Michael Handschuh
591f6b2127
Refactors existing consolidators, indicators, and helper methods to depend on IBaseData instead of BaseData. These updates also defines an IBaseDataBar to act as an abstraction point between TradeBar and QuoteBar.
113 lines
4.2 KiB
C#
113 lines
4.2 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators.CandlestickPatterns
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{
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/// <summary>
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/// Matching Low candlestick pattern indicator
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first candle: black candle
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/// - second candle: black candle with the close equal to the previous close
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/// The meaning of "equal" is specified with SetCandleSettings
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/// The returned value is always positive(+1): matching low is always bullish;
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/// </remarks>
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public class MatchingLow : CandlestickPattern
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{
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private readonly int _equalAveragePeriod;
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private decimal _equalPeriodTotal;
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/// <summary>
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/// Initializes a new instance of the <see cref="MatchingLow"/> class using the specified name.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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public MatchingLow(string name)
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: base(name, CandleSettings.Get(CandleSettingType.Equal).AveragePeriod + 1 + 1)
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{
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_equalAveragePeriod = CandleSettings.Get(CandleSettingType.Equal).AveragePeriod;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="MatchingLow"/> class.
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/// </summary>
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public MatchingLow()
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: this("MATCHINGLOW")
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{
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}
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady
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{
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get { return Samples >= Period; }
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IBaseDataBar> window, IBaseDataBar input)
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{
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if (!IsReady)
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{
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if (Samples >= Period - _equalAveragePeriod)
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{
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_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]);
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}
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return 0m;
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}
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decimal value;
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if (
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// first black
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GetCandleColor(window[1]) == CandleColor.Black &&
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// second black
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GetCandleColor(input) == CandleColor.Black &&
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// 1st and 2nd same close
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input.Close <= window[1].Close + GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1]) &&
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input.Close >= window[1].Close - GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1])
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)
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value = 1m;
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else
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value = 0m;
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// add the current range and subtract the first range: this is done after the pattern recognition
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// when avgPeriod is not 0, that means "compare with the previous candles" (it excludes the current candle)
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_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]) -
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GetCandleRange(CandleSettingType.Equal, window[_equalAveragePeriod + 1]);
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return value;
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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_equalPeriodTotal = 0m;
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base.Reset();
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}
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}
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}
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