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4229 lines (3836 loc) · 256 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 Python.Runtime;
using QuantConnect.Util;
using static QuantConnect.StringExtensions;
using QuantConnect.Data.Common;
namespace QuantConnect.Algorithm
{
public partial class QCAlgorithm
{
private readonly List<Func<IBaseData, decimal>> _quoteRequiredFields = new() {
Field.BidPrice,
Field.AskPrice,
Field.BidClose,
Field.BidOpen,
Field.BidLow,
Field.BidHigh,
Field.AskClose,
Field.AskOpen,
Field.AskLow,
Field.AskHigh,
};
/// <summary>
/// Gets whether or not WarmUpIndicator is allowed to warm up indicators
/// </summary>
[Obsolete("Please use Settings.AutomaticIndicatorWarmUp")]
public bool EnableAutomaticIndicatorWarmUp
{
get
{
return Settings.AutomaticIndicatorWarmUp;
}
set
{
Settings.AutomaticIndicatorWarmUp = value;
}
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(accelerationBands, resolution, selector, symbol);
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 specified period</returns>
[DocumentationAttribute(Indicators)]
public AccumulationDistribution AD(Symbol symbol, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, "AD", resolution);
var accumulationDistribution = new AccumulationDistribution(name);
InitializeIndicator(accumulationDistribution, resolution, selector, symbol);
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 specified period</returns>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(accumulationDistributionOscillator, resolution, selector, symbol);
return accumulationDistributionOscillator;
}
/// <summary>
/// Creates a Alpha indicator for the given target symbol in relation with the reference used.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="target">The target symbol whose Alpha value we want</param>
/// <param name="reference">The reference symbol to compare with the target symbol</param>
/// <param name="alphaPeriod">The period of the Alpha indicator</param>
/// <param name="betaPeriod">The period of the Beta indicator</param>
/// <param name="resolution">The resolution</param>
/// <param name="riskFreeRate">The risk free rate</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 Alpha indicator for the given parameters</returns>
[DocumentationAttribute(Indicators)]
public Alpha A(Symbol target, Symbol reference, int alphaPeriod = 1, int betaPeriod = 252, Resolution? resolution = null, decimal? riskFreeRate = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var baseBame = riskFreeRate.HasValue ? $"A({alphaPeriod},{betaPeriod},{riskFreeRate})" : $"A({alphaPeriod},{betaPeriod})";
var name = CreateIndicatorName(target, baseBame, resolution);
// If risk free rate is not specified, use the default risk free rate model
IRiskFreeInterestRateModel riskFreeRateModel = riskFreeRate.HasValue
? new ConstantRiskFreeRateInterestRateModel(riskFreeRate.Value)
: new FuncRiskFreeRateInterestRateModel((datetime) => RiskFreeInterestRateModel.GetInterestRate(datetime));
var alpha = new Alpha(name, target, reference, alphaPeriod, betaPeriod, riskFreeRateModel);
InitializeIndicator(alpha, resolution, selector, target, reference);
return alpha;
}
/// <summary>
/// Creates a new Average Range (AR) indicator.
/// </summary>
/// <param name="symbol">The symbol whose Average Range we want to calculate</param>
/// <param name="period">The period over which to compute the Average Range</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 Average Range indicator for the requested symbol over the specified period</returns>
[DocumentationAttribute(Indicators)]
public AverageRange AR(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"AR({period})", resolution);
var averageRange = new AverageRange(name, period);
InitializeIndicator(averageRange, resolution, selector, symbol);
return averageRange;
}
/// <summary>
/// Creates a new ARIMA indicator.
