Implement WaveTrendOscillator (bar indicator) per the linked issue. Adds
the indicator class, the WTO helper in QCAlgorithm.Indicators.cs, unit
tests inheriting CommonIndicatorTests<IBaseDataBar>, and the reference
CSV under Tests/TestData/.
The oscillator is computed from the typical price (HLC/3): an EMA
smooths it (ESA), a second EMA tracks its absolute deviation (D), the
normalized channel index (HLC3 - ESA) / (0.015 * D) is smoothed by a
third EMA to produce WT1, and an SMA of WT1 produces the signal line
WT2. Crossovers between WT1 and WT2 are commonly used as entry and exit
signals for momentum reversals.
Reference values were generated with TA-Lib (talib.EMA + talib.SMA)
following the script posted by @LouisSzeto in the issue thread.
Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Previously, each SwissArmyKnife instance could only compute a single
tool. To use multiple tools, users had to create separate instances.
Now all five tools (Gauss, Butter, HighPass, TwoPoleHighPass, BandPass)
are computed simultaneously and exposed as public properties.
Resolves#3270
* Use consolidated bar as reference for new working bar initialization
* Update ValidateAndScan method and unit tests
* Fix issues with syntax check
* Solve review comments
* Minor fix
* Minor fix
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* Implement indicator-based option price model
This model uses IV and Greeks indicators to implement Lean's own option pricing model
* Minor fixes
* Address peer review
* Minor tests fixes
* Make the indicator based price model the default for options
* Address peer review
* Cleanup and minor changes
* Support indicators configuration for new pricing model
* Some cleanup
* Add QL option price model example algorithm
* Return lean models from static helpers
* Minor tests fixes
* Minor test fixes
* Address peer review
* Cleanup
* Fix unit tests
* Move QL models to OptionPriceModels.QuantLib.*
* Add forward tree helper method
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* Implements Covariance as Lean Indicator
* Add COV helper method and fix AcceptsVolumeRenkoBarsAsInput test
* Fix AcceptsRenkoBarsAsInput test to use smaller period for faster execution
* Fix slow Renko tests by limiting data processed to 50 rows
* Add optional strict parameter to PivotPointsHighLow indicator for relaxed comparison
- Added bool strict parameter (default true) to PivotPointsHighLow constructors
- When strict=true: Uses strict inequalities (> and <) - existing behavior
- When strict=false: Uses relaxed inequalities (>= and <=) - allows equal values
- Updated comparison logic in FindNextLowPivotPoint and FindNextHighPivotPoint
- Added new PPHL overload in QCAlgorithm.Indicators.cs with strict parameter
- Added 5 comprehensive unit tests using TestCase attributes
- All tests pass (19/19 relevant tests)
- Backwards compatible: default behavior unchanged
Addresses #8881
* Fix PPHL method signature to resolve overload ambiguity and maintain API consistency
- Remove wrapper overload to eliminate compilation ambiguity
- Reorder parameters: strict parameter now before resolution
- Keep selector as last parameter (consistent with other indicator helpers)
- Add unit tests verifying no overload ambiguity and correct strict parameter behavior
Addresses PR review feedback on #9033
* Implement backward-compatible PPHL overloads to support strict parameter
Added a second overload to maintain backward compatibility while introducing
the strict parameter. This prevents breaking changes for existing code that
uses positional arguments with the PPHL helper method.
