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2375 lines (2081 loc) · 131 KB
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/*
* 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;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using System;
using System.Collections.Generic;
using System.Linq;
using static QuantConnect.StringExtensions;
namespace QuantConnect.Algorithm
{
public partial class QCAlgorithm
{
/// <summary>
/// Gets whether or not WarmUpIndicator is allowed to warm up indicators/>
/// </summary>
public bool EnableAutomaticIndicatorWarmUp { get; set; } = false;
/// <summary>
/// Creates a new Acceleration Bands indicator.
/// </summary>
/// <param name="symbol">The symbol whose Acceleration Bands we want.</param>
/// <param name="period">The period of the three moving average (middle, upper and lower band).</param>
/// <param name="width">A coefficient specifying the distance between the middle band and upper or lower bands.</param>
/// <param name="movingAverageType">Type of the moving average.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.</param>
/// <returns></returns>
public AccelerationBands ABANDS(Symbol symbol, int period, decimal width = 4, MovingAverageType movingAverageType = MovingAverageType.Simple,
Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"ABANDS({period},{width})", resolution);
var accelerationBands = new AccelerationBands(name, period, width, movingAverageType);
RegisterIndicator(symbol, accelerationBands, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, accelerationBands, resolution);
}
return accelerationBands;
}
/// <summary>
/// Creates a new AccumulationDistribution indicator.
/// </summary>
/// <param name="symbol">The symbol whose AD we want</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The AccumulationDistribution indicator for the requested symbol over the speified period</returns>
public AccumulationDistribution AD(Symbol symbol, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, "AD", resolution);
var accumulationDistribution = new AccumulationDistribution(name);
RegisterIndicator(symbol, accumulationDistribution, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, accumulationDistribution, resolution);
}
return accumulationDistribution;
}
/// <summary>
/// Creates a new AccumulationDistributionOscillator indicator.
/// </summary>
/// <param name="symbol">The symbol whose ADOSC we want</param>
/// <param name="fastPeriod">The fast moving average period</param>
/// <param name="slowPeriod">The slow moving average period</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The AccumulationDistributionOscillator indicator for the requested symbol over the speified period</returns>
public AccumulationDistributionOscillator ADOSC(Symbol symbol, int fastPeriod, int slowPeriod, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"ADOSC({fastPeriod},{slowPeriod})", resolution);
var accumulationDistributionOscillator = new AccumulationDistributionOscillator(name, fastPeriod, slowPeriod);
RegisterIndicator(symbol, accumulationDistributionOscillator, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, accumulationDistributionOscillator, resolution);
}
return accumulationDistributionOscillator;
}
/// <summary>
/// Creates a new Average Directional Index indicator.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose Average Directional Index we seek</param>
/// <param name="resolution">The resolution.</param>
/// <param name="period">The period over which to compute the Average Directional Index</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The Average Directional Index indicator for the requested symbol.</returns>
public AverageDirectionalIndex ADX(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"ADX({period})", resolution);
var averageDirectionalIndex = new AverageDirectionalIndex(name, period);
RegisterIndicator(symbol, averageDirectionalIndex, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, averageDirectionalIndex, resolution);
}
return averageDirectionalIndex;
}
/// <summary>
/// Creates a new AverageDirectionalMovementIndexRating indicator.
/// </summary>
/// <param name="symbol">The symbol whose ADXR we want</param>
/// <param name="period">The period over which to compute the ADXR</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The AverageDirectionalMovementIndexRating indicator for the requested symbol over the specified period</returns>
public AverageDirectionalMovementIndexRating ADXR(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"ADXR({period})", resolution);
var averageDirectionalMovementIndexRating = new AverageDirectionalMovementIndexRating(name, period);
RegisterIndicator(symbol, averageDirectionalMovementIndexRating, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, averageDirectionalMovementIndexRating, resolution);
}
return averageDirectionalMovementIndexRating;
}
/// <summary>
/// Creates a new ArnaudLegouxMovingAverage indicator.
/// </summary>
/// <param name="symbol">The symbol whose ALMA we want</param>
/// <param name="period">int - the number of periods to calculate the ALMA</param>
/// <param name="sigma"> int - this parameter is responsible for the shape of the curve coefficients.
