wehub-resource-sync
89 lines
3.3 KiB
C#
89 lines
3.3 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;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Represents an indicator that acts on a rolling window of data
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/// </summary>
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public abstract class WindowIndicator<T> : IndicatorBase<T>, IIndicatorWarmUpPeriodProvider
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where T : IBaseData
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{
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// a window of data over a certain look back period
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private readonly RollingWindow<T> _window;
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/// <summary>
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/// Gets the period of this window indicator
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/// </summary>
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public int Period => _window.Size;
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/// <summary>
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/// Initializes a new instance of the WindowIndicator class
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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 number of data points to hold in the window</param>
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protected WindowIndicator(string name, int period)
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: base(name)
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{
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if (period < 1)
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{
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throw new ArgumentException(Messages.RollingWindow.InvalidSize(1), nameof(period));
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}
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_window = new RollingWindow<T>(period);
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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 => _window.IsReady;
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/// <summary>
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/// Required period, in data points, to the indicator to be ready and fully initialized
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/// </summary>
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public virtual int WarmUpPeriod => Period;
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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(T input)
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{
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_window.Add(input);
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return ComputeNextValue(_window, input);
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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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base.Reset();
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_window.Reset();
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input value to this indicator on this time step</param>
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/// <returns>A new value for this indicator</returns>
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protected abstract decimal ComputeNextValue(IReadOnlyWindow<T> window, T input);
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}
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}
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