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 System;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the Ultimate Oscillator (ULTOSC)
+    /// The Ultimate Oscillator is calculated as explained here:
+    /// http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:ultimate_oscillator
+    /// </summary>
+    public class UltimateOscillator : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        private readonly int _period;
+        private IBaseDataBar _previousInput;
+        private readonly TrueRange _trueRange;
+        private readonly Sum _sumBuyingPressure1;
+        private readonly Sum _sumBuyingPressure2;
+        private readonly Sum _sumBuyingPressure3;
+        private readonly Sum _sumTrueRange1;
+        private readonly Sum _sumTrueRange2;
+        private readonly Sum _sumTrueRange3;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="UltimateOscillator"/> class using the specified parameters
+        /// </summary>
+        /// <param name="period1">The first period</param>
+        /// <param name="period2">The second period</param>
+        /// <param name="period3">The third period</param>
+        public UltimateOscillator(int period1, int period2, int period3)
+            : this($"ULTOSC({period1},{period2},{period3})", period1, period2, period3)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="UltimateOscillator"/> class using the specified parameters
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period1">The first period</param>
+        /// <param name="period2">The second period</param>
+        /// <param name="period3">The third period</param>
+        public UltimateOscillator(string name, int period1, int period2, int period3)
+            : base(name)
+        {
+            _period = Math.Max(Math.Max(period1, period2), period3);
+            _trueRange = new TrueRange(name + "_TR");
+            _sumBuyingPressure1 = new Sum(name + "_BP1", period1);
+            _sumBuyingPressure2 = new Sum(name + "_BP2", period2);
+            _sumBuyingPressure3 = new Sum(name + "_BP3", period3);
+            _sumTrueRange1 = new Sum(name + "_TR1", period1);
+            _sumTrueRange2 = new Sum(name + "_TR2", period2);
+            _sumTrueRange3 = new Sum(name + "_TR3", period3);
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => Samples > _period;
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => _period + 1;
+
+        /// <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(IBaseDataBar input)
+        {
+            _trueRange.Update(input);
+
+            if (Samples == 1)
+            {
+                _previousInput = input;
+                return 50m;
+            }
+
+            var buyingPressure = new IndicatorDataPoint { Value = input.Close - Math.Min(input.Low, _previousInput.Close) };
+
+            _sumBuyingPressure1.Update(buyingPressure);
+            _sumBuyingPressure2.Update(buyingPressure);
+            _sumBuyingPressure3.Update(buyingPressure);
+
+            _sumTrueRange1.Update(_trueRange.Current);
+            _sumTrueRange2.Update(_trueRange.Current);
+            _sumTrueRange3.Update(_trueRange.Current);
+
+            _previousInput = input;
+
+            if (!IsReady)
+                return 50m;
+
+            if (_sumTrueRange1.Current.Value == 0
+                || _sumTrueRange2.Current.Value == 0
+                || _sumTrueRange3.Current.Value == 0)
+            {
+                return Current.Value;
+            }
+
+            var average1 = _sumBuyingPressure1.Current.Value / _sumTrueRange1.Current.Value;
+            var average2 = _sumBuyingPressure2.Current.Value / _sumTrueRange2.Current.Value;
+            var average3 = _sumBuyingPressure3.Current.Value / _sumTrueRange3.Current.Value;
+
+            return 100m * (4 * average1 + 2 * average2 + average3) / 7;
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _previousInput = null;
+            _trueRange.Reset();
+            _sumBuyingPressure1.Reset();
+            _sumBuyingPressure2.Reset();
+            _sumBuyingPressure3.Reset();
+            _sumTrueRange1.Reset();
+            _sumTrueRange2.Reset();
+            _sumTrueRange3.Reset();
+            base.Reset();
+        }
+    }
+}