/// </param>
/// <param name="offset">
/// decimal - This parameter allows regulating the smoothness and high sensitivity of the
/// Moving Average. The range for this parameter is [0, 1].
/// </param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The ArnaudLegouxMovingAverage indicator for the requested symbol over the specified period</returns>
public ArnaudLegouxMovingAverage ALMA(Symbol symbol, int period, int sigma = 6, decimal offset = 0.85m, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"ALMA({period},{sigma},{offset})", resolution);
var arnaudLegouxMovingAverage = new ArnaudLegouxMovingAverage(name, period, sigma, offset);
RegisterIndicator(symbol, arnaudLegouxMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, arnaudLegouxMovingAverage, resolution);
}
return arnaudLegouxMovingAverage;
}
/// <summary>
/// Creates a new AbsolutePriceOscillator indicator.
/// </summary>
/// <param name="symbol">The symbol whose APO we want</param>
/// <param name="fastPeriod">The fast moving average period</param>
/// <param name="slowPeriod">The slow moving average period</param>
/// <param name="movingAverageType">The type of moving average to use</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The AbsolutePriceOscillator indicator for the requested symbol over the specified period</returns>
public AbsolutePriceOscillator APO(Symbol symbol, int fastPeriod, int slowPeriod, MovingAverageType movingAverageType, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"APO({fastPeriod},{slowPeriod})", resolution);
var absolutePriceOscillator = new AbsolutePriceOscillator(name, fastPeriod, slowPeriod, movingAverageType);
RegisterIndicator(symbol, absolutePriceOscillator, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, absolutePriceOscillator, resolution);
}
return absolutePriceOscillator;
}
/// <summary>
/// Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)
/// </summary>
/// <param name="symbol">The symbol whose Aroon we seek</param>
/// <param name="period">The look back period for computing number of periods since maximum and minimum</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>An AroonOscillator configured with the specied periods</returns>
public AroonOscillator AROON(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
return AROON(symbol, period, period, resolution, selector);
}
/// <summary>
/// Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)
/// </summary>
/// <param name="symbol">The symbol whose Aroon we seek</param>
/// <param name="upPeriod">The look back period for computing number of periods since maximum</param>
/// <param name="downPeriod">The look back period for computing number of periods since minimum</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>An AroonOscillator configured with the specified periods</returns>
public AroonOscillator AROON(Symbol symbol, int upPeriod, int downPeriod, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"AROON({upPeriod},{downPeriod})", resolution);
var aroonOscillator = new AroonOscillator(name, upPeriod, downPeriod);
RegisterIndicator(symbol, aroonOscillator, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, aroonOscillator, resolution);
}
return aroonOscillator;
}
/// <summary>
/// Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose ATR we want</param>
/// <param name="period">The smoothing period used to smooth the computed TrueRange values</param>
/// <param name="type">The type of smoothing to use</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>A new AverageTrueRange indicator with the specified smoothing type and period</returns>
public AverageTrueRange ATR(Symbol symbol, int period, MovingAverageType type = MovingAverageType.Simple, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"ATR({period})", resolution);
var averageTrueRange = new AverageTrueRange(name, period, type);
RegisterIndicator(symbol, averageTrueRange, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, averageTrueRange, resolution);
}
return averageTrueRange;
}
/// <summary>
/// Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation
/// </summary>
/// <param name="symbol">The symbol whose BollingerBands we seek</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>A BollingerBands configured with the specified period</returns>
public BollingerBands BB(Symbol symbol, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"BB({period},{k})", resolution);
var bollingerBands = new BollingerBands(name, period, k, movingAverageType);
RegisterIndicator(symbol, bollingerBands, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, bollingerBands, resolution);
}
return bollingerBands;
}
/// <summary>
/// Creates a new Balance Of Power indicator.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose Balance Of Power we seek</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The Balance Of Power indicator for the requested symbol.</returns>
public BalanceOfPower BOP(Symbol symbol, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, "BOP", resolution);
var balanceOfPower = new BalanceOfPower(name);
