quantconnect--lean/Indicators/CompositeIndicator.cs

/*
 * 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 Python.Runtime;
using QuantConnect.Data;
using QuantConnect.Data.Market;

namespace QuantConnect.Indicators
{
    /// <summary>
    /// This indicator is capable of wiring up two separate indicators into a single indicator
    /// such that the output of each will be sent to a user specified function.
    /// </summary>
    /// <remarks>
    /// This type is initialized such that there is no need to call the Update function. This indicator
    /// will have its values automatically updated each time a new piece of data is received from both
    /// the left and right indicators.
    /// </remarks>
    public class CompositeIndicator : IndicatorBase<IndicatorDataPoint>
    {
        /// <summary>
        /// Delegate type used to compose the output of two indicators into a new value.
        /// </summary>
        /// <remarks>
        /// A simple example would be to compute the difference between the two indicators (such as with MACD)
        /// (left, right) => left - right
        /// </remarks>
        /// <param name="left">The left indicator</param>
        /// <param name="right">The right indicator</param>
        /// <returns>And indicator result representing the composition of the two indicators</returns>
        public delegate IndicatorResult IndicatorComposer(IndicatorBase left, IndicatorBase right);

        /// <summary>function used to compose the individual indicators</summary>
        private readonly IndicatorComposer _composer;

        /// <summary>
        /// Gets the 'left' indicator for the delegate
        /// </summary>
        public IndicatorBase Left { get; private set; }

        /// <summary>
        /// Gets the 'right' indicator for the delegate
        /// </summary>
        public IndicatorBase Right { get; private set; }

        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady
        {
            get { return Left.IsReady && Right.IsReady; }
        }

        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            Left.Reset();
            Right.Reset();
            base.Reset();
        }

        /// <summary>
        /// Creates a new CompositeIndicator capable of taking the output from the left and right indicators
        /// and producing a new value via the composer delegate specified
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        /// <param name="left">The left indicator for the 'composer'</param>
        /// <param name="right">The right indicator for the 'composer'</param>
        /// <param name="composer">Function used to compose the left and right indicators</param>
        public CompositeIndicator(string name, IndicatorBase left, IndicatorBase right, IndicatorComposer composer)
            : base(name)
        {
            _composer = composer;
            Left = left;
            Right = right;
            Name ??= $"COMPOSE({Left.Name},{Right.Name})";
            ConfigureEventHandlers();
        }

        /// <summary>
        /// Creates a new CompositeIndicator capable of taking the output from the left and right indicators
        /// and producing a new value via the composer delegate specified
        /// </summary>
        /// <param name="left">The left indicator for the 'composer'</param>
        /// <param name="right">The right indicator for the 'composer'</param>
        /// <param name="composer">Function used to compose the left and right indicators</param>
        public CompositeIndicator(IndicatorBase left, IndicatorBase right, IndicatorComposer composer)
            : this(null, left, right, composer)
        { }

        /// <summary>
        /// Initializes a new instance of <see cref="CompositeIndicator"/> using two indicators
        /// and a custom function.
        /// </summary>
        /// <param name="name">The name of the composite indicator.</param>
        /// <param name="left">The first indicator in the composition.</param>
        /// <param name="right">The second indicator in the composition.</param>
        /// <param name="handler">A Python function that processes the indicator values.</param>
        /// <exception cref="ArgumentException">
        /// Thrown if the provided left or right indicator is not a valid QuantConnect Indicator object.
        /// </exception>
        public CompositeIndicator(string name, PyObject left, PyObject right, PyObject handler)
            : this(
                name,
                (IndicatorBase)left.GetIndicatorAsManagedObject(),
                (IndicatorBase)right.GetIndicatorAsManagedObject(),
                new IndicatorComposer(handler.SafeAs<Func<IndicatorBase, IndicatorBase, IndicatorResult>>())
            )
        {
        }

        /// <summary>
        /// Initializes a new instance of <see cref="CompositeIndicator"/> using two indicators
        /// and a custom function.
        /// </summary>
        /// <param name="left">The first indicator in the composition.</param>
        /// <param name="right">The second indicator in the composition.</param>
        /// <param name="handler">A Python function that processes the indicator values.</param>
        public CompositeIndicator(PyObject left, PyObject right, PyObject handler)
            : this(null, left, right, handler)
        { }

        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// and returns an instance of the <see cref="IndicatorResult"/> class
        /// </summary>
        /// <param name="input">The input given to the indicator</param>
        /// <returns>An IndicatorResult object including the status of the indicator</returns>
        protected override IndicatorResult ValidateAndComputeNextValue(IndicatorDataPoint input)
        {
            return _composer.Invoke(Left, Right);
        }

        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// </summary>
        /// <remarks>
        /// Since this class overrides <see cref="ValidateAndComputeNextValue"/>, this method is a no-op
        /// </remarks>
        /// <param name="_">The input given to the indicator</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(IndicatorDataPoint _)
        {
            // this should never actually be invoked
            return _composer.Invoke(Left, Right).Value;
        }

        /// <summary>
        /// Configures the event handlers for Left.Updated and Right.Updated to update this instance when
        /// they both have new data.
        /// </summary>
        private void ConfigureEventHandlers()
        {
            // if either of these are constants then there's no reason
            bool leftIsConstant = Left.GetType().IsSubclassOfGeneric(typeof(ConstantIndicator<>));
            bool rightIsConstant = Right.GetType().IsSubclassOfGeneric(typeof(ConstantIndicator<>));

            // wire up the Updated events such that when we get a new piece of data from both left and right
            // we'll call update on this indicator. It's important to note that the CompositeIndicator only uses
            // the timestamp that gets passed into the Update function, his compuation is soley a function
            // of the left and right indicator via '_composer'

            IndicatorDataPoint newLeftData = null;
            IndicatorDataPoint newRightData = null;
            Left.Updated += (sender, updated) =>
            {
                newLeftData = updated;

                // if we have left and right data (or if right is a constant) then we need to update
                if (newRightData != null || rightIsConstant)
                {
                    var dataPoint = new IndicatorDataPoint { Time = MaxTime(updated) };
                    Update(dataPoint);
                    // reset these to null after each update
                    newLeftData = null;
                    newRightData = null;
                }
            };

            Right.Updated += (sender, updated) =>
            {
                newRightData = updated;

                // if we have left and right data (or if left is a constant) then we need to update
                if (newLeftData != null || leftIsConstant)
                {
                    var dataPoint = new IndicatorDataPoint { Time = MaxTime(updated) };
                    Update(dataPoint);
                    // reset these to null after each update
                    newLeftData = null;
                    newRightData = null;
                }
            };
        }

        private DateTime MaxTime(IndicatorDataPoint updated)
        {
            return new DateTime(Math.Max(updated.Time.Ticks, Math.Max(Right.Current.Time.Ticks, Left.Current.Time.Ticks)));
        }
    }
}