wehub-resource-sync
59 lines
2.7 KiB
C#
59 lines
2.7 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using QuantConnect.Data.Market;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Represents an Indicator of the Market Profile with Volume Profile mode and its attributes
|
|
/// </summary>
|
|
public class VolumeProfile: MarketProfile
|
|
{
|
|
/// <summary>
|
|
/// Creates a new VolumeProfile indicator with the specified period
|
|
/// </summary>
|
|
/// <param name="period">The period of the indicator</param>
|
|
/// <param name="valueAreaVolumePercentage">The percentage of volume contained in the value area</param>
|
|
/// <param name="priceRangeRoundOff">How many digits you want to round and the precision.
|
|
public VolumeProfile(int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m)
|
|
: this($"VP({period},{valueAreaVolumePercentage},{priceRangeRoundOff})", period, valueAreaVolumePercentage, priceRangeRoundOff)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a new VolumeProfile indicator with the specified name, period and priceRangeRoundOff
|
|
/// </summary>
|
|
/// <param name="name">The name of this indicator</param>
|
|
/// <param name="period">The period of this indicator</param>
|
|
/// <param name="valueAreaVolumePercentage">The percentage of volume contained in the value area</param>
|
|
/// <param name="priceRangeRoundOff">How many digits you want to round and the precision.
|
|
/// i.e 0.01 round to two digits exactly.</param>
|
|
public VolumeProfile(string name, int period = 2, decimal valueAreaVolumePercentage = 0.70m, decimal priceRangeRoundOff = 0.05m)
|
|
: base(name, period, valueAreaVolumePercentage, priceRangeRoundOff)
|
|
{ }
|
|
|
|
/// <summary>
|
|
/// Define the Volume for the Volume Profile mode
|
|
/// </summary>
|
|
/// <param name="input"></param>
|
|
/// <returns>The volume of the input Data Point</returns>
|
|
protected override decimal GetVolume(TradeBar input)
|
|
{
|
|
return input.Volume;
|
|
}
|
|
}
|
|
}
|