RegisterIndicator(symbol, balanceOfPower, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, balanceOfPower, resolution);
}
return balanceOfPower;
}
/// <summary>
/// Initializes a new instance of the <see cref="CoppockCurve"/> indicator
/// </summary>
/// <param name="symbol">The symbol whose Coppock Curve we want</param>
/// <param name="shortRocPeriod">The period for the short ROC</param>
/// <param name="longRocPeriod">The period for the long ROC</param>
/// <param name="lwmaPeriod">The period for the LWMA</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The Coppock Curve indicator for the requested symbol over the specified period</returns>
public CoppockCurve CC(Symbol symbol, int shortRocPeriod = 11, int longRocPeriod = 14, int lwmaPeriod = 10, Resolution? resolution = null,
Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"CC({shortRocPeriod},{longRocPeriod},{lwmaPeriod})", resolution);
var coppockCurve = new CoppockCurve(name, shortRocPeriod, longRocPeriod, lwmaPeriod);
RegisterIndicator(symbol, coppockCurve, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, coppockCurve, resolution);
}
return coppockCurve;
}
/// <summary>
/// Creates a new CommodityChannelIndex indicator. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose CCI we want</param>
/// <param name="period">The period over which to compute the CCI</param>
/// <param name="movingAverageType">The type of moving average to use in computing the typical price average</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The CommodityChannelIndex indicator for the requested symbol over the specified period</returns>
public CommodityChannelIndex CCI(Symbol symbol, int period, MovingAverageType movingAverageType = MovingAverageType.Simple, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"CCI({period})", resolution);
var commodityChannelIndex = new CommodityChannelIndex(name, period, movingAverageType);
RegisterIndicator(symbol, commodityChannelIndex, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, commodityChannelIndex, resolution);
}
return commodityChannelIndex;
}
/// <summary>
/// Creates a new ChandeMomentumOscillator indicator.
/// </summary>
/// <param name="symbol">The symbol whose CMO we want</param>
/// <param name="period">The period over which to compute the CMO</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The ChandeMomentumOscillator indicator for the requested symbol over the specified period</returns>
public ChandeMomentumOscillator CMO(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"CMO({period})", resolution);
var chandeMomentumOscillator = new ChandeMomentumOscillator(name, period);
RegisterIndicator(symbol, chandeMomentumOscillator, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, chandeMomentumOscillator, resolution);
}
return chandeMomentumOscillator;
}
/// <summary>
/// Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose Donchian Channel we seek.</param>
/// <param name="upperPeriod">The period over which to compute the upper Donchian Channel.</param>
/// <param name="lowerPeriod">The period over which to compute the lower Donchian Channel.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The Donchian Channel indicator for the requested symbol.</returns>
public DonchianChannel DCH(Symbol symbol, int upperPeriod, int lowerPeriod, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"DCH({upperPeriod},{lowerPeriod})", resolution);
var donchianChannel = new DonchianChannel(name, upperPeriod, lowerPeriod);
RegisterIndicator(symbol, donchianChannel, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, donchianChannel, resolution);
}
return donchianChannel;
}
/// <summary>
/// Overload shorthand to create a new symmetric Donchian Channel indicator which
/// has the upper and lower channels set to the same period length.
/// </summary>
/// <param name="symbol">The symbol whose Donchian Channel we seek.</param>
/// <param name="period">The period over which to compute the Donchian Channel.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The Donchian Channel indicator for the requested symbol.</returns>
public DonchianChannel DCH(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
return DCH(symbol, period, period, resolution, selector);
}
/// <summary>
/// Creates a new DoubleExponentialMovingAverage indicator.
/// </summary>
/// <param name="symbol">The symbol whose DEMA we want</param>
/// <param name="period">The period over which to compute the DEMA</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The DoubleExponentialMovingAverage indicator for the requested symbol over the specified period</returns>
public DoubleExponentialMovingAverage DEMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"DEMA({period})", resolution);
var doubleExponentialMovingAverage = new DoubleExponentialMovingAverage(name, period);
RegisterIndicator(symbol, doubleExponentialMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, doubleExponentialMovingAverage, resolution);
}
return doubleExponentialMovingAverage;
}
/// <summary>
/// Creates a new <see cref="DetrendedPriceOscillator"/> indicator.
