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.
109 lines
4.1 KiB
C#
109 lines
4.1 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 System;
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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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/// Up/Down Gap Three Methods candlestick pattern
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/// </summary>
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/// <remarks>
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/// Must have:
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/// - first candle: white (black) candle
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/// - second candle: white(black) candle
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/// - upside(downside) gap between the first and the second real bodies
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/// - third candle: black(white) candle that opens within the second real body and closes within the first real body
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/// The returned value is positive(+1) when bullish or negative(-1) when bearish;
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/// The user should consider that up/downside gap 3 methods is significant when it appears in a trend, while this
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/// function does not consider it
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/// </remarks>
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public class UpDownGapThreeMethods : CandlestickPattern
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="UpDownGapThreeMethods"/> 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 UpDownGapThreeMethods(string name)
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: base(name, 2 + 1)
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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="UpDownGapThreeMethods"/> class.
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/// </summary>
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public UpDownGapThreeMethods()
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: this("UPDOWNGAPTHREEMETHODS")
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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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// 1st and 2nd of same color
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GetCandleColor(window[2]) == GetCandleColor(window[1]) &&
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// 3rd opposite color
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(int)GetCandleColor(window[1]) == -(int)GetCandleColor(input) &&
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// 3rd opens within 2nd rb
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input.Open < Math.Max(window[1].Close, window[1].Open) &&
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input.Open > Math.Min(window[1].Close, window[1].Open) &&
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// 3rd closes within 1st rb
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input.Close < Math.Max(window[2].Close, window[2].Open) &&
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input.Close > Math.Min(window[2].Close, window[2].Open) &&
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((
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// when 1st is white
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GetCandleColor(window[2]) == CandleColor.White &&
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// upside gap
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GetRealBodyGapUp(window[1], window[2])
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) ||
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(
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// when 1st is black
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GetCandleColor(window[2]) == CandleColor.Black &&
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// downside gap
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GetRealBodyGapDown(window[1], window[2])
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)
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)
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)
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value = (int)GetCandleColor(window[2]);
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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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