github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
Files
16907
quantconnect--lean/Indicators
T
History
Jhonathan Abreu de9f9bf309 Fix options indicators data synchronization (#8564) 
* 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
2025-01-31 14:22:06 -04:00
..
CandlestickPatterns
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
Properties
Remove all nuspec files (#5311)
2021-02-18 17:13:11 -03:00
AbsolutePriceOscillator.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
AccelerationBands.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
AccumulationDistribution.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
AccumulationDistributionOscillator.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
AdvanceDeclineDifference.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineIndicator.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineRatio.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineVolumeRatio.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
Alpha.cs
Update Alpha.cs (#7630)
2023-12-15 15:59:23 -03:00
ArmsIndex.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
ArnaudLegouxMovingAverage.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
AroonOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AugenPriceSpike.cs
Validate inputs for safe logarithm calculation (#8439)
2024-12-03 17:30:07 -03:00
AutoRegressiveIntegratedMovingAverage.cs
ARIMA indicator error handling (#8218)
2024-07-22 14:24:12 -03:00
AverageDirectionalIndex.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AverageDirectionalMovementIndexRating.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AverageRange.cs
Implement Average Range (AR) Indicator (#8404)
2024-11-15 11:19:55 -03:00
AverageTrueRange.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AwesomeOscillator.cs
Adds the Awesome Oscillator (#5005)
2020-12-11 20:46:07 -03:00
BalanceOfPower.cs
Indicators with name starting with B to F.
2019-05-13 17:50:51 +01:00
BarIndicator.cs
Use IBaseData in type constraints
2016-11-09 09:20:16 -05:00
Beta.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
BollingerBands.cs
Research BollingerBands Value Error (#5656)
2021-06-14 14:23:05 -03:00
ChaikinMoneyFlow.cs
Adds ChaikinMoneyFlow indicator (#4986)
2020-12-11 18:04:17 -03:00
ChandeKrollStop.cs
Implements new indicator - CKS - ChandeKrollStop (#8198)
2024-08-07 14:51:39 -03:00
ChandeMomentumOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
ChoppinessIndex.cs
Implements new indicator CHOP - Choppiness Index (#8178)
2024-07-22 12:14:53 -03:00
CommodityChannelIndex.cs
Use SafeDivision() method to avoid overflow exception in CCI (#8396)
2024-11-14 18:20:00 -03:00
CompositeIndicator.cs
Fix CS1570 and CS1572 warnings (#8187)
2024-07-10 11:16:16 -03:00
ConnorsRelativeStrengthIndex.cs
Implement Connor's Relative Strength Index(CRSI) Indicator (#8419)
2024-11-25 15:43:42 -03:00
ConstantIndicator.cs
Composite Indicator Fixes (#5929)
2021-09-16 17:58:10 -03:00
CoppockCurve.cs
Fix IsReady and WarmUpPeriod for RateOfChange (#5501)
2021-05-11 17:12:48 -03:00
Correlation.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
CorrelationType.cs
correlation as lean indicator #6983 (#7543)
2023-11-13 20:40:14 -03:00
Delay.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Delta.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
DeMarkerIndicator.cs
_lastLow and _lastHigh are given resets under DeM's Reset method (#5449)
2021-04-06 10:15:16 -03:00
DerivativeOscillator.cs
Feature 1076 implementing an indicator derivative oscillator (#7884)
2024-04-17 16:34:57 -03:00
DetrendedPriceOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
DonchianChannel.cs
Fix minor warnings (#8190)
2024-07-10 14:17:27 -03:00
DoubleExponentialMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
DualSymbolIndicator.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
EaseOfMovementValue.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
ExponentialMovingAverage.cs
Updated EMA indicator description (#7178)
2023-04-11 18:58:35 -03:00
FilteredIdentity.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
FisherTransform.cs
Fixes FishTransform Indicator
2019-05-13 17:57:08 +01:00
ForceIndex.cs
Implements new indicator ForceIndex (#8155)
2024-07-16 11:14:14 -03:00
FractalAdaptiveMovingAverage.cs
Add potential fix to overflow bug in FractalAdaptiveMovingAverage.cs (#7689)
2024-01-11 17:20:46 -03:00
FunctionalIndicator.cs
Use IBaseData in type constraints
2016-11-09 09:20:16 -05:00
Gamma.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
HeikinAshi.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
HilbertTransform.cs
Fixes bug in Hilbert Transform indicator (#7203)
2023-04-21 12:01:52 -03:00
HullMovingAverage.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
