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 +1,140 @@
+/*
+ * 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 System.Linq;
+using System.Collections.Generic;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The Relative Daily Volume indicator is an indicator that compares current 
+    /// cumulative volume to the cumulative volume for a given 
+    /// time of day, measured as a ratio.
+    /// 
+    /// Current volume from open to current time of day / Average over the past x days from open to current time of day
+    /// </summary>
+    public class RelativeDailyVolume : TradeBarIndicator
+    {
+        private readonly SortedDictionary<TimeSpan, SimpleMovingAverage> _relativeData;
+        private readonly Dictionary<DateTime, decimal> _currentData;
+        private int _previousDay;
+        private int _days;
+        private int _period;
+
+        /// <summary>
+        /// Gets a flag indicating when the indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _days >= _period;
+
+        /// <summary>
+        /// Initializes a new instance of the RelativeDailyVolume class using the specified period
+        /// </summary>
+        /// <param name="period">The period over which to perform the computation</param>
+        public RelativeDailyVolume(int period = 2)
+            : this($"RDV({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new RelativeDailyVolume indicator with the specified period
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        public RelativeDailyVolume(string name, int period)
+            : base(name)
+        {
+            _relativeData = new SortedDictionary<TimeSpan, SimpleMovingAverage>();
+            _currentData = new Dictionary<DateTime, decimal>();
+            _period = period;
+            _previousDay = -1; // No calendar day can be -1, thus default is not a calendar day
+            _days = -1; // Will increment by one after first TradeBar, then will increment by one every new day
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A a value for this indicator</returns>
+        protected override decimal ComputeNextValue(TradeBar input)
+        {
+            if (input.Time.Day != _previousDay)
+            {
+                var cumulativeVolume = 0.0m;
+                foreach (var pair in _currentData)
+                {
+                    var timeBar = pair.Key.TimeOfDay;
+                    SimpleMovingAverage daysAverage;
+                    cumulativeVolume += pair.Value;
+                    if (!_relativeData.TryGetValue(timeBar, out daysAverage))
+                    {
+                        daysAverage = _relativeData[timeBar] = new SimpleMovingAverage(_period);
+                    }
+                    daysAverage.Update(pair.Key, cumulativeVolume);
+                }
+                _currentData.Clear();
+                _previousDay = input.Time.Day;
+                _days += 1; // _days is starting from -1, to reach IsReady => _days == WarmUpPeriod; also means WarmUpPeriod+1
+            }
+
+            _currentData[input.Time] = input.Volume;
+
+            if (!IsReady)
+            {
+                return 0;
+            }
+
+            var currentTimeBar = input.Time.TimeOfDay;
+            var denominator = 0.0m;
+
+            SimpleMovingAverage currentAverage;
+            if (_relativeData.TryGetValue(currentTimeBar, out currentAverage))
+            {
+                denominator = currentAverage.Current.Value;
+            }
+            else
+            {
+                // If there is no historical data for the current time, get most recent historical data
+                // This may come into play for crypto assets or a circuit breaker event
+                var relativeDataKeys = _relativeData.Keys.ToList();
+                for (int i = 1; i < relativeDataKeys.Count; i++)
+                {
+                    if (relativeDataKeys[i] > currentTimeBar)
+                    {
+                        denominator = _relativeData[relativeDataKeys[i - 1]].Current.Value;
+                    }
+                }
+            }
+            if (denominator == 0)
+            {
+                return 0;
+            }
+            var relativeDailyVolume = _currentData.Values.Sum() / denominator;
+            return relativeDailyVolume;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _relativeData.Clear();
+            _currentData.Clear();
+            _previousDay = -1;
+            _days = -1;
+            base.Reset();
+        }
+    }
+}