/// </summary>
/// <param name="symbol">The symbol whose DPO we want</param>
/// <param name="period">The period over which to compute the DPO</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>A new registered DetrendedPriceOscillator indicator for the requested symbol over the specified period</returns>
public DetrendedPriceOscillator DPO(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"DPO({period})", resolution);
var detrendedPriceOscillator = new DetrendedPriceOscillator(name, period);
RegisterIndicator(symbol, detrendedPriceOscillator, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, detrendedPriceOscillator, resolution);
}
return detrendedPriceOscillator;
}
/// <summary>
/// Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose EMA we want</param>
/// <param name="period">The period of the EMA</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The ExponentialMovingAverage for the given parameters</returns>
public ExponentialMovingAverage EMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"EMA({period})", resolution);
var exponentialMovingAverage = new ExponentialMovingAverage(name, period);
RegisterIndicator(symbol, exponentialMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, exponentialMovingAverage, resolution);
}
return exponentialMovingAverage;
}
/// <summary>
/// Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new FilteredIdentity indicator for the specified symbol and selector</returns>
public FilteredIdentity FilteredIdentity(Symbol symbol, Func<IBaseData, IBaseDataBar> selector = null, Func<IBaseData, bool> filter = null, string fieldName = null)
{
var resolution = GetSubscription(symbol).Resolution;
return FilteredIdentity(symbol, resolution, selector, filter, fieldName);
}
/// <summary>
/// Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new FilteredIdentity indicator for the specified symbol and selector</returns>
public FilteredIdentity FilteredIdentity(Symbol symbol, Resolution resolution, Func<IBaseData, IBaseDataBar> selector = null, Func<IBaseData, bool> filter = null, string fieldName = null)
{
var name = CreateIndicatorName(symbol, fieldName ?? "close", resolution);
var filteredIdentity = new FilteredIdentity(name, filter);
RegisterIndicator<IBaseData>(symbol, filteredIdentity, resolution, selector);
return filteredIdentity;
}
/// <summary>
/// Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new FilteredIdentity indicator for the specified symbol and selector</returns>
public FilteredIdentity FilteredIdentity(Symbol symbol, TimeSpan resolution, Func<IBaseData, IBaseDataBar> selector = null, Func<IBaseData, bool> filter = null, string fieldName = null)
{
var name = Invariant($"{symbol}({fieldName ?? "close"}_{resolution})");
var filteredIdentity = new FilteredIdentity(name, filter);
RegisterIndicator<IBaseData>(symbol, filteredIdentity, ResolveConsolidator(symbol, resolution), selector);
return filteredIdentity;
}
/// <summary>
/// Creates an FisherTransform indicator for the symbol.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose FisherTransform we want</param>
/// <param name="period">The period of the FisherTransform</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The FisherTransform for the given parameters</returns>
public FisherTransform FISH(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"FISH({period})", resolution);
var fisherTransform = new FisherTransform(name, period);
RegisterIndicator(symbol, fisherTransform, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, fisherTransform, resolution);
}
return fisherTransform;
}
/// <summary>
/// Creates an FractalAdaptiveMovingAverage (FRAMA) indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose FRAMA we want</param>
/// <param name="period">The period of the FRAMA</param>
/// <param name="longPeriod">The long period of the FRAMA</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The FRAMA for the given parameters</returns>
public FractalAdaptiveMovingAverage FRAMA(Symbol symbol, int period, int longPeriod = 198, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"FRAMA({period},{longPeriod})", resolution);
var fractalAdaptiveMovingAverage = new FractalAdaptiveMovingAverage(name, period, longPeriod);
RegisterIndicator(symbol, fractalAdaptiveMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, fractalAdaptiveMovingAverage, resolution);
}
return fractalAdaptiveMovingAverage;
}
/// <summary>
/// Creates a new Heikin-Ashi indicator.
