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 +1,130 @@
+/*
+ * 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;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Stochastic RSI, or simply StochRSI, is a technical analysis indicator used to determine whether 
+    /// an asset is overbought or oversold, as well as to identify current market trends.
+    /// As the name suggests, the StochRSI is a derivative of the standard Relative Strength Index (RSI) and, 
+    /// as such, is considered an indicator of an indicator.
+    /// It is a type of oscillator, meaning that it fluctuates above and below a center line.
+    /// </summary>
+    public class StochasticRelativeStrengthIndex : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly RelativeStrengthIndex _rsi;
+        private readonly RollingWindow<decimal> _recentRSIValues;
+
+        /// <summary>
+        /// Gets the %K output
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> K { get; }
+
+        /// <summary>
+        /// Gets the %D output
+        /// </summary>
+        public IndicatorBase<IndicatorDataPoint> D { get; }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples >= WarmUpPeriod;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the StochasticRelativeStrengthIndex class
+        /// </summary>
+        /// <param name="rsiPeriod">The period of the relative strength index</param>
+        /// <param name="stochPeriod">The period of the stochastic indicator</param>
+        /// <param name="kSmoothingPeriod">The smoothing period of K output (aka %K)</param>
+        /// <param name="dSmoothingPeriod">The smoothing period of D output (aka %D)</param>
+        /// <param name="movingAverageType">The type of moving average to be used for k and d</param>
+        public StochasticRelativeStrengthIndex(int rsiPeriod, int stochPeriod, int kSmoothingPeriod, int dSmoothingPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple)
+            : this($"SRSI({rsiPeriod},{stochPeriod},{kSmoothingPeriod},{dSmoothingPeriod},{movingAverageType})", rsiPeriod, stochPeriod, kSmoothingPeriod, dSmoothingPeriod, movingAverageType)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the StochasticRelativeStrengthIndex class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="rsiPeriod">The period of the relative strength index</param>
+        /// <param name="stochPeriod">The period of the stochastic indicator</param>
+        /// <param name="kSmoothingPeriod">The smoothing period of K output</param>
+        /// <param name="dSmoothingPeriod">The smoothing period of D output</param>
+        /// <param name="movingAverageType">The type of moving average to be used</param>
+        public StochasticRelativeStrengthIndex(string name, int rsiPeriod, int stochPeriod, int kSmoothingPeriod, int dSmoothingPeriod, MovingAverageType movingAverageType = MovingAverageType.Simple)
+            : base(name)
+        {
+            _rsi = new RelativeStrengthIndex(rsiPeriod);
+            _recentRSIValues = new RollingWindow<decimal>(stochPeriod);
+
+            K = movingAverageType.AsIndicator($"{name}_K_{movingAverageType}", kSmoothingPeriod);
+            D = movingAverageType.AsIndicator($"{name}_D_{movingAverageType}", dSmoothingPeriod);
+
+            WarmUpPeriod = rsiPeriod + stochPeriod + Math.Max(kSmoothingPeriod, dSmoothingPeriod);
+        }
+
+        /// <summary>
+        /// Computes the next value of the following sub-indicators from the given state:
+        /// K (%K) and D (%D)
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>The input is returned unmodified.</returns>
+        protected override decimal ComputeNextValue(IndicatorDataPoint input)
+        {
+            _rsi.Update(input);
+            _recentRSIValues.Add(_rsi.Current.Value);
+
+            if (!_recentRSIValues.IsReady)
+            {
+                return 0m;
+            }
+
+            var maxHigh = _recentRSIValues.Max();
+            var minLow = _recentRSIValues.Min();
+
+            decimal k = 100;
+            if (maxHigh != minLow)
+            {
+                k = 100 * (_rsi.Current.Value - minLow) / (maxHigh - minLow);
+            }
+
+            K.Update(input.EndTime, k);
+            D.Update(input.EndTime, K.Current.Value);
+
+            return input.Value;
+        }
+
+        /// <summary>
+        /// Resets this indicator and all sub-indicators
+        /// </summary>
+        public override void Reset()
+        {
+            _rsi.Reset();
+            _recentRSIValues.Reset();
+            K.Reset();
+            D.Reset();
+            base.Reset();
+        }
+    }
+}