/// </summary>
/// <param name="symbol">The symbol whose ARIMA indicator we want</param>
/// <param name="arOrder">AR order (p) -- defines the number of past values to consider in the AR component of the model.</param>
/// <param name="diffOrder">Difference order (d) -- defines how many times to difference the model before fitting parameters.</param>
/// <param name="maOrder">MA order (q) -- defines the number of past values to consider in the MA component of the model.</param>
/// <param name="period">Size of the rolling series to fit onto</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 ARIMA indicator for the requested symbol over the specified period</returns>
[DocumentationAttribute(Indicators)]
public AutoRegressiveIntegratedMovingAverage ARIMA(Symbol symbol, int arOrder, int diffOrder, int maOrder, int period,
Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"ARIMA({arOrder},{diffOrder},{maOrder},{period})", resolution);
var arimaIndicator = new AutoRegressiveIntegratedMovingAverage(name, arOrder, diffOrder, maOrder, period);
InitializeIndicator(arimaIndicator, resolution, selector, symbol);
return arimaIndicator;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(averageDirectionalIndex, resolution, selector, symbol);
return averageDirectionalIndex;
}
/// <summary>
/// Creates a new Awesome Oscillator from the specified periods.
/// </summary>
/// <param name="symbol">The symbol whose Awesome Oscillator we seek</param>
/// <param name="resolution">The resolution.</param>
/// <param name="fastPeriod">The period of the fast moving average associated with the AO</param>
/// <param name="slowPeriod">The period of the slow moving average associated with the AO</param>
/// <param name="type">The type of moving average used when computing the fast and slow term. Defaults to simple moving average.</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>
[DocumentationAttribute(Indicators)]
public AwesomeOscillator AO(Symbol symbol, int fastPeriod, int slowPeriod, MovingAverageType type, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"AO({fastPeriod},{slowPeriod},{type})", resolution);
var awesomeOscillator = new AwesomeOscillator(name, fastPeriod, slowPeriod, type);
InitializeIndicator(awesomeOscillator, resolution, selector, symbol);
return awesomeOscillator;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(averageDirectionalMovementIndexRating, resolution, selector, symbol);
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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(arnaudLegouxMovingAverage, resolution, selector, symbol);
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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(absolutePriceOscillator, resolution, selector, symbol);
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 specified periods</returns>
[DocumentationAttribute(Indicators)]
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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(aroonOscillator, resolution, selector, symbol);
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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(averageTrueRange, resolution, selector, symbol);
return averageTrueRange;
}
/// <summary>
/// Creates an AugenPriceSpike indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose APS we want</param>
/// <param name="period">The period of the APS</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 AugenPriceSpike indicator for the given parameters</returns>
[DocumentationAttribute(Indicators)]
public AugenPriceSpike APS(Symbol symbol, int period = 3, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"APS({period})", resolution);
var augenPriceSpike = new AugenPriceSpike(name, period);
InitializeIndicator(augenPriceSpike, resolution, selector, symbol);
return augenPriceSpike;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(bollingerBands, resolution, selector, symbol);
return bollingerBands;
}
/// <summary>
/// Creates a Beta indicator for the given target symbol in relation with the reference used.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="target">The target symbol whose Beta value we want</param>
/// <param name="reference">The reference symbol to compare with the target symbol</param>
/// <param name="period">The period of the Beta indicator</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 Beta indicator for the given parameters</returns>
[DocumentationAttribute(Indicators)]
public Beta B(Symbol target, Symbol reference, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(QuantConnect.Symbol.None, $"B({period})", resolution);
var beta = new Beta(name, target, reference, period);
InitializeIndicator(beta, resolution, selector, target, reference);
return beta;
}
/// <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>
[DocumentationAttribute(Indicators)]
public BalanceOfPower BOP(Symbol symbol, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, "BOP", resolution);
var balanceOfPower = new BalanceOfPower(name);
InitializeIndicator(balanceOfPower, resolution, selector, symbol);
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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(coppockCurve, resolution, selector, symbol);
return coppockCurve;
}
/// <summary>
