wehub-resource-sync
130 lines
4.1 KiB
C#
130 lines
4.1 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Arms Index, also called the Short-Term Trading Index (TRIN)
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/// is a technical analysis indicator that compares the number of advancing
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/// and declining stocks (AD Ratio) to advancing and declining volume (AD volume).
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/// </summary>
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public class ArmsIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly IndicatorBase<IndicatorDataPoint> _arms;
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/// <summary>
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/// Gets the Advance/Decline Ratio (ADR) indicator
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/// </summary>
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public AdvanceDeclineRatio ADRatio { get; }
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/// <summary>
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/// Gets the Advance/Decline Volume Ratio (ADVR) indicator
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/// </summary>
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public AdvanceDeclineVolumeRatio ADVRatio { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="ArmsIndex"/> class
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/// </summary>
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public ArmsIndex(string name = "TRIN") : base(name)
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{
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ADRatio = new AdvanceDeclineRatio(name + "_A/D Ratio");
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ADVRatio = new AdvanceDeclineVolumeRatio(name + "_A/D Volume Ratio");
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_arms = ADRatio.Over(ADVRatio, name);
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}
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady => ADRatio.IsReady && ADVRatio.IsReady;
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/// <summary>
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/// Required period, in data points, for the indicator to be ready and fully initialized.
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/// </summary>
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public int WarmUpPeriod => System.Math.Max(ADRatio.WarmUpPeriod, ADVRatio.WarmUpPeriod);
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(TradeBar input)
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{
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ADRatio.Update(input);
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ADVRatio.Update(input);
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if (ADVRatio == 0)
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{
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return 0;
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}
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return _arms.Current.Value;
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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ADRatio.Reset();
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ADVRatio.Reset();
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_arms.Reset();
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base.Reset();
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}
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/// <summary>
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/// Add Tracking stock issue
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/// </summary>
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/// <param name="asset">the tracking stock issue</param>
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public void Add(Symbol asset)
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{
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ADRatio.Add(asset);
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ADVRatio.Add(asset);
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}
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/// <summary>
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/// Deprecated
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/// </summary>
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[Obsolete("Please use Add(asset)")]
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public void AddStock(Symbol asset)
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{
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Add(asset);
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}
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/// <summary>
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/// Remove Tracking stock issue
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/// </summary>
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/// <param name="asset">the tracking stock issue</param>
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public void Remove(Symbol asset)
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{
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ADRatio.Remove(asset);
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ADVRatio.Remove(asset);
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}
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/// <summary>
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/// Deprecated
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/// </summary>
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[Obsolete("Please use Remove(asset)")]
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public void RemoveStock(Symbol asset)
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{
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Remove(asset);
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}
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}
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}
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