/// </summary>
/// <param name="symbol">The symbol whose Heikin-Ashi we want</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The Heikin-Ashi indicator for the requested symbol over the specified period</returns>
public HeikinAshi HeikinAshi(Symbol symbol, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, "HA", resolution);
var heikinAshi = new HeikinAshi(name);
RegisterIndicator(symbol, heikinAshi, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, heikinAshi, resolution);
}
return heikinAshi;
}
/// <summary>
/// Creates a new HullMovingAverage indicator. The Hull moving average is a series of nested weighted moving averages, is fast and smooth.
/// </summary>
/// <param name="symbol">The symbol whose Hull moving average we want</param>
/// <param name="period">The period over which to compute the Hull moving average</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns></returns>
public HullMovingAverage HMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"HMA({period})", resolution);
var hullMovingAverage = new HullMovingAverage(name, period);
RegisterIndicator(symbol, hullMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, hullMovingAverage, resolution);
}
return hullMovingAverage;
}
/// <summary>
/// Creates a new IchimokuKinkoHyo indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose ICHIMOKU we want</param>
/// <param name="tenkanPeriod">The period to calculate the Tenkan-sen period</param>
/// <param name="kijunPeriod">The period to calculate the Kijun-sen period</param>
/// <param name="senkouAPeriod">The period to calculate the Tenkan-sen period</param>
/// <param name="senkouBPeriod">The period to calculate the Tenkan-sen period</param>
/// <param name="senkouADelayPeriod">The period to calculate the Tenkan-sen period</param>
/// <param name="senkouBDelayPeriod">The period to calculate the Tenkan-sen period</param>
/// <param name="resolution">The resolution</param>
/// <returns>A new IchimokuKinkoHyo indicator with the specified periods and delays</returns>
public IchimokuKinkoHyo ICHIMOKU(Symbol symbol, int tenkanPeriod, int kijunPeriod, int senkouAPeriod, int senkouBPeriod, int senkouADelayPeriod, int senkouBDelayPeriod, Resolution? resolution = null)
{
var name = CreateIndicatorName(symbol, $"ICHIMOKU({tenkanPeriod},{kijunPeriod},{senkouAPeriod},{senkouBPeriod},{senkouADelayPeriod},{senkouBDelayPeriod})", resolution);
var ichimokuKinkoHyo = new IchimokuKinkoHyo(name, tenkanPeriod, kijunPeriod, senkouAPeriod, senkouBPeriod, senkouADelayPeriod, senkouBDelayPeriod);
RegisterIndicator(symbol, ichimokuKinkoHyo, resolution);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, ichimokuKinkoHyo, resolution);
}
return ichimokuKinkoHyo;
}
/// <summary>
/// Creates a new Identity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new Identity indicator for the specified symbol and selector</returns>
public Identity Identity(Symbol symbol, Func<IBaseData, decimal> selector = null, string fieldName = null)
{
var resolution = GetSubscription(symbol).Resolution;
return Identity(symbol, resolution, selector, fieldName);
}
/// <summary>
/// Creates a new Identity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new Identity indicator for the specified symbol and selector</returns>
public Identity Identity(Symbol symbol, Resolution resolution, Func<IBaseData, decimal> selector = null, string fieldName = null)
{
var name = CreateIndicatorName(symbol, fieldName ?? "close", resolution);
var identity = new Identity(name);
RegisterIndicator(symbol, identity, resolution, selector);
return identity;
}
/// <summary>
/// Creates a new Identity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new Identity indicator for the specified symbol and selector</returns>
public Identity Identity(Symbol symbol, TimeSpan resolution, Func<IBaseData, decimal> selector = null, string fieldName = null)
{
var name = Invariant($"{symbol}({fieldName ?? "close"},{resolution})");
var identity = new Identity(name);
RegisterIndicator(symbol, identity, ResolveConsolidator(symbol, resolution), selector);
return identity;
}
/// <summary>
/// Creates a new KaufmanAdaptiveMovingAverage indicator.
