wehub-resource-sync
77 lines
2.8 KiB
C#
77 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.Market;
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using System.Linq;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The New Highs - New Lows Volume Ratio is a Breadth indicator calculated as ratio of
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/// summary volume of stocks reaching new high to summary volume of stocks reaching new
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/// low compared to high and low values in defined time period.
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/// </summary>
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public class NewHighsNewLowsVolume : NewHighsNewLows<TradeBar>
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{
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/// <summary>
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/// Volume ratio between the number of assets reaching new highs and the number of assets
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/// reaching new lows in defined time period.
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/// </summary>
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public IndicatorBase<TradeBar> VolumeRatio { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="NewHighsNewLowsVolume"/> class
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/// </summary>
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public NewHighsNewLowsVolume(string name, int period)
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: base(name, period)
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{
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VolumeRatio = new FunctionalIndicator<TradeBar>(
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$"{name}_VolumeRatio",
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(input) =>
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{
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decimal newHighsVolume = NewHighs.Sum(x => x.Volume);
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decimal newLowsVolume = NewLows.Sum(x => x.Volume);
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return newLowsVolume == 0m ? newHighsVolume : newHighsVolume / newLowsVolume;
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},
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_ => IsReady);
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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 nextValue = base.ComputeNextValue(input);
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VolumeRatio.Update(input);
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return VolumeRatio.Current.Value;
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}
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/// <summary>
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/// Resets tracked assets 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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VolumeRatio.Reset();
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base.Reset();
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}
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}
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}
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