HurstExponent.cs
Implement Hurst Exponent (HE) indicator (#8434)
2024-12-05 10:19:31 -03:00
IchimokuKinkoHyo.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Identity.cs
Add IIndicatorWarmUpPeriodProvider for WindowIndicator.cs and Identity.cs indicators (#5984)
2021-10-15 11:10:59 -03:00
ImpliedVolatility.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
Indicator.cs
Indicators history rolling window (#7314)
2023-06-13 15:07:09 -03:00
IndicatorBase.cs
Implement SqueezeMomentum (SM) indicator (#8462)
2024-12-20 18:22:32 -03:00
IndicatorBase.Operators.cs
Composite Indicator Fixes (#5929)
2021-09-16 17:58:10 -03:00
IndicatorExtensions.cs
Fix bug in VolumeWeightedAveragePriceIndicator (#7336)
2023-06-30 13:36:44 -03:00
IndicatorResult.cs
Add IndicatorResult support to CompositeIndicator
2016-04-07 06:14:18 -04:00
IndicatorStatus.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
InternalBarStrength.cs
Implements new indicator IBS - Internal Bar Strength (#8151)
2024-07-11 16:13:31 -03:00
IntradayVwap.cs
Add IntradayVwap indicator w/ VWAP(symbol) helper
2018-04-06 16:27:14 -04:00
KaufmanAdaptiveMovingAverage.cs
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00
KaufmanEfficiencyRatio.cs
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00
KeltnerChannels.cs
Implement SqueezeMomentum (SM) indicator (#8462)
2024-12-20 18:22:32 -03:00
LeastSquaresMovingAverage.cs
Fix bug in LeastSquaresMovingAverage (#7238)
2023-05-11 14:55:27 -03:00
LinearWeightedMovingAverage.cs
Update LinearWeightedMovingAverage (#7798)
2024-02-20 16:51:06 -03:00
LogReturn.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
MarketProfile.cs
Fix bug in MarketProfile indicator (#7310)
2023-06-09 19:14:45 -03:00
MassIndex.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
Maximum.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
McClellanOscillator.cs
Add McClellanOscillator & McClellanSummationIndex Indicator (#7038)
2023-03-07 16:19:24 -03:00
McClellanSummationIndex.cs
Add McClellanOscillator & McClellanSummationIndex Indicator (#7038)
2023-03-07 16:19:24 -03:00
McGinleyDynamic.cs
Solve divide by zero exception in McGinleyDynamic indicator (#8397)
2024-11-14 18:20:18 -03:00
MeanAbsoluteDeviation.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
MesaAdaptiveMovingAverage.cs
Implement Mesa Adaptive Moving Average (MAMA) Indicator (#8428)
2024-11-27 18:54:59 -03:00
MidPoint.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
MidPrice.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Minimum.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Momentum.cs
Fix bug in Momentum indicator (#7424)
2023-08-09 14:56:24 -03:00
MomentumPercent.cs
Indicators with name starting with H to M.
2019-05-14 13:32:47 +01:00
Momersion.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
MoneyFlowIndex.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
MovingAverageConvergenceDivergence.cs
Fix MACD WarmUpPeriod and Updating (#5110)
2021-01-08 16:58:53 -03:00
MovingAverageType.cs
implements McGinleyDynamic (#8189)
2024-07-10 11:41:56 -03:00
MovingAverageTypeExtensions.cs
implements McGinleyDynamic (#8189)
2024-07-10 11:41:56 -03:00
MultiSymbolIndicator.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
NormalizedAverageTrueRange.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
OnBalanceVolume.cs
Extends OnBalanceVolume, ParabolicStopAndReverse and RegressionChannel Indicators With IIndicatorWarmUpPeriodProvider
2019-05-23 10:08:48 +01:00
OptionGreekIndicatorBase.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
OptionGreekIndicatorsHelper.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
OptionIndicatorBase.cs
Fix options indicators data synchronization (#8564)
2025-01-31 14:22:06 -04:00
OptionPricingModelType.cs
Allow smoothing in Implied Volatility and add forward tree model (#7820)
2024-03-04 11:00:04 -03:00
ParabolicStopAndReverse.cs
Extends OnBalanceVolume, ParabolicStopAndReverse and RegressionChannel Indicators With IIndicatorWarmUpPeriodProvider
2019-05-23 10:08:48 +01:00
PercentagePriceOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
PivotPointsHighLow.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
PremierStochasticOscillator.cs
Implement Premier Stochastic Oscillator (PSO) Indicator (#8394)
2024-11-14 18:22:46 -03:00
PythonIndicator.cs
Improve PythonIndicator.IsReady implementation (#8287)
2024-09-04 10:07:13 -03:00
QuantConnect.Indicators.csproj
Update pythonnet to net9 (#8475)
2024-12-20 18:21:44 -03:00
RateOfChange.cs
Fix IsReady and WarmUpPeriod for RateOfChange (#5501)
2021-05-11 17:12:48 -03:00
RateOfChangePercent.cs
Indicators with name starting with H to M.
2019-05-14 13:32:47 +01:00
RateOfChangeRatio.cs
Indicators with name starting with H to M.
