wehub-resource-sync
105 lines
3.7 KiB
C#
105 lines
3.7 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 QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over
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/// a specified period.
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///
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/// CMF = n-day Sum of [(((C - L) - (H - C)) / (H - L)) x Vol] / n-day Sum of Vol
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///
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/// Where:
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/// n = number of periods, typically 21
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/// H = high
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/// L = low
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/// C = close
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/// Vol = volume
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///
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/// https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cmf
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/// </summary>
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public class ChaikinMoneyFlow : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Holds the point-wise flow-sum and volume terms.
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/// </summary>
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private readonly Sum _flowRatioSum;
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private readonly Sum _volumeSum;
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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 => _flowRatioSum.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 { get; }
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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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_volumeSum.Reset();
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_flowRatioSum.Reset();
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base.Reset();
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}
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/// <summary>
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/// Initializes a new instance of the ChaikinMoneyFlow class
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/// </summary>
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/// <param name="name">A name for the indicator</param>
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/// <param name="period">The period over which to perform computation</param>
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public ChaikinMoneyFlow(string name, int period)
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: base(name)
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{
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WarmUpPeriod = period;
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_flowRatioSum = new Sum(period);
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_volumeSum = new Sum(period);
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}
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/// <summary>
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/// Initializes a new instance of the ChaikinMoneyFlow class
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/// </summary>
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/// <param name="period">The period over which to perform computation</param>
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public ChaikinMoneyFlow(int period)
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: this($"CMF({period})", period)
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{
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="input">The input value to this indicator on this time step</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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var denominator = (input.High - input.Low);
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var flowRatio = denominator > 0
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? input.Volume * (input.Close - input.Low - (input.High - input.Close)) / denominator
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: 0m;
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_flowRatioSum.Update(input.EndTime, flowRatio);
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_volumeSum.Update(input.EndTime, input.Volume);
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return !IsReady || _volumeSum == 0m ? 0m : _flowRatioSum / _volumeSum;
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}
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}
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}
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