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 +1,117 @@
+/*
+ * 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 Money Flow Index (MFI) is an oscillator that uses both price and volume to
+    /// measure buying and selling pressure
+    ///
+    /// Typical Price = (High + Low + Close)/3
+    /// Money Flow = Typical Price x Volume
+    /// Positive Money Flow = Sum of the money flows of all days where the typical
+    ///     price is greater than the previous day's typical price
+    /// Negative Money Flow = Sum of the money flows of all days where the typical
+    ///     price is less than the previous day's typical price
+    /// Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow)
+    ///
+    /// Money Flow Index = 100 x  Positive Money Flow / ( Positive Money Flow + Negative Money Flow)
+    /// </summary>
+    public class MoneyFlowIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// The sum of positive money flow to compute money flow ratio
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> PositiveMoneyFlow { get; }
+
+        /// <summary>
+        /// The sum of negative money flow to compute money flow ratio
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> NegativeMoneyFlow { get; }
+
+        /// <summary>
+        /// The current and previous typical price is used to determine positive or negative money flow
+        /// </summary>
+        public decimal PreviousTypicalPrice { get; private set; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => PositiveMoneyFlow.IsReady && NegativeMoneyFlow.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            PreviousTypicalPrice = 0.0m;
+            PositiveMoneyFlow.Reset();
+            NegativeMoneyFlow.Reset();
+            base.Reset();
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the MoneyFlowIndex class
+        /// </summary>
+        /// <param name="period">The period of the negative and positive money flow</param>
+        public MoneyFlowIndex(int period)
+            : this($"MFI({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the MoneyFlowIndex class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the negative and positive money flow</param>
+        public MoneyFlowIndex(string name, int period)
+            : base(name)
+        {
+            WarmUpPeriod = period;
+            PositiveMoneyFlow = new Sum(name + "_PositiveMoneyFlow", period);
+            NegativeMoneyFlow = new Sum(name + "_NegativeMoneyFlow", period);
+        }
+
+        /// <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)
+        {
+            var typicalPrice = (input.High + input.Low + input.Close) / 3.0m;
+            var moneyFlow = typicalPrice * input.Volume;
+
+            PositiveMoneyFlow.Update(input.EndTime, typicalPrice > PreviousTypicalPrice ? moneyFlow : 0.0m);
+            NegativeMoneyFlow.Update(input.EndTime, typicalPrice < PreviousTypicalPrice ? moneyFlow : 0.0m);
+            PreviousTypicalPrice = typicalPrice;
+
+            var totalMoneyFlow = PositiveMoneyFlow.Current.Value + NegativeMoneyFlow.Current.Value;
+            if (totalMoneyFlow == 0.0m)
+            {
+                return 100.0m;
+            }
+
+            return 100m * PositiveMoneyFlow.Current.Value / totalMoneyFlow;
+        }
+    }
+}