wehub-resource-sync
119 lines
4.7 KiB
C#
119 lines
4.7 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 McClellan Summation Index (MSI) is a market breadth indicator that is based on the rolling average of difference
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/// between the number of advancing and declining issues on a stock exchange. It is generally considered as is
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/// a long-term version of the <see cref="McClellanOscillator"/>
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/// </summary>
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public class McClellanSummationIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// The McClellan Summation Index value
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/// </summary>
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/// <remarks>Protected for testing</remarks>
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protected IndicatorDataPoint Summation { get; }
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/// <summary>
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/// The McClellan Oscillator is a market breadth indicator which was developed by Sherman and Marian McClellan. It is based on the difference between the number of advancing and declining periods.
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/// </summary>
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public McClellanOscillator McClellanOscillator { get; }
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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 => McClellanOscillator.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 => McClellanOscillator.WarmUpPeriod;
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/// <summary>
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/// Initializes a new instance of the <see cref="McClellanSummationIndex"/> class
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/// <param name="name">The name of the indicator</param>
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/// <param name="fastPeriod">The fast period of EMA of advance decline difference</param>
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/// <param name="slowPeriod">The slow period of EMA of advance decline difference</param>
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/// </summary>
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public McClellanSummationIndex(string name, int fastPeriod = 19, int slowPeriod = 39) : base(name)
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{
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Summation = new();
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McClellanOscillator = new McClellanOscillator(fastPeriod, slowPeriod);
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McClellanOscillator.Updated += (_, updated) =>
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{
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// Update only when new indicator data point was consolidated
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if (updated.EndTime != Summation.Time)
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{
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Summation.Time = updated.EndTime;
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Summation.Value += updated.Value;
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}
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};
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="McClellanSummationIndex"/> class
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/// <param name="fastPeriod">The fast period of EMA of advance decline difference</param>
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/// <param name="slowPeriod">The slow period of EMA of advance decline difference</param>
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/// </summary>
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public McClellanSummationIndex(int fastPeriod = 19, int slowPeriod = 39)
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: this("McClellanSummationIndex", fastPeriod, slowPeriod)
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{
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}
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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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McClellanOscillator.Update(input);
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return Summation + McClellanOscillator.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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McClellanOscillator.Reset();
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base.Reset();
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}
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/// <summary>
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/// Add Tracking asset issue
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/// </summary>
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/// <param name="asset">the tracking asset issue</param>
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public void Add(Symbol asset)
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{
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McClellanOscillator.Add(asset);
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}
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/// <summary>
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/// Remove Tracking asset issue
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/// </summary>
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/// <param name="asset">the tracking asset issue</param>
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public void Remove(Symbol asset)
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{
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McClellanOscillator.Remove(asset);
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}
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}
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}
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