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
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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;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents an indicator that acts on a rolling window of data
+    /// </summary>
+    public abstract class WindowIndicator<T> : IndicatorBase<T>, IIndicatorWarmUpPeriodProvider
+        where T : IBaseData
+    {
+        // a window of data over a certain look back period
+        private readonly RollingWindow<T> _window;
+
+        /// <summary>
+        /// Gets the period of this window indicator
+        /// </summary>
+        public int Period => _window.Size;
+
+        /// <summary>
+        /// Initializes a new instance of the WindowIndicator class
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The number of data points to hold in the window</param>
+        protected WindowIndicator(string name, int period)
+            : base(name)
+        {
+            if (period < 1)
+            {
+                throw new ArgumentException(Messages.RollingWindow.InvalidSize(1), nameof(period));
+            }
+            _window = new RollingWindow<T>(period);
+        }
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _window.IsReady;
+
+        /// <summary>
+        /// Required period, in data points, to the indicator to be ready and fully initialized
+        /// </summary>
+        public virtual int WarmUpPeriod => Period;
+
+        /// <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(T input)
+        {
+            _window.Add(input);
+            return ComputeNextValue(_window, input);
+        }
+
+        /// <summary>
+        ///     Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            base.Reset();
+            _window.Reset();
+        }
+
+        /// <summary>
+        /// Computes the next value for this indicator from the given state.
+        /// </summary>
+        /// <param name="window">The window of data held in this indicator</param>
+        /// <param name="input">The input value to this indicator on this time step</param>
+        /// <returns>A new value for this indicator</returns>
+        protected abstract decimal ComputeNextValue(IReadOnlyWindow<T> window, T input);
+    }
+}