/// </summary>
/// <param name="symbol">The symbol whose KAMA we want</param>
/// <param name="period">The period over which to compute the KAMA</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The KaufmanAdaptiveMovingAverage indicator for the requested symbol over the specified period</returns>
public KaufmanAdaptiveMovingAverage KAMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"KAMA({period})", resolution);
var kaufmanAdaptiveMovingAverage = new KaufmanAdaptiveMovingAverage(name, period);
RegisterIndicator(symbol, kaufmanAdaptiveMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, kaufmanAdaptiveMovingAverage, resolution);
}
return kaufmanAdaptiveMovingAverage;
}
/// <summary>
/// Creates a new Keltner Channels indicator.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose Keltner Channel we seek</param>
/// <param name="period">The period over which to compute the Keltner Channels</param>
/// <param name="k">The number of multiples of the <see cref="AverageTrueRange"/> from the middle band of the Keltner Channels</param>
/// <param name="movingAverageType">Specifies the type of moving average to be used as the middle line of the Keltner Channel</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
/// <returns>The Keltner Channel indicator for the requested symbol.</returns>
public KeltnerChannels KCH(Symbol symbol, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"KCH({period},{k})", resolution);
var keltnerChannels = new KeltnerChannels(name, period, k, movingAverageType);
RegisterIndicator(symbol, keltnerChannels, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, keltnerChannels, resolution);
}
return keltnerChannels;
}
/// <summary>
/// Creates a new LogReturn indicator.
/// </summary>
/// <param name="symbol">The symbol whose log return we seek</param>
/// <param name="period">The period of the log return.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.</param>
/// <returns>log return indicator for the requested symbol.</returns>
public LogReturn LOGR(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"LOGR({period})", resolution);
var logReturn = new LogReturn(name, period);
RegisterIndicator(symbol, logReturn, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, logReturn, resolution);
}
return logReturn;
}
/// <summary>
/// Creates and registers a new Least Squares Moving Average instance.
/// </summary>
/// <param name="symbol">The symbol whose LSMA we seek.</param>
/// <param name="period">The LSMA period. Normally 14.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.</param>
/// <returns>A LeastSquaredMovingAverage configured with the specified period</returns>
public LeastSquaresMovingAverage LSMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"LSMA({period})", resolution);
var leastSquaresMovingAverage = new LeastSquaresMovingAverage(name, period);
RegisterIndicator(symbol, leastSquaresMovingAverage, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, leastSquaresMovingAverage, resolution);
}
return leastSquaresMovingAverage;
}
/// <summary>
/// Creates a new LinearWeightedMovingAverage indicator. This indicator will linearly distribute
/// the weights across the periods.
/// </summary>
/// <param name="symbol">The symbol whose LWMA we want</param>
/// <param name="period">The period over which to compute the LWMA</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns></returns>
public LinearWeightedMovingAverage LWMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"LWMA({period})", resolution);
var linearWeightedMovingAverage = new LinearWeightedMovingAverage(name, period);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, linearWeightedMovingAverage, resolution);
}
RegisterIndicator(symbol, linearWeightedMovingAverage, resolution, selector);
return linearWeightedMovingAverage;
}
/// <summary>
/// Creates a MACD indicator for the symbol. The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose MACD we want</param>
/// <param name="fastPeriod">The period for the fast moving average</param>
/// <param name="slowPeriod">The period for the slow moving average</param>
/// <param name="signalPeriod">The period for the signal moving average</param>
/// <param name="type">The type of moving average to use for the MACD</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The moving average convergence divergence between the fast and slow averages</returns>
public MovingAverageConvergenceDivergence MACD(Symbol symbol, int fastPeriod, int slowPeriod, int signalPeriod, MovingAverageType type = MovingAverageType.Exponential, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"MACD({fastPeriod},{slowPeriod},{signalPeriod})", resolution);
var movingAverageConvergenceDivergence = new MovingAverageConvergenceDivergence(name, fastPeriod, slowPeriod, signalPeriod, type);
RegisterIndicator(symbol, movingAverageConvergenceDivergence, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, movingAverageConvergenceDivergence, resolution);
}
return movingAverageConvergenceDivergence;
}
/// <summary>
/// Creates a new MeanAbsoluteDeviation indicator.
