanOscillator { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => McClellanOscillator.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => McClellanOscillator.WarmUpPeriod;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="McClellanSummationIndex"/> 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 McClellanSummationIndex(string name, int fastPeriod = 19, int slowPeriod = 39) : base(name)
+        {
+            Summation = new();
+            McClellanOscillator = new McClellanOscillator(fastPeriod, slowPeriod);
+            McClellanOscillator.Updated += (_, updated) =>
+            {
+                // Update only when new indicator data point was consolidated
+                if (updated.EndTime != Summation.Time)
+                {
+                    Summation.Time = updated.EndTime;
+                    Summation.Value += updated.Value;
+                }
+            };
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="McClellanSummationIndex"/> 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 McClellanSummationIndex(int fastPeriod = 19, int slowPeriod = 39)
+            : this("McClellanSummationIndex", 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)
+        {
+            McClellanOscillator.Update(input);
+
+            return Summation + McClellanOscillator.Current.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            McClellanOscillator.Reset();
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Add Tracking asset issue
+        /// </summary>
+        /// <param name="asset">the tracking asset issue</param>
+        public void Add(Symbol asset)
+        {
+            McClellanOscillator.Add(asset);
+        }
+
+        /// <summary>
+        /// Remove Tracking asset issue
+        /// </summary>
+        /// <param name="asset">the tracking asset issue</param>
+        public void Remove(Symbol asset)
+        {
+            McClellanOscillator.Remove(asset);
+        }
+    }
+}