wehub-resource-sync
100 lines
3.7 KiB
C#
100 lines
3.7 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 System;
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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 Rogers-Satchell Volatility
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/// It is an estimator for measuring the volatility of securities
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/// with an average return not equal to zero.
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/// </summary>
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public class RogersSatchellVolatility : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly int _period;
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private readonly IndicatorBase<IndicatorDataPoint> _rollingSum;
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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 => Samples >= _period;
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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 => _period;
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/// <summary>
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/// Initializes a new instance of the <see cref="RogersSatchellVolatility"/> class using the specified parameters
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/// </summary>
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/// <param name="period">The period of moving window</param>
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public RogersSatchellVolatility(int period)
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: this($"RSV({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 <see cref="RogersSatchellVolatility"/> class using the specified parameters
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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 moving window</param>
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public RogersSatchellVolatility(string name, int period)
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: base(name)
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{
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_period = period;
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_rollingSum = new Sum(name + "_Sum", 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(IBaseDataBar input)
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{
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if ((input.Open == 0) || (input.High == 0) || (input.Low == 0) || (input.Close == 0))
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{
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// return a sentinel value
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return 0m;
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}
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_rollingSum.Update(input.EndTime, (decimal)
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(Math.Log((double)input.High / (double)input.Close) * Math.Log((double)input.High / (double)input.Open)
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+ Math.Log((double)input.Low / (double)input.Close) * Math.Log((double)input.Low / (double)input.Open))
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);
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if (IsReady)
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{
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return (decimal)Math.Sqrt(((double)_rollingSum.Current.Value) / _period);
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}
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else
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{
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return 0m;
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}
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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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_rollingSum.Reset();
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base.Reset();
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}
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}
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}
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