wehub-resource-sync
127 lines
4.8 KiB
C#
127 lines
4.8 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 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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/// Represents the Vortex Indicator, which identifies the start and continuation of market trends.
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/// It includes components that capture positive (upward) and negative (downward) trend movements.
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/// This indicator compares the ranges within the current period to previous periods to calculate
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/// upward and downward movement trends.
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/// </summary>
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public class Vortex : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly int _period;
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private readonly AverageTrueRange _atr;
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private readonly Sum _atrSum;
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private readonly Sum _plusVMSum;
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private readonly Sum _minusVMSum;
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private IBaseDataBar _previousInput;
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/// <summary>
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/// Gets the Positive Vortex Indicator, which reflects positive trend movements.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> PlusVortex { get; private set; }
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/// <summary>
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/// Gets the Negative Vortex Indicator, which reflects negative trend movements.
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/// </summary>
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public IndicatorBase<IndicatorDataPoint> MinusVortex { get; private set; }
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/// <summary>
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/// Indicates whether this indicator is fully ready and all buffers have been filled.
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/// </summary>
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public override bool IsReady => Samples >= _period;
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/// <summary>
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/// The minimum number of samples needed for the indicator to be ready and provide reliable values.
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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="Vortex"/> class using the specified period.
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/// </summary>
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/// <param name="period">The number of periods used to construct the Vortex Indicator.</param>
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public Vortex(int period)
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: this($"VTX({period})", period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="Vortex"/> class with a custom name and period.
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/// </summary>
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/// <param name="name">The custom name for this instance of the Vortex Indicator.</param>
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/// <param name="period">The number of periods used to construct the Vortex Indicator.</param>
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public Vortex(string name, int period)
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: base(name)
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{
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_period = period;
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_atr = new AverageTrueRange($"{Name}_ATR", 1, MovingAverageType.Simple);
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_atrSum = new Sum("ATR_Sum", period).Of(_atr);
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_plusVMSum = new Sum("PlusVM_Sum", period);
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_minusVMSum = new Sum("MinusVM_Sum", period);
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PlusVortex = _plusVMSum.Over(_atrSum);
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MinusVortex = _minusVMSum.Over(_atrSum);
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}
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/// <summary>
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/// Computes the next value of the Vortex Indicator based on the provided input.
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/// </summary>
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/// <param name="input">The input data used to compute the indicator value.</param>
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/// <returns>The computed value of the indicator.</returns>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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_atr.Update(input);
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if (_previousInput != null)
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{
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var plusVMValue = Math.Abs(input.High - _previousInput.Low);
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var minusVMValue = Math.Abs(input.Low - _previousInput.High);
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_plusVMSum.Update(input.EndTime, plusVMValue);
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_minusVMSum.Update(input.EndTime, minusVMValue);
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}
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_previousInput = input;
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if (!IsReady)
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{
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return 0;
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}
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return (PlusVortex.Current.Value + MinusVortex.Current.Value) / 2;
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}
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/// <summary>
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/// Resets all indicators and internal state.
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/// </summary>
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public override void Reset()
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{
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base.Reset();
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_atr.Reset();
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_atrSum.Reset();
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_plusVMSum.Reset();
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_minusVMSum.Reset();
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PlusVortex.Reset();
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MinusVortex.Reset();
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_previousInput = null;
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}
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}
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}
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