Changes:
- Added backward-compatible overload that accepts (symbol, lengthHigh, lengthLow,
lastStoredValues, resolution, selector) and delegates to the new implementation
with strict: true
- Kept the new overload with strict parameter as the primary implementation
- Added comprehensive test (QCAlgorithmHelperOverloadResolution) documenting all
9 valid call patterns to prevent future regressions
This approach ensures:
- Existing calls like PPHL(symbol, 3, 3, 100, Resolution.Minute) continue to work
- New calls like PPHL(symbol, 3, 3, strict: false) are supported
- No ambiguity in overload resolution
- All 23 PPHL tests pass successfully
* Clean up some test duplication
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Minor fix for negative rolling window index
- Minor fix for negative rolling window index when partially full,
adding unit test
* Reduce RefreshesSymbolProperties test runtime
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* Implement Session class
* Use MarketHourAwareConsolidator inside Session
* Delete SecurityCacheSessionConfig
* Refactor session class
* Solve review comments
* Fix regression algorithms
* Add null check to AvailableDataTypes
* Update session class
* Solve new review comments
* Add new test for futures and update regression test to PEP8
* Add new regression algorithm for Session with futures
* Resolve review comments
* Add local time keeper to SecurityCache
* Scan on consolidator updates and time updates
* Add new regression algorithms and unit tests
* Add unit tests and improve comments
* Fix syntax test
* Solve review comments
* Add regression algorithms
* Resolve review comments
* Make SessionConsolidator implement IDataConsolidator
* Add caching to avoid recreating SessionBar instances on every access
* Solve review comments
* Make SessionConsolidator inherit from MarketHourAwareConsolidator
* Add unit test to verify Session preserves previous day values
* Update regression algorithms
* Solve review comments
* Resolve review comments
* Solve new review comments
* Add unit test for Session class
* Refactor SessionBar properties and Update method
* Use WorkingDataInstance reference instead of _workingData.Clone()
* Use a delegate to get the workingBar instance
* Fix bug in MarketHourAwareConsolidator
* Solve review comments
* Handle OI values
* Add regression algorithms for future contracts and options
* Solve review comments
* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase
* Prevent overlapping higher resolution data
* Update tests
* Solve review comments
* Minor tweaks
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* initial draft changes
* Saving draft changes for TD Sequential Implementation
* Fixed failing tests
* Refactoring changes
* Additional refactoring to TDSequential
* Added tests
* Incorporated review comments
* reverted changes to older file
* Updated for review comment
* Updated Buy and Sell Setup Perfect functions based on review comment to remove equality operator
* Added SupportPrice and ResistancePrice as read-only public properties to expose the internal _resistance and _support prices
* Changed return value of ComputeNextValue to TomDemarkSequentialPhase instead of the encoded value of Phase.StepCount as per review comment
* Updated initialization to include bullish and bearish flip checks
* Refactored and cleaned up based on review comments
* Make RollingWindow compatible with any data type
* Add generic RW<T> method
* Add RollingWindow wrapper class for PyObject
* Solve review comments
* Resolve review comments
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* implements Klinger Volume Oscillator
* preserve newest data file
* improve class summary
* address PR comments, add signal line, use RollingWindow to persist data, refactor code to make easier to follow
* add helper method KVO in in QCAlgorithm.Indicators.cs, add Signal test, fix IsReady and WarmUpPeriod
* default signal period for KVO, refactor and improve ComputeNextValue, simplified code
* update comment
* update comment
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* Initial solution
* Update unit test
* Explicit conversion if T is IndicatorDataPoint
* Solve review comments
* Add override tests for Beta and Alpha
* Refactor and update unit test suite
* Create unit test for OptionIndicators
* Resolve review comments
* Resolve new review comments
* Add a new default selector
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* Initial solution
* Add python support for CompositeIndicator
* Add unit tests and update CompositeIndicator
* Add new test case
* Update TryConvertToIndicator logic
* Solve review comments
* Resolve review comments
* Remove unnessary case
* Use GetIndicatorAsManagedObject instead of ConvertToIndicator
* Add regression tests
* Add DualSymbolIndicator unit tests
* Introduce MultiSymbolIndicator for indicators working on multiple symbols
Use the new class as base for DualSymbolIndicator and OptionIndicatorBase.
The OptionIndicatorBase can now detect when ready even if underlying and options market close is different when resolution is daily.
* Accept any BaseData for options indicators
* Improve indicator conversion from python on registration
Also minor fixes
* Cleanup and simplification
* Fix ImpliedVolatility IsReady flag
* Update regression algorithm history count
AutomaticIndicatorWarmupOptionIndicatorsMirrorContractsRegressionAlgorithm history count decreased because options indicators period is now 1 instead of 2
* Address peer review
* WIP: Refactor Correlation Indicator
* Simplified comparison logic and improved abstraction
* Refactor Correlation and Beta indicators
- Created a base class to handle indicators with dual-symbol
functionality.
- Refactored the Beta and Correlation indicators to inherit from the new
base class.
- Updated unit tests.
- Added a new regression test to validate the latest computed value.
* Addressed review comments
* Update regression test
* Add new unit test to CommonIndicatorTests
* Addressed new review comments
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* Implement Squeeze Momentum Indicator
* Create unit test for SqueezeMomentum Indicator
* Update QCAlgorithm with SqueezeMomentum indicator
* Resolved review comments
* Switched to using Keltner indicator instead of manual calculation
* Refactor Squeeze Momentum indicator
- Make the Bollinger Bands and Keltner Channels indicators public.
