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 QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents an Indicator of the Market Profile with Volume Profile mode and its attributes
+    /// </summary>
+    public class VolumeProfile: MarketProfile
+    {
+        /// <summary>
+        /// Creates a new VolumeProfile indicator with the specified period
+        /// </summary>
+        /// <param name="period">The period of the indicator</param>
+        /// <param name="valueAreaVolumePercentage">The percentage of volume contained in the value area</param>
+        /// <param name="priceRangeRoundOff">How many digits you want to round and the precision.
+        public VolumeProfile(int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m)
+            : this($"VP({period},{valueAreaVolumePercentage},{priceRangeRoundOff})", period, valueAreaVolumePercentage, priceRangeRoundOff)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new VolumeProfile indicator with the specified name, period and priceRangeRoundOff
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="valueAreaVolumePercentage">The percentage of volume contained in the value area</param>
+        /// <param name="priceRangeRoundOff">How many digits you want to round and the precision.
+        /// i.e 0.01 round to two digits exactly.</param>
+        public VolumeProfile(string name, int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m)
+            : base(name, period, valueAreaVolumePercentage, priceRangeRoundOff)
+        { }
+
+        /// <summary>
+        /// Define the Volume for the Volume Profile mode
+        /// </summary>
+        /// <param name="input"></param>
+        /// <returns>The volume of the input Data Point</returns>
+        protected override decimal GetVolume(TradeBar input)
+        {
+            return input.Volume;
+        }
+    }
+}