wehub-resource-sync
117 lines
4.7 KiB
C#
117 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 Money Flow Index (MFI) is an oscillator that uses both price and volume to
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/// measure buying and selling pressure
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///
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/// Typical Price = (High + Low + Close)/3
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/// Money Flow = Typical Price x Volume
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/// Positive Money Flow = Sum of the money flows of all days where the typical
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/// price is greater than the previous day's typical price
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/// Negative Money Flow = Sum of the money flows of all days where the typical
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/// price is less than the previous day's typical price
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/// Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow)
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///
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/// Money Flow Index = 100 x Positive Money Flow / ( Positive Money Flow + Negative Money Flow)
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/// </summary>
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public class MoneyFlowIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// The sum of positive money flow to compute money flow ratio
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> PositiveMoneyFlow { get; }
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/// <summary>
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/// The sum of negative money flow to compute money flow ratio
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> NegativeMoneyFlow { get; }
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/// <summary>
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/// The current and previous typical price is used to determine positive or negative money flow
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/// </summary>
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public decimal PreviousTypicalPrice { get; private set; }
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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 => PositiveMoneyFlow.IsReady && NegativeMoneyFlow.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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PreviousTypicalPrice = 0.0m;
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PositiveMoneyFlow.Reset();
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NegativeMoneyFlow.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 MoneyFlowIndex class
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/// </summary>
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/// <param name="period">The period of the negative and positive money flow</param>
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public MoneyFlowIndex(int period)
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: this($"MFI({period})", period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the MoneyFlowIndex class
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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 of the negative and positive money flow</param>
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public MoneyFlowIndex(string name, int period)
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: base(name)
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{
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WarmUpPeriod = period;
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PositiveMoneyFlow = new Sum(name + "_PositiveMoneyFlow", period);
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NegativeMoneyFlow = new Sum(name + "_NegativeMoneyFlow", period);
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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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var typicalPrice = (input.High + input.Low + input.Close) / 3.0m;
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var moneyFlow = typicalPrice * input.Volume;
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PositiveMoneyFlow.Update(input.EndTime, typicalPrice > PreviousTypicalPrice ? moneyFlow : 0.0m);
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NegativeMoneyFlow.Update(input.EndTime, typicalPrice < PreviousTypicalPrice ? moneyFlow : 0.0m);
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PreviousTypicalPrice = typicalPrice;
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var totalMoneyFlow = PositiveMoneyFlow.Current.Value + NegativeMoneyFlow.Current.Value;
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if (totalMoneyFlow == 0.0m)
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{
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return 100.0m;
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}
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return 100m * PositiveMoneyFlow.Current.Value / totalMoneyFlow;
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}
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}
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} |