/// </summary>
/// <param name="symbol">The symbol whose MeanAbsoluteDeviation we want</param>
/// <param name="period">The period over which to compute the MeanAbsoluteDeviation</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The MeanAbsoluteDeviation indicator for the requested symbol over the specified period</returns>
public MeanAbsoluteDeviation MAD(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"MAD({period})", resolution);
var meanAbsoluteDeviation = new MeanAbsoluteDeviation(name, period);
RegisterIndicator(symbol, meanAbsoluteDeviation, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, meanAbsoluteDeviation, resolution);
}
return meanAbsoluteDeviation;
}
/// <summary>
/// Creates a new Maximum indicator to compute the maximum value
/// </summary>
/// <param name="symbol">The symbol whose max we want</param>
/// <param name="period">The look back period over which to compute the max value</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null and the symbol is of type TradeBar defaults to the High property,
/// otherwise it defaults to Value property of BaseData (x => x.Value)</param>
/// <returns>A Maximum indicator that compute the max value and the periods since the max value</returns>
public Maximum MAX(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"MAX({period})", resolution);
var maximum = new Maximum(name, period);
// assign a default value for the selector function
if (selector == null)
{
var subscription = GetSubscription(symbol);
if (typeof(TradeBar).IsAssignableFrom(subscription.Type))
{
// if we have trade bar data we'll use the High property, if not x => x.Value will be set in RegisterIndicator
selector = x => ((TradeBar)x).High;
}
}
RegisterIndicator(symbol, maximum, ResolveConsolidator(symbol, resolution), selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, maximum, resolution);
}
return maximum;
}
/// <summary>
/// Creates a new MoneyFlowIndex indicator. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose MFI we want</param>
/// <param name="period">The period over which to compute the MFI</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The MoneyFlowIndex indicator for the requested symbol over the specified period</returns>
public MoneyFlowIndex MFI(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"MFI({period})", resolution);
var moneyFlowIndex = new MoneyFlowIndex(name, period);
RegisterIndicator(symbol, moneyFlowIndex, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, moneyFlowIndex, resolution);
}
return moneyFlowIndex;
}
/// <summary>
/// Creates a new Mass Index indicator. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose Mass Index we want.</param>
/// <param name="emaPeriod">The period used by both EMA.</param>
/// <param name="sumPeriod">The sum period.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The Mass Index indicator for the requested symbol over the specified period</returns>
public MassIndex MASS(Symbol symbol, int emaPeriod = 9, int sumPeriod = 25, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"MASS({emaPeriod},{sumPeriod})", resolution);
var massIndex = new MassIndex(name, emaPeriod, sumPeriod);
RegisterIndicator(symbol, massIndex, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, massIndex, resolution);
}
return massIndex;
}
/// <summary>
/// Creates a new MidPoint indicator.
/// </summary>
/// <param name="symbol">The symbol whose MIDPOINT we want</param>
/// <param name="period">The period over which to compute the MIDPOINT</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The MidPoint indicator for the requested symbol over the specified period</returns>
public MidPoint MIDPOINT(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"MIDPOINT({period})", resolution);
var midPoint = new MidPoint(name, period);
RegisterIndicator(symbol, midPoint, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, midPoint, resolution);
}
return midPoint;
}
/// <summary>
/// Creates a new MidPrice indicator.
/// </summary>
/// <param name="symbol">The symbol whose MIDPRICE we want</param>
/// <param name="period">The period over which to compute the MIDPRICE</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The MidPrice indicator for the requested symbol over the specified period</returns>
public MidPrice MIDPRICE(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"MIDPRICE({period})", resolution);
var midPrice = new MidPrice(name, period);
RegisterIndicator(symbol, midPrice, resolution, selector);
if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, midPrice, resolution);
}
return midPrice;
}
/// <summary>
/// Creates a new Minimum indicator to compute the minimum value
/// </summary>
/// <param name="symbol">The symbol whose min we want</param>
/// <param name="period">The look back period over which to compute the min value</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null and the symbol is of type TradeBar defaults to the Low property,
/// otherwise it defaults to Value property of BaseData (x => x.Value)</param>
/// <returns>A Minimum indicator that compute the in value and the periods since the min value</returns>
public Minimum MIN(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"MIN({period})", resolution);
var minimum = new Minimum(name, period);
// assign a default value for the selector function
if (selector == null)