wehub-resource-sync
108 lines
4.2 KiB
C#
108 lines
4.2 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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/// This indicator computes the n-period Ease of Movement Value using the following:
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/// MID = (high_1 + low_1)/2 - (high_0 + low_0)/2
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/// RATIO = (currentVolume/10000) / (high_1 - low_1)
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/// EMV = MID/RATIO
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/// _SMA = n-period of EMV
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/// Returns _SMA
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/// Source: https://www.investopedia.com/terms/e/easeofmovement.asp
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/// </summary>
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public class EaseOfMovementValue : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly SimpleMovingAverage _sma;
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private readonly int _scale = 10000;
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private decimal _previousHighMaximum;
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private decimal _previousLowMinimum;
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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 => _sma.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 => _sma.WarmUpPeriod;
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/// <summary>
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/// Initializeds a new instance of the EaseOfMovement class using the specufued period
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/// </summary>
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/// <param name="period">The period over which to perform to computation</param>
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/// <param name="scale">The size of the number outputed by EMV</param>
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public EaseOfMovementValue(int period = 1, int scale = 10000)
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: this($"EMV({period}, {scale})", period, scale)
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{
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}
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/// <summary>
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/// Creates a new EaseOfMovement indicator with the specified period
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The period over which to perform to computation</param>
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/// <param name="scale">The size of the number outputed by EMV</param>
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public EaseOfMovementValue(string name, int period, int scale)
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: base(name)
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{
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_sma = new SimpleMovingAverage(period);
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_scale = scale;
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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 a value for this indicator</returns>
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protected override decimal ComputeNextValue(TradeBar input)
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{
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if (_previousHighMaximum == 0 && _previousLowMinimum == 0)
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{
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_previousHighMaximum = input.High;
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_previousLowMinimum = input.Low;
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}
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if (input.Volume == 0 || input.High == input.Low)
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{
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_sma.Update(input.EndTime, 0);
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return _sma.Current.Value;
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}
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var midValue = ((input.High + input.Low) / 2) - ((_previousHighMaximum + _previousLowMinimum) / 2);
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var midRatio = ((input.Volume / _scale) / (input.High - input.Low));
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_previousHighMaximum = input.High;
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_previousLowMinimum = input.Low;
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_sma.Update(input.EndTime, midValue / midRatio);
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return _sma.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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_sma.Reset();
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_previousHighMaximum = 0.0m;
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_previousLowMinimum = 0.0m;
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base.Reset();
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}
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}
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} |