/// Creates a Correlation indicator for the given target symbol in relation with the reference used.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="target">The target symbol of this indicator</param>
/// <param name="reference">The reference symbol of this indicator</param>
/// <param name="period">The period of this indicator</param>
/// <param name="correlationType">Correlation type</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 Correlation indicator for the given parameters</returns>
[DocumentationAttribute(Indicators)]
public Correlation C(Symbol target, Symbol reference, int period, CorrelationType correlationType = CorrelationType.Pearson, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(QuantConnect.Symbol.None, $"C({period})", resolution);
var correlation = new Correlation(name, target, reference, period, correlationType);
InitializeIndicator(correlation, resolution, selector, target, reference);
return correlation;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(commodityChannelIndex, resolution, selector, symbol);
return commodityChannelIndex;
}
/// <summary>
/// Creates a new ChoppinessIndex indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose CHOP we want</param>
/// <param name="period">The input window period used to calculate max high and min low</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 ChoppinessIndex indicator with the window period</returns>
[DocumentationAttribute(Indicators)]
public ChoppinessIndex CHOP(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"CHOP({period})", resolution);
var indicator = new ChoppinessIndex(name, period);
InitializeIndicator(indicator, resolution, selector, symbol);
return indicator;
}
/// <summary>
/// Creates a new Chande Kroll Stop indicator which will compute the short and lower stop.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose Chande Kroll Stop we seek.</param>
/// <param name="atrPeriod">The period over which to compute the average true range.</param>
/// <param name="atrMult">The ATR multiplier to be used to compute stops distance.</param>
/// <param name="period">The period over which to compute the max of high stop and min of low stop.</param>
/// <param name="resolution">The resolution.</param>
/// <param name="movingAverageType">The type of smoothing used to smooth the true range values</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 Chande Kroll Stop indicator for the requested symbol.</returns>
[DocumentationAttribute(Indicators)]
public ChandeKrollStop CKS(Symbol symbol, int atrPeriod, decimal atrMult, int period, MovingAverageType movingAverageType = MovingAverageType.Wilders, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"CKS({atrPeriod},{atrMult},{period})", resolution);
var indicator = new ChandeKrollStop(name, atrPeriod, atrMult, period, movingAverageType);
InitializeIndicator(indicator, resolution, selector, symbol);
return indicator;
}
/// <summary>
/// Creates a new ChaikinMoneyFlow indicator.
/// </summary>
/// <param name="symbol">The symbol whose CMF we want</param>
/// <param name="period">The period over which to compute the CMF</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 ChaikinMoneyFlow indicator for the requested symbol over the specified period</returns>
[DocumentationAttribute(Indicators)]
public ChaikinMoneyFlow CMF(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"CMF({period})", resolution);
var chaikinMoneyFlow = new ChaikinMoneyFlow(name, period);
InitializeIndicator(chaikinMoneyFlow, resolution, selector, symbol);
return chaikinMoneyFlow;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(chandeMomentumOscillator, resolution, selector, symbol);
return chandeMomentumOscillator;
}
/// <summary>
/// Creates a new Connors Relative Strength Index (CRSI) indicator, which combines the traditional Relative Strength Index (RSI),
/// Streak RSI (SRSI), and Percent Rank to provide a more robust measure of market strength.
/// This indicator oscillates based on momentum, streak behavior, and price change over the specified periods.
/// </summary>
/// <param name="symbol">The symbol whose CRSI is to be calculated.</param>
/// <param name="rsiPeriod">The period for the traditional RSI calculation.</param>
/// <param name="rsiPeriodStreak">The period for the Streak RSI calculation (SRSI).</param>
/// <param name="lookBackPeriod">The look-back period for calculating the Percent Rank.</param>
/// <param name="resolution">The resolution of the data (optional).</param>
/// <param name="selector">Function to select a value from the BaseData to input into the indicator. Defaults to using the 'Value' property of BaseData if null.</param>
/// <returns>The Connors Relative Strength Index (CRSI) for the specified symbol and periods.</returns>
[DocumentationAttribute(Indicators)]
public ConnorsRelativeStrengthIndex CRSI(Symbol symbol, int rsiPeriod, int rsiPeriodStreak, int lookBackPeriod, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"CRSI({rsiPeriod},{rsiPeriodStreak},{lookBackPeriod})", resolution);
var connorsRelativeStrengthIndex = new ConnorsRelativeStrengthIndex(name, rsiPeriod, rsiPeriodStreak, lookBackPeriod);
InitializeIndicator(connorsRelativeStrengthIndex, resolution, selector, symbol);
return connorsRelativeStrengthIndex;
}
///<summary>
/// Creates a new DeMarker Indicator (DEM), an oscillator-type indicator measuring changes in terms of an asset's
/// High and Low tradebar values.
