chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Securities;
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using NodaTime;
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using QuantConnect.Data;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Base class for indicators that work with multiple different symbols.
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/// </summary>
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/// <typeparam name="TInput">Indicator input data type</typeparam>
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public abstract class MultiSymbolIndicator<TInput> : IndicatorBase<TInput>, IIndicatorWarmUpPeriodProvider
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where TInput : IBaseData
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{
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/// <summary>
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/// Relevant data for each symbol the indicator works on, including all inputs
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/// and actual data points used for calculation.
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/// </summary>
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protected Dictionary<Symbol, SymbolData> DataBySymbol { get; }
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/// <summary>
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/// The most recently computed value of the indicator.
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/// </summary>
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protected decimal IndicatorValue { get; set; }
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/// <summary>
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/// Required period, in data points, for the indicator to be ready and fully initialized.
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/// </summary>
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public int WarmUpPeriod { get; set; }
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady => DataBySymbol.Values.All(data => data.DataPoints.IsReady);
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/// <summary>
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/// Initializes the dual symbol indicator.
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/// <para>
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/// The constructor accepts a target symbol and a reference symbol. It also initializes
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/// the time zones for both symbols and checks if they are different.
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/// </para>
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/// </summary>
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/// <param name="name">The name of the indicator.</param>
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/// <param name="symbols">The symbols the indicator works on .</param>
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/// <param name="period">The period (number of data points) over which to calculate the indicator.</param>
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protected MultiSymbolIndicator(string name, IEnumerable<Symbol> symbols, int period)
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: base(name)
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{
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DataBySymbol = symbols.ToDictionary(symbol => symbol, symbol => new SymbolData(symbol, period));
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var isTimezoneDifferent = DataBySymbol.Values.Select(data => data.ExchangeTimeZone).Distinct().Count() > 1;
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WarmUpPeriod = period + (isTimezoneDifferent ? 1 : 0);
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}
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/// <summary>
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/// Checks and computes the indicator if the input data matches.
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/// This method ensures the input data points are from matching time periods and different symbols.
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/// </summary>
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/// <param name="input">The input data point (e.g., TradeBar for a symbol).</param>
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/// <returns>The most recently computed value of the indicator.</returns>
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protected override decimal ComputeNextValue(TInput input)
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{
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if (!DataBySymbol.TryGetValue(input.Symbol, out var symbolData))
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{
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throw new ArgumentException($"Input symbol {input.Symbol} does not correspond to any " +
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$"of the symbols this indicator works on ({string.Join(", ", DataBySymbol.Keys)})");
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}
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if (Samples == 1)
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{
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SetResolution(input);
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return decimal.Zero;
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}
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symbolData.CurrentInput = input;
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// Ready to calculate when all symbols get data for the same time
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if (DataBySymbol.Values.Select(data => data.CurrentInputEndTimeUtc).Distinct().Count() == 1)
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{
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// Add the actual inputs that should be used to the rolling windows
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foreach (var data in DataBySymbol.Values)
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{
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data.DataPoints.Add(data.CurrentInput);
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}
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IndicatorValue = ComputeIndicator();
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}
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return IndicatorValue;
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state.
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/// This will be called only when the indicator is ready, that is,
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/// when data for all symbols at a given time is available.
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/// </summary>
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protected abstract decimal ComputeIndicator();
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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IndicatorValue = 0;
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foreach (var data in DataBySymbol.Values)
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{
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data.Reset();
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}
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base.Reset();
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}
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/// <summary>
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/// Determines the resolution of the input data based on the time difference between its start and end times.
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/// Resolution will <see cref="Resolution.Daily"/> if the difference exceeds 1 hour; otherwise, calculates a higher equivalent resolution.
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/// Then it sets the resolution to the symbols data so that the time alignment is performed correctly.
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/// </summary>
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private void SetResolution(TInput input)
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{
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var timeDifference = input.EndTime - input.Time;
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var resolution = timeDifference.TotalHours > 1 ? Resolution.Daily : timeDifference.ToHigherResolutionEquivalent(false);
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foreach (var (symbol, data) in DataBySymbol)
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{
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data.SetResolution(resolution);
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if (symbol == input.Symbol)
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{
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data.CurrentInput = input;
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}
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}
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}
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/// <summary>
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/// Contains the data points, the current input and other relevant indicator data for a symbol.
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/// </summary>
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protected class SymbolData
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{
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private static MarketHoursDatabase _marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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private TInput _currentInput;
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private Resolution _resolution;
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/// <summary>
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/// The exchange time zone for the security represented by this symbol.
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/// </summary>
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public DateTimeZone ExchangeTimeZone { get; }
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/// <summary>
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/// Data points for the symbol.
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/// This only hold the data points that have been used to calculate the indicator,
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/// which are those that had matching end times for every symbol.
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/// </summary>
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public RollingWindow<TInput> DataPoints { get; }
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/// <summary>
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/// The last input data point for the symbol.
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/// </summary>
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public TInput CurrentInput
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{
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get => _currentInput;
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set
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{
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_currentInput = value;
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if (_currentInput != null)
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{
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CurrentInputEndTimeUtc = AdjustDateToResolution(_currentInput.EndTime.ConvertToUtc(ExchangeTimeZone));
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NewInput?.Invoke(this, _currentInput);
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}
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else
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{
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CurrentInputEndTimeUtc = default;
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}
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}
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}
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/// <summary>
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/// Event that fires when a new input data point is set for the symbol.
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/// </summary>
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public event EventHandler<TInput> NewInput;
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/// <summary>
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/// The end time of the last input data point for the symbol in UTC.
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/// </summary>
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public DateTime CurrentInputEndTimeUtc { get; private set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="SymbolData"/> class.
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/// </summary>
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public SymbolData(Symbol symbol, int period)
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{
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ExchangeTimeZone = _marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.ID.SecurityType).TimeZone;
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DataPoints = new(period);
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}
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/// <summary>
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/// Resets this symbol data to its initial state
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/// </summary>
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public void Reset()
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{
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DataPoints.Reset();
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CurrentInput = default;
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}
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/// <summary>
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/// Truncates the given DateTime based on the specified resolution (Daily, Hourly, Minute, or Second).
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/// </summary>
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/// <param name="date">The DateTime to truncate.</param>
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/// <returns>A DateTime truncated to the specified resolution.</returns>
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private DateTime AdjustDateToResolution(DateTime date)
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{
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switch (_resolution)
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{
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case Resolution.Daily:
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return date.Date;
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case Resolution.Hour:
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return date.Date.AddHours(date.Hour);
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case Resolution.Minute:
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return date.Date.AddHours(date.Hour).AddMinutes(date.Minute);
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default:
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return date;
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}
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}
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/// <summary>
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/// Sets the resolution for this symbol data, to be used for time alignment.
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/// </summary>
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public void SetResolution(Resolution resolution)
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{
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_resolution = resolution;
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}
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}
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}
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}
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