- In IndicatorBase -> Update, if T is IndicatorDataPoint, then create a new
IndicatorDataPoint.
* Fix issue with regression tests
* Fix unit test
* Fix bug in beta calculation
- Beta is fill-forwarded
- A correct pair considered when they have different symbols and the
same date
- Processing occurs when there are at least period+1 correct pairs
* Address review comments
* Add time zone handling and resolution-based truncation
* Fix regression test for Beta indicator
* Handle resolution for beta indicator
- Remove effectiveResolution and Beta constructor parameter for
resolution.
- Streamlined resolution handling logic for Beta indicator.
- Fixed issues with regression test for Beta.
* Fix issue with period and WarmUpPeriod
* Update unit tests for Alpha indicator
* Fixing minor issues
* Add a variable to track if the previous symbol is the target
* Add regression test for Beta calculation between BTCUSD and SPY
* Add an extra period if the TZ are different
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* Add helper method to calculate options expiration date time
This allows to compute accurate time till expiry for greek indicators to be able to calculate on the actual expiration date before market close
* Update tolerance in greek indicators tests
* Minor fix
* Modify helper method to calculate settlement time instead of expiration time
* Cache option expiration date time
* Minor changes
* Minor changes
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* Implement Hurst Exponent indicator and unit test
- Implemented Hurst Exponent indicator class
- Created unit tests to validate indicator functionality
- Added helper methods for standard deviation and regression line slope
* Optimize Hurst Exponent calculation
- Removed redundat loops and unnecessary operations.
- Precomputed values fro time lag logarithms to avoid recalculation.
- Simplified logic in ComputeNextValue for better performance.
- Updated and clarified comments for improved readability.
* Refactor HurstExponent indicator
- Made _sumX and _sumX2 fields readonly.
- Updated loop for calculating time lag differences to avoid out of
bound.
- Renamed lookbackPeriod with period.
- Replaced DateTime.Now with a fixed date.
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- Ensure both previousPoint and previousPoint2 are non-zero.
- Prevent division by zero and undefined errors.
- Add unit test to verity the new validation logic.
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* Initial implementation of MAMA indicator and tests
* Implemented Mesa Adaptive Moving Average (MAMA) indicator
- Implemented the MAMA indicator.
- Created methods with overloads to support custom and default
fastLimit/slowLimit
- Included necessary logic to calculate the mesa adaptive moving average
based on John's formula.
- Created unit tests to validate MAMA's behaviour.
* Refactor Mesa Adaptive Moving Average(MAMA)
- Separated the logic into smaller functions for better maintainability.
- Improved variable names to reflec their purpose.
- Updated comments to reflect changes and improve readability.
- Consolidated MAMA method overlaod by using default parameters values.
* Refactor variables and update method parameters
- Renamed variables for better clarity.
- Updated method to use 'IBaseDataBar' instead of 'TradeBar'
- Used 'MAMA({fastLimit}, {slowLimit}) instead of just 'MAMA'
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* Add Connors Relative Strength Index(CRSI) Indicator
- Implemented CRSI combining RSI, Streak RSI, and ROC
- Added unit tests for CRSI calculation to ensure correctness and
reliability.
- Inclued the spy_crsi.csv file for testing purposes and validation of
CRSI logic.
* Refactor CRSI indicator
- Updated the CRSI logic to use Percent Change of Daily Returns instead
of ROC.
- Modified the ConnorsRelativeStrengthIndex class:
- Updated ComputeNextValue to calculate daily returns and relative
magnitude
- Improved documentation and comments
* Refactor CRSI Indicator:
- Refactored the method that updated the trend streak based on price
changes.
- Created a new method ComputeTrendStreak.
- Added check for null or 0 value in _previousInput.
* Fix comments from code review
- Add _ to priceChangeRatios
- Move _srsi.Update() to the top to avoid duplication
* Add Average Daily Range indicator and tests
- Implemented AverageDailyRange indicator
- The indicator uses a Simple Moving Average (SMA)
- Created unit tests for the indicator
- Includes example input data and test file (spy_adr.csv)
* Refactor AverageDailyRange Indicator
- Renamed AverageDailyRange to AverageRage for a more generic approach
- Replaced explicit types with 'var'
- Updated method name in test cases
- Placed AR method in the correct alphabetical order
* Solving minor issues with AR indicator
- Replace TradeBar with IBaseDataBar
- Remove unnecessary override methods
* Implement Premier Stochastic Oscillator (PSO)
- Added PremierStochasticOscillator class with two Exponential Moving
Averages (_ema1 and _ema2) for double smoothing.