///</summary>
/// <param name="symbol">The symbol whose DEM we seek.</param>
/// <param name="period">The period of the moving average implemented</param>
/// <param name="type">Specifies 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 casting the input value to a TradeBar</param>
/// <returns>The DeMarker indicator for the requested symbol.</returns>
[DocumentationAttribute(Indicators)]
public DeMarkerIndicator DEM(Symbol symbol, int period, MovingAverageType type, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"DEM({period},{type})", resolution);
var deMarkerIndicator = new DeMarkerIndicator(name, period, type);
InitializeIndicator(deMarkerIndicator, resolution, selector, symbol);
return deMarkerIndicator;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(donchianChannel, resolution, selector, symbol);
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>
[DocumentationAttribute(Indicators)]
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 Delta indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The option symbol whose values we want as an indicator</param>
/// <param name="mirrorOption">The mirror option for parity calculation</param>
/// <param name="riskFreeRate">The risk free rate</param>
/// <param name="dividendYield">The dividend yield</param>
/// <param name="optionModel">The option pricing model used to estimate Delta</param>
/// <param name="ivModel">The option pricing model used to estimate IV</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <returns>A new Delta indicator for the specified symbol</returns>
[DocumentationAttribute(Indicators)]
public Delta D(Symbol symbol, Symbol mirrorOption = null, decimal? riskFreeRate = null, decimal? dividendYield = null,
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null, Resolution? resolution = null)
{
var name = InitializeOptionIndicator<Delta>(symbol, out var riskFreeRateModel, out var dividendYieldModel, riskFreeRate, dividendYield, optionModel, resolution);
var delta = new Delta(name, symbol, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel);
InitializeOptionIndicator(delta, resolution, symbol, mirrorOption);
return delta;
}
/// <summary>
/// Creates a new Delta indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The option symbol whose values we want as an indicator</param>
/// <param name="mirrorOption">The mirror option for parity calculation</param>
/// <param name="riskFreeRate">The risk free rate</param>
/// <param name="dividendYield">The dividend yield</param>
/// <param name="optionModel">The option pricing model used to estimate Delta</param>
/// <param name="ivModel">The option pricing model used to estimate IV</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <returns>A new Delta indicator for the specified symbol</returns>
[DocumentationAttribute(Indicators)]
public Delta Δ(Symbol symbol, Symbol mirrorOption = null, decimal? riskFreeRate = null, decimal? dividendYield = null, OptionPricingModelType optionModel = OptionPricingModelType.BlackScholes,
OptionPricingModelType? ivModel = null, Resolution? resolution = null)
{
return D(symbol, mirrorOption, riskFreeRate, dividendYield, optionModel, ivModel, resolution);
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(doubleExponentialMovingAverage, resolution, selector, symbol);
return doubleExponentialMovingAverage;
}
/// <summary>
/// Creates a new DerivativeOscillator indicator.
