wehub-resource-sync
135 lines
4.7 KiB
C#
135 lines
4.7 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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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes)
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/// </summary>
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public class RangeBar: TradeBar
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{
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/// <summary>
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/// Gets the range of the bar.
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/// </summary>
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public decimal RangeSize { get; private set; }
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/// <summary>
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/// Gets whether or not this bar is considered closed.
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/// </summary>
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public bool IsClosed { get; private set; }
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/// <summary>
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/// Initialize a new default instance of <see cref="RangeBar"/> class.
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/// </summary>
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public RangeBar()
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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="RangeBar"/> class with the specified values
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/// </summary>
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/// <param name="symbol">The symbol of this data</param>
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/// <param name="endTime">The end time of the bar</param>
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/// <param name="rangeSize">The size of each range bar</param>
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/// <param name="open">The opening price for the new bar</param>
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/// <param name="high">The high price for the new bar</param>
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/// <param name="low">The low price for the new bar</param>
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/// <param name="close">The closing price for the new bar</param>
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/// <param name="volume">The volume value for the new bar</param>
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public RangeBar(Symbol symbol, DateTime endTime,
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decimal rangeSize, decimal open, decimal? high = null, decimal? low = null, decimal? close = null, decimal volume = 0)
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{
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Symbol = symbol;
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EndTime = endTime;
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RangeSize = rangeSize;
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Open = open;
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Close = close ?? open;
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Volume = volume;
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High = high ?? open;
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Low = low ?? open;
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}
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/// <summary>
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/// Updates this <see cref="RangeBar"/> with the specified values
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/// </summary>
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/// <param name="time">The current time</param>
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/// <param name="currentValue">The current value</param>
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/// <param name="volumeSinceLastUpdate">The volume since the last update called on this instance</param>
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public void Update(DateTime time, decimal currentValue, decimal volumeSinceLastUpdate)
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{
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EndTime = time;
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if (currentValue < Low)
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{
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if ((High - currentValue) > RangeSize)
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{
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IsClosed = true;
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Low = High - RangeSize;
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Close = Low;
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return;
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}
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else
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{
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Low = currentValue;
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}
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}
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else if (currentValue > High)
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{
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if ((currentValue - Low) > RangeSize)
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{
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IsClosed = true;
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High = Low + RangeSize;
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Close = High;
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return;
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}
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else
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{
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High = currentValue;
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}
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}
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Volume += volumeSinceLastUpdate;
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}
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/// <summary>
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/// Return a new instance clone of this object, used in fill forward
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/// </summary>
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/// <remarks>
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/// This base implementation uses reflection to copy all public fields and properties
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/// </remarks>
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/// <returns>A clone of the current object</returns>
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public override BaseData Clone()
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{
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return new RangeBar
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{
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RangeSize = RangeSize,
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Open = Open,
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Volume = Volume,
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Close = Close,
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EndTime = EndTime,
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High = High,
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IsClosed = IsClosed,
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Low = Low,
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Time = Time,
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Value = Value,
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Symbol = Symbol,
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DataType = DataType
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};
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}
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}
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}
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