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.
99 lines
3.7 KiB
C#
99 lines
3.7 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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*/
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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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/// Three Outside Up/Down candlestick pattern
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first: black(white) real body
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/// - second: white(black) real body that engulfs the prior real body
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/// - third: candle that closes higher(lower) than the second candle
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/// The returned value is positive (+1) for the three outside up or negative (-1) for the three outside down;
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/// The user should consider that a three outside up must appear in a downtrend and three outside down must appear
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/// in an uptrend, while this function does not consider it
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/// </remarks>
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public class ThreeOutside : CandlestickPattern
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="ThreeOutside"/> 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 ThreeOutside(string name)
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: base(name, 3)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ThreeOutside"/> class.
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/// </summary>
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public ThreeOutside()
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: this("THREEOUTSIDE")
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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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return 0m;
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}
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decimal value;
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if (
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(
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// white engulfs black
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GetCandleColor(window[1]) == CandleColor.White && GetCandleColor(window[2]) == CandleColor.Black &&
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window[1].Close > window[2].Open && window[1].Open < window[2].Close &&
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// third candle higher
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input.Close > window[1].Close
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)
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||
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(
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// black engulfs white
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GetCandleColor(window[1]) == CandleColor.Black && GetCandleColor(window[2]) == CandleColor.White &&
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window[1].Open > window[2].Close && window[1].Close < window[2].Open &&
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// third candle lower
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input.Close < window[1].Close
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)
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)
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value = (int)GetCandleColor(window[1]);
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else
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value = 0;
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return value;
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}
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}
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}
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