wehub-resource-sync
87 lines
3.0 KiB
C#
87 lines
3.0 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 True Range (TR).
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/// The True Range is the greatest of the following values:
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/// value1 = distance from today's high to today's low.
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/// value2 = distance from yesterday's close to today's high.
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/// value3 = distance from yesterday's close to today's low.
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/// </summary>
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public class TrueRange : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private IBaseDataBar _previousInput;
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/// <summary>
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/// Initializes a new instance of the <see cref="TrueRange"/> class using the specified name.
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/// </summary>
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public TrueRange()
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: base("TR")
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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="TrueRange"/> 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 TrueRange(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 => Samples > 1;
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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 => 2;
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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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var greatest = input.High - input.Low;
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if (!IsReady)
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{
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_previousInput = input;
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return greatest;
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}
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var value2 = Math.Abs(_previousInput.Close - input.High);
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if (value2 > greatest)
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greatest = value2;
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var value3 = Math.Abs(_previousInput.Close - input.Low);
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if (value3 > greatest)
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greatest = value3;
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_previousInput = input;
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return greatest;
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}
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}
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} |