wehub-resource-sync
99 lines
3.4 KiB
C#
99 lines
3.4 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 On Balance Volume (OBV).
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/// The On Balance Volume is calculated by determining the price of the current close price and previous close price.
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/// If the current close price is equivalent to the previous price the OBV remains the same,
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/// If the current close price is higher the volume of that day is added to the OBV, while a lower close price will
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/// result in negative value.
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/// </summary>
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public class OnBalanceVolume : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private TradeBar _previousInput;
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/// <summary>
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/// Initializes a new instance of the Indicator class using the specified name.
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/// </summary>
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public OnBalanceVolume()
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: base("OBV")
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{
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}
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/// <summary>
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/// Initializes a new instance of the Indicator class using the specified name.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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public OnBalanceVolume(string name)
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: base(name)
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{
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}
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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 => _previousInput != null;
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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 => 1;
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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 obv = Current.Value;
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if (_previousInput != null)
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{
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if (input.Value > _previousInput.Value)
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{
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obv += input.Volume;
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Update(input);
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}
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else if (input.Value < _previousInput.Value)
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{
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obv -= input.Volume;
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Update(input);
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}
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}
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else
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{
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obv = input.Volume;
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Update(input);
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}
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_previousInput = input;
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return obv;
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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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_previousInput = null;
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base.Reset();
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}
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}
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} |