wehub-resource-sync
107 lines
4.3 KiB
C#
107 lines
4.3 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 Python.Runtime;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using System;
|
|
|
|
namespace QuantConnect.Indicators
|
|
{
|
|
/// <summary>
|
|
/// Represents an indicator that is a ready after ingesting a single sample and
|
|
/// always returns the same value as it is given if it passes a filter condition
|
|
/// </summary>
|
|
public class FilteredIdentity : IndicatorBase<IBaseData>
|
|
{
|
|
private IBaseData _previousInput;
|
|
private readonly Func<IBaseData, bool> _filter;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the FilteredIdentity indicator with the specified name
|
|
/// </summary>
|
|
/// <param name="name">The name of the indicator</param>
|
|
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
|
|
public FilteredIdentity(string name, Func<IBaseData, bool> filter)
|
|
: base(name)
|
|
{
|
|
// default our filter to true (do not filter)
|
|
_filter = filter ?? (x => true);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the FilteredIdentity indicator with the specified name
|
|
/// </summary>
|
|
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
|
|
public FilteredIdentity(Func<IBaseData, bool> filter) : this("", filter) { }
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the FilteredIdentity indicator with the specified name
|
|
/// </summary>
|
|
/// <param name="name">The name of the indicator</param>
|
|
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
|
|
public FilteredIdentity(string name, PyObject filter)
|
|
: this(name, filter.SafeAs<Func<IBaseData, bool>>())
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the FilteredIdentity indicator with the specified name
|
|
/// </summary>
|
|
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
|
|
public FilteredIdentity(PyObject filter) : this("", filter) { }
|
|
|
|
/// <summary>
|
|
/// Gets a flag indicating when this indicator is ready and fully initialized
|
|
/// </summary>
|
|
public override bool IsReady => Samples > 0 && Current.Value > 0;
|
|
|
|
/// <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(IBaseData input)
|
|
{
|
|
if (_filter(input))
|
|
{
|
|
_previousInput = input;
|
|
return input.Value;
|
|
}
|
|
|
|
if (_previousInput != null)
|
|
{
|
|
return _previousInput.Value;
|
|
}
|
|
|
|
// if _previousInput is null, create an empty IBaseData object of the same type of the input
|
|
switch (input.DataType)
|
|
{
|
|
case MarketDataType.TradeBar:
|
|
_previousInput = new TradeBar();
|
|
break;
|
|
case MarketDataType.QuoteBar:
|
|
_previousInput = new QuoteBar();
|
|
break;
|
|
default:
|
|
_previousInput = new Tick();
|
|
break;
|
|
}
|
|
|
|
return _previousInput.Value;
|
|
}
|
|
}
|
|
}
|