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.
95 lines
4.2 KiB
C#
95 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 System;
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using QuantConnect.Data;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// The functional indicator is used to lift any function into an indicator. This can be very useful
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/// when trying to combine output of several indicators, or for expression a mathematical equation
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/// </summary>
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/// <typeparam name="T">The input type for this indicator</typeparam>
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public class FunctionalIndicator<T> : IndicatorBase<T>
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where T : IBaseData
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{
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/// <summary>function implementation of the IndicatorBase.IsReady property</summary>
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private readonly Func<IndicatorBase<T>, bool> _isReady;
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/// <summary>Action used to reset this indicator completely along with any indicators this one is dependent on</summary>
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private readonly Action _reset;
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/// <summary>function implementation of the IndicatorBase.ComputeNextValue method</summary>
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private readonly Func<T, decimal> _computeNextValue;
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/// <summary>
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/// Creates a new FunctionalIndicator using the specified functions as its implementation.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="computeNextValue">A function accepting the input value and returning this indicator's output value</param>
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/// <param name="isReady">A function accepting this indicator and returning true if the indicator is ready, false otherwise</param>
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public FunctionalIndicator(string name, Func<T, decimal> computeNextValue, Func<IndicatorBase<T>, bool> isReady)
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: base(name)
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{
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_computeNextValue = computeNextValue;
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_isReady = isReady;
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}
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/// <summary>
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/// Creates a new FunctionalIndicator using the specified functions as its implementation.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="computeNextValue">A function accepting the input value and returning this indicator's output value</param>
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/// <param name="isReady">A function accepting this indicator and returning true if the indicator is ready, false otherwise</param>
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/// <param name="reset">Function called to reset this indicator and any indicators this is dependent on</param>
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public FunctionalIndicator(string name, Func<T, decimal> computeNextValue, Func<IndicatorBase<T>, bool> isReady, Action reset)
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: base(name)
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{
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_computeNextValue = computeNextValue;
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_isReady = isReady;
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_reset = reset;
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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 _isReady(this); }
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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="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(T input)
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{
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return _computeNextValue(input);
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}
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/// <summary>
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/// Resets this indicator to its initial state, optionally using the reset action passed via the constructor
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/// </summary>
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public override void Reset()
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{
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if (_reset != null)
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{
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// if a reset function was specified then use that
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_reset.Invoke();
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}
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base.Reset();
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}
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}
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} |