/// </summary>
/// <param name="symbol">The symbol whose DO we want</param>
/// <param name="rsiPeriod">The period over which to compute the RSI</param>
/// <param name="smoothingRsiPeriod">The period over which to compute the smoothing RSI</param>
/// <param name="doubleSmoothingRsiPeriod">The period over which to compute the double smoothing RSI</param>
/// <param name="signalLinePeriod">The period over which to compute the signal line</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 DerivativeOscillator indicator for the requested symbol over the specified period</returns>
[DocumentationAttribute(Indicators)]
public DerivativeOscillator DO(Symbol symbol, int rsiPeriod, int smoothingRsiPeriod, int doubleSmoothingRsiPeriod, int signalLinePeriod, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"DO({rsiPeriod},{smoothingRsiPeriod},{doubleSmoothingRsiPeriod},{signalLinePeriod})", resolution);
var derivativeOscillator = new DerivativeOscillator(name, rsiPeriod, smoothingRsiPeriod, doubleSmoothingRsiPeriod, signalLinePeriod);
InitializeIndicator(derivativeOscillator, resolution, selector, symbol);
return derivativeOscillator;
}
/// <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>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(detrendedPriceOscillator, resolution, selector, symbol);
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>
[DocumentationAttribute(Indicators)]
public ExponentialMovingAverage EMA(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
return EMA(symbol, period, ExponentialMovingAverage.SmoothingFactorDefault(period), resolution, selector);
}
/// <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="smoothingFactor">The percentage of data from the previous value to be carried into the next value</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>
[DocumentationAttribute(Indicators)]
public ExponentialMovingAverage EMA(Symbol symbol, int period, decimal smoothingFactor, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"EMA({period})", resolution);
var exponentialMovingAverage = new ExponentialMovingAverage(name, period, smoothingFactor);
InitializeIndicator(exponentialMovingAverage, resolution, selector, symbol);
return exponentialMovingAverage;
}
/// <summary>
/// Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose EMV we want</param>
/// <param name="period">The period of the EMV</param>
/// <param name="scale">The length of the outputed value</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 EaseOfMovementValue indicator for the given parameters</returns>
[DocumentationAttribute(Indicators)]
public EaseOfMovementValue EMV(Symbol symbol, int period = 1, int scale = 10000, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"EMV({period}, {scale})", resolution);
var easeOfMovementValue = new EaseOfMovementValue(name, period, scale);
InitializeIndicator(easeOfMovementValue, resolution, selector, symbol);
return easeOfMovementValue;
}
/// <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 to send into the indicator, if null defaults to casting the input value to a TradeBar</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>
[DocumentationAttribute(Indicators)]
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 to send into the indicator, if null defaults to casting the input value to a TradeBar</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>
[DocumentationAttribute(Indicators)]
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>
[DocumentationAttribute(Indicators)]
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 a new ForceIndex indicator for the symbol. The indicator will be automatically
/// updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose ForceIndex we want</param>
/// <param name="period">The smoothing period used to smooth the computed ForceIndex 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 ForceIndex indicator with the specified smoothing type and period</returns>
[DocumentationAttribute(Indicators)]
public ForceIndex FI(Symbol symbol, int period, MovingAverageType type = MovingAverageType.Exponential, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"FI({period})", resolution);
var indicator = new ForceIndex(name, period, type);
InitializeIndicator(indicator, resolution, selector, symbol);
return indicator;
}
/// <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 casting the input value to a TradeBar</param>
/// <returns>The FisherTransform for the given parameters</returns>
[DocumentationAttribute(Indicators)]
public FisherTransform FISH(Symbol symbol, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, $"FISH({period})", resolution);
var fisherTransform = new FisherTransform(name, period);
InitializeIndicator(fisherTransform, resolution, selector, symbol);
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 casting the input value to a TradeBar</param>
/// <returns>The FRAMA for the given parameters</returns>
[DocumentationAttribute(Indicators)]
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);
InitializeIndicator(fractalAdaptiveMovingAverage, resolution, selector, symbol);
return fractalAdaptiveMovingAverage;
}
/// <summary>
/// Creates a new Gamma indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The option symbol whose values we want as an indicator</param>