2019-05-14 13:32:47 +01:00
RegressionChannel.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
RelativeDailyVolume.cs
Remove EnableAutomaticWarmUp and IIndicatorWarmUpPeriodProvider impl from RVA (#7344)
2023-06-30 16:15:27 -03:00
RelativeMovingAverage.cs
Relative Moving Average Indicator (#6297)
2022-04-25 13:13:20 -03:00
RelativeStrengthIndex.cs
Round AverageLoss to Avoid Very Small Numbers (#6003)
2021-10-21 17:00:31 -03:00
RelativeVigorIndex.cs
Feature 4999 -- Adds RVI (#5041)
2021-01-08 11:11:00 -03:00
RelativeVigorIndexSignal.cs
Feature 4999 -- Adds RVI (#5041)
2021-01-08 11:11:00 -03:00
ResetCompositeIndicator.cs
Fix bug in VolumeWeightedAveragePriceIndicator (#7336)
2023-06-30 13:36:44 -03:00
Rho.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
RogersSatchellVolatility.cs
Implements new indicator - RSV - Rogers-Satchell volatility (#8183)
2024-07-29 14:47:16 -03:00
SchaffTrendCycle.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
SharpeRatio.cs
Risk-Free Interest Rate Model (#7594)
2023-11-22 16:17:34 -04:00
SimpleMovingAverage.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
SmoothedOnBalanceVolume.cs
Implements new indicator - SOBV - Smoothed On Balance Volume (#8180)
2024-07-22 18:27:52 -03:00
SortinoRatio.cs
Add Sortino indicator (#6696)
2022-10-28 18:12:33 -03:00
SqueezeMomentum.cs
Implement SqueezeMomentum (SM) indicator (#8462)
2024-12-20 18:22:32 -03:00
StandardDeviation.cs
Extends Sum, StandardDeviation and Variance Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:44:35 +01:00
StochasticRelativeStrengthIndex.cs
Implements new indicator StochRSI - Stochastic Relative Strength Index (#8163)
2024-07-19 09:26:39 -03:00
Stochastics.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Sum.cs
Extends Sum, StandardDeviation and Variance Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:44:35 +01:00
SuperTrend.cs
Changes SuperTrend Indicator Type from TradeBarIndicator to BarIndicator (#6717)
2022-11-01 10:19:13 -03:00
SwissArmyKnife.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
T3MovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
TargetDownsideDeviation.cs
Add Sortino indicator (#6696)
2022-10-28 18:12:33 -03:00
Theta.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
TimeProfile.cs
Add ValueAreaVolumePercentage Parameter (#5908)
2021-09-07 12:17:23 -03:00
TimeSeriesForecast.cs
Implement Time Series Forecast Indicator (#7654)
2024-01-04 16:20:29 -03:00
TimeSeriesIndicator.cs
Fix second half of the CA1051 warnings (#8140)
2024-07-05 13:54:03 -03:00
TradeBarIndicator.cs
Initial commit
2015-01-12 12:03:33 -03:00
TriangularMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
TripleExponentialMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Trix.cs
Fix IsReady and WarmUpPeriod for RateOfChange (#5501)
2021-05-11 17:12:48 -03:00
TrueRange.cs
Extends NormalizedAverageTrueRange and TrueRange Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:31:22 +01:00
TrueStrengthIndex.cs
True Strength Index indicator (#6332)
2022-05-13 15:55:28 -03:00
UltimateOscillator.cs
Fix Ultimate Oscillator divide by zero exception (#7618)
2023-12-08 15:21:07 -03:00
ValueAtRisk.cs
Implement Risk Metrics: Value At Risk (#7757)
2024-02-26 11:02:20 -03:00
VariableIndexDynamicAverage.cs
Chande Variable Index Dynamic Average (VIDYA) Indicator (#7797)
2024-02-26 10:55:01 -03:00
Variance.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Vega.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
VolumeProfile.cs
Add ValueAreaVolumePercentage Parameter (#5908)
2021-09-07 12:17:23 -03:00
VolumeWeightedAveragePriceIndicator.cs
Fix second half of the CA1051 warnings (#8140)
2024-07-05 13:54:03 -03:00
VolumeWeightedMovingAverage.cs
Implements new indicator VWMA - Volume Weighted Moving Average (#8161)
2024-07-16 11:14:39 -03:00
Vortex.cs
Feature 8132 implement vortex indicator (#8242)
2024-08-14 15:43:21 -03:00
WilderAccumulativeSwingIndex.cs
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
WilderMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
WilderSwingIndex.cs
Fix second half of the CA1051 warnings (#8140)
2024-07-05 13:54:03 -03:00
WilliamsPercentR.cs
Extends RelativeStrengthIndex, Stochastic and WilliamsPercentR Indicators With IIndicatorWarmUpPeriodProvider
2019-05-23 09:54:02 +01:00
WindowIdentity.cs
Adds VWAP indicator via WeightedBy indicator extension
2016-04-21 19:34:52 -03:00
WindowIndicator.cs
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00
ZeroLagExponentialMovingAverage.cs
Implement new indicator - ZLEMA - Zero Lag Exponential Moving Average (#8148)
2024-07-08 11:58:05 -03:00
ZigZag.cs
Implement ZigZag (ZZ) indicator (#8454)
2024-12-23 13:19:39 -03:00