wehub-resource-sync
68 lines
2.8 KiB
C#
68 lines
2.8 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;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Base class for indicators that work with two different symbols and calculate an indicator based on them.
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/// </summary>
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/// <typeparam name="TInput">Indicator input data type</typeparam>
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public abstract class DualSymbolIndicator<TInput> : MultiSymbolIndicator<TInput>
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where TInput : IBaseData
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{
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/// <summary>
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/// RollingWindow to store the data points of the target symbol
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/// </summary>
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protected IReadOnlyWindow<TInput> TargetDataPoints { get; }
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/// <summary>
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/// RollingWindow to store the data points of the reference symbol
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/// </summary>
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protected IReadOnlyWindow<TInput> ReferenceDataPoints { get; }
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/// <summary>
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/// Symbol of the reference used
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/// </summary>
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protected Symbol ReferenceSymbol { get; }
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/// <summary>
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/// Symbol of the target used
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/// </summary>
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protected Symbol TargetSymbol { get; }
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/// <summary>
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/// Initializes the dual symbol indicator.
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/// <para>
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/// The constructor accepts a target symbol and a reference symbol. It also initializes
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/// the time zones for both symbols and checks if they are different.
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/// </para>
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/// </summary>
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/// <param name="name">The name of the indicator.</param>
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/// <param name="targetSymbol">The symbol of the target asset.</param>
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/// <param name="referenceSymbol">The symbol of the reference asset.</param>
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/// <param name="period">The period (number of data points) over which to calculate the indicator.</param>
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protected DualSymbolIndicator(string name, Symbol targetSymbol, Symbol referenceSymbol, int period)
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: base(name, [targetSymbol, referenceSymbol], period)
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{
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TargetDataPoints = DataBySymbol[targetSymbol].DataPoints;
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ReferenceDataPoints = DataBySymbol[referenceSymbol].DataPoints;
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TargetSymbol = targetSymbol;
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ReferenceSymbol = referenceSymbol;
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}
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}
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}
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