/// <param name="mirrorOption">The mirror option for parity calculation</param>
/// <param name="riskFreeRate">The risk free rate</param>
/// <param name="dividendYield">The dividend yield</param>
/// <param name="optionModel">The option pricing model used to estimate Gamma</param>
/// <param name="ivModel">The option pricing model used to estimate IV</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <returns>A new Gamma indicator for the specified symbol</returns>
[DocumentationAttribute(Indicators)]
public Gamma G(Symbol symbol, Symbol mirrorOption = null, decimal? riskFreeRate = null, decimal? dividendYield = null,
OptionPricingModelType? optionModel = null, OptionPricingModelType? ivModel = null, Resolution? resolution = null)
{
var name = InitializeOptionIndicator<Gamma>(symbol, out var riskFreeRateModel, out var dividendYieldModel, riskFreeRate, dividendYield, optionModel, resolution);
var gamma = new Gamma(name, symbol, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel);
InitializeOptionIndicator(gamma, resolution, symbol, mirrorOption);
return gamma;
}
/// <summary>
/// Creates a new Gamma indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The option symbol whose values we want as an indicator</param>
/// <param name="mirrorOption">The mirror option for parity calculation</param>
/// <param name="riskFreeRate">The risk free rate</param>
/// <param name="dividendYield">The dividend yield</param>
/// <param name="optionModel">The option pricing model used to estimate Gamma</param>
/// <param name="ivModel">The option pricing model used to estimate IV</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <returns>A new Gamma indicator for the specified symbol</returns>
[DocumentationAttribute(Indicators)]
public Gamma Γ(Symbol symbol, Symbol mirrorOption = null, decimal? riskFreeRate = null, decimal? dividendYield = null, OptionPricingModelType optionModel = OptionPricingModelType.BlackScholes,
OptionPricingModelType? ivModel = null, Resolution? resolution = null)
{
return G(symbol, mirrorOption, riskFreeRate, dividendYield, optionModel, ivModel, resolution);
}
/// <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 casting the input value to a TradeBar</param>
/// <returns>The Heikin-Ashi indicator for the requested symbol over the specified period</returns>
[DocumentationAttribute(Indicators)]
public HeikinAshi HeikinAshi(Symbol symbol, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
{
var name = CreateIndicatorName(symbol, "HA", resolution);
var heikinAshi = new HeikinAshi(name);
InitializeIndicator(heikinAshi, resolution, selector, symbol);
return heikinAshi;
}
/// <summary>
/// Creates a new Hurst Exponent indicator for the specified symbol.
/// The Hurst Exponent measures the long-term memory or self-similarity in a time series.
/// The default maxLag value of 20 is chosen for reliable and accurate results, but using a higher lag may reduce precision.
/// </summary>
/// <param name="symbol">The symbol for which the Hurst Exponent is calculated.</param>
/// <param name="period">The number of data points used to calculate the indicator at each step.</param>
/// <param name="maxLag">The maximum time lag used to compute the tau values for the Hurst Exponent calculation.</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Function to select a value from the BaseData to input into the indicator. Defaults to using the 'Value' property of BaseData if null.</param>
/// <returns>The Hurst Exponent indicator for the specified symbol.</returns>
[DocumentationAttribute(Indicators)]
public HurstExponent HE(Symbol symbol, int period, int maxLag = 20, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"HE({period},{maxLag})", resolution);
var hurstExponent = new HurstExponent(name, period, maxLag);
InitializeIndicator(hurstExponent, resolution, selector, symbol);
return hurstExponent;
}
/// <summary>
/// Creates a new Hilbert Transform indicator
/// </summary>
/// <param name="symbol">The symbol whose Hilbert transform we want</param>
/// <param name="length">The length of the FIR filter used in the calculation of the Hilbert Transform.
/// This parameter determines the number of filter coefficients in the FIR filter.</param>
/// <param name="inPhaseMultiplicationFactor">The multiplication factor used in the calculation of the in-phase component
/// of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of
/// the transform to changes in the input signal.</param>
/// <param name="quadratureMultiplicationFactor">The multiplication factor used in the calculation of the quadrature component of
/// the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the
/// transform to changes in the input signal.</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>
[DocumentationAttribute(Indicators)]
public HilbertTransform HT(Symbol symbol, int length, decimal inPhaseMultiplicationFactor, decimal quadratureMultiplicationFactor, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
{
var name = CreateIndicatorName(symbol, $"HT({length}, {inPhaseMultiplicationFactor}, {quadratureMultiplicationFactor})", resolution);
var hilbertTransform = new HilbertTransform(length, inPhaseMultiplicationFactor, quadratureMultiplicationFactor);
InitializeIndicator(hilbertTransform, resolution, selector, symbol);
return hilbertTransform;
}