quantconnect--lean/Indicators/CommodityChannelIndex.cs

/*
 * 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 the traditional commodity channel index (CCI)
    ///
    /// CCI = (Typical Price - 20-period SMA of TP) / (.015 * Mean Deviation)
    /// Typical Price (TP) = (High + Low + Close)/3
    /// Constant = 0.015
    ///
    /// There are four steps to calculating the Mean Deviation, first, subtract
    /// the most recent 20-period average of the typical price from each period's
    /// typical price. Second, take the absolute values of these numbers. Third,
    /// sum the absolute values. Fourth, divide by the total number of periods (20).
    /// </summary>
    public class CommodityChannelIndex : BarIndicator, IIndicatorWarmUpPeriodProvider
    {
        /// <summary>
        /// This constant is used to ensure that CCI values fall between +100 and -100, 70% to 80% of the time
        /// </summary>
        private const decimal K = 0.015m;

        /// <summary>
        /// Gets the type of moving average
        /// </summary>
        public MovingAverageType MovingAverageType { get; }

        /// <summary>
        /// Keep track of the simple moving average of the typical price
        /// </summary>
        public IndicatorBase<IndicatorDataPoint> TypicalPriceAverage { get; }

        /// <summary>
        /// Keep track of the mean absolute deviation of the typical price
        /// </summary>
        public IndicatorBase<IndicatorDataPoint> TypicalPriceMeanDeviation { get; }

        /// <summary>
        /// Initializes a new instance of the CommodityChannelIndex class
        /// </summary>
        /// <param name="period">The period of the standard deviation and moving average (middle band)</param>
        /// <param name="movingAverageType">The type of moving average to be used</param>
        public CommodityChannelIndex(int period, MovingAverageType movingAverageType = MovingAverageType.Simple)
            : this($"CCI({period})", period, movingAverageType)
        {
        }

        /// <summary>
        /// Initializes a new instance of the CommodityChannelIndex class
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        /// <param name="period">The period of the standard deviation and moving average (middle band)</param>
        /// <param name="movingAverageType">The type of moving average to be used</param>
        public CommodityChannelIndex(string name, int period, MovingAverageType movingAverageType = MovingAverageType.Simple)
            : base(name)
        {
            WarmUpPeriod = period;
            MovingAverageType = movingAverageType;
            TypicalPriceAverage = movingAverageType.AsIndicator(name + "_TypicalPriceAvg", period);
            TypicalPriceMeanDeviation = new MeanAbsoluteDeviation(name + "_TypicalPriceMAD", period);
        }

        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady => TypicalPriceAverage.IsReady && TypicalPriceMeanDeviation.IsReady;

        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod { get; }

        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// </summary>
        /// <param name="input">The input given to the indicator</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(IBaseDataBar input)
        {
            var typicalPrice = (input.High + input.Low + input.Close) / 3.0m;

            TypicalPriceAverage.Update(input.EndTime, typicalPrice);
            TypicalPriceMeanDeviation.Update(input.EndTime, typicalPrice);

            // compare this to zero, since if the mean deviation is very small we can get
            // precision errors due to non-floating point math
            var weightedMeanDeviation = K * TypicalPriceMeanDeviation.Current.Value;
            if (weightedMeanDeviation == 0.0m)
            {
                return 0.0m;
            }

            return (typicalPrice - TypicalPriceAverage.Current.Value).SafeDivision(weightedMeanDeviation, Current.Value);
        }

        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            TypicalPriceAverage.Reset();
            TypicalPriceMeanDeviation.Reset();
            base.Reset();
        }
    }
}