- Implemented PSO computation:
- Normalized Stochastic (nsk) = 0.1 * (Fast%K - 50)
- Double-smoothed Normalized Stochastic
- Added XML documentation for public methods and key calculations.
This commit introduces a new indicator.
* Add license header and adjust spacing
* Refactor Premier Stochastic Oscillator (PSO)
- Renamed smoothing variables for clarity
- Integrated PSO logic directly in ComputeNextValue
- Used IndicatorExtensions for streamlined EMA chaining
- Updated tests to match refactored logic
* Refactor PSO
- Changed "STO" to "PSO"
- Removed unused imports
- Updated private fields
- Minor code cleanup
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* Initial options universe with greeks implementation
* Options universe improvements
* Address peer review
* File based options universe fixes and improvements.
- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Updated options regression algorithms stats for new universe data
* Option chain provider with new options universe
* Allow canonical option history requests
* Address peer review
* Address peer review
* Fix symbols parsing in OptionUniverse
* Fix universe selection subscriptions start time to not include extended market hours
* Minor changes
* Minor changes
* Peer recommended changes and fixes
* Update regression algorithm stats
* Update regression algorithms stats and minor fixes
* Fix option chain provider history request
* Round option indicators values
* Added option universe csv header property
* Update regression algorithms stats
* Update regression algorithms stats
* Data fixes and regression algos stats update
* Unit test fixes
* Minor changes
* Option chain handling in live trading data feed
* Minor changes
* Added processed data provider
* Fix thread-safety violation in Slice class
* Minor change
* Update options filter universe API to use OptionUniverse data
Add new filter methods for greeks, IV and open interest
* Option filter universe api updates
* Add OptionUniverse history regression algorithms
* Add regression algorithms for new options filter universe api methods
* Added options greeks data and updated regression algorithms
* Address peer review
* Address peer review
* Add more assertions to new options filter api regression algorithms
* Minor performance improvement.
Reduce greeks binomial model steps to 140
* Minor tests updates
* Greeks numerical models performance improvements
* Greeks numerical models performance improvements
* Revert array pool change for option pricing numerical models
* Update default dividend yield provider depending on option type
* [TEST]
* Add helper method con calculate time till expiration
* Use double in price option numerical models
* Implied volatility calculation improvements
- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess
* Cleanup
* Some regression algorithms and unit tests cleanup
* Regression tests updates after rebasing from master
* Add universe files
* Self review and cleanup
* Minor regression tests updates after rebase
* Fix: set data time zone to same as exchange tz for options universes
* Minor change
* Minor change
* Fix for live trading options universe selection
* Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator
* Update index options regression algorithms stats
* Minor change
* Address peer review
* Memory usage improvements
* Minor build fix
* Minor changes and test fixes
* Cache symbols in OptionUniverse
* Cleanup
* Fix index option creation in OptionUniverse
* Use cached underlying SID when parsing from string
* Abstract symbols cache to BaseDataCollection
* Return actual underlying symbol when mapping decomposing ICO ticker
* Address peer review
* Minor performance improvements reduce garbage
* Limit Symbols and SIDs cache size to help with memory usage
* Minor fix in symbols and sid cache cleanup
* Build fix
* Lazily parse greeks on individual access
* Cleanup and tests
* Address peer review
* Minor greeks fix
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Fix dividend yield calculation
* Get security price as input for dividend yield provider
* Account for splits in dividend yield provider
* Fix split adjustment for dividend yield calculation
* Use right dividend yield in options indicators
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* Implemented the vortex indicator.
* changed the vortex.cs calculations
* chore: Refactor VortexTests.cs and QCAlgorithm.Indicators.cs
* Refactor VortexTests.cs
* made changes according to the comments
* used indicator exxtension methods
* made changes in the naming convention and added condition for division by zero.
* Using composite indicators to clean up
---------
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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* Implements ChandeKrollStop
* readonly
* Move IsReady/WarmUpPeriod above the constructors
* remove private _period
* minor
* rename Stops to Short/Long
* using Maximum/Minimum
* fix tests
* rename some variables and use movingAverageType for ATR
* movingAverageType
JosueNina