github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
Files
17541
quantconnect--lean/Indicators
T
History
Jhonathan Abreu e68ee853db
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Implement indicator-based option price model (#9237) 
* Implement indicator-based option price model

This model uses IV and Greeks indicators to implement Lean's own option pricing model

* Minor fixes

* Address peer review

* Minor tests fixes

* Make the indicator based price model the default for options

* Address peer review

* Cleanup and minor changes

* Support indicators configuration for new pricing model

* Some cleanup

* Add QL option price model example algorithm

* Return lean models from static helpers

* Minor tests fixes

* Minor test fixes

* Address peer review

* Cleanup

* Fix unit tests

* Move QL models to OptionPriceModels.QuantLib.*

* Add forward tree helper method
2026-02-19 15:15:25 -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
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -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
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
AdvanceDeclineIndicator.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineRatio.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
AdvanceDeclineVolumeRatio.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
Alpha.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
ArmsIndex.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
ArnaudLegouxMovingAverage.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
AroonOscillator.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
AugenPriceSpike.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Refactor AverageTrueRange to use TrueRange implementation (#8785)
2025-06-03 15:57:26 -04:00
AwesomeOscillator.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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 Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
ChaikinOscillator.cs
Add alias for AccumulationDistributionOscillator(ChaikinOscillator) (#8781)
2025-06-03 15:49:29 -04:00
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 EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
CompositeIndicator.cs
Support new Pythonnet delegates auto conversion (#8913)
2025-08-07 09:40:06 -04:00
ConnorsRelativeStrengthIndex.cs
Add unit test to CommonIndicatorTest (#8628)
2025-03-20 10:16:00 -03:00
ConstantIndicator.cs
Composite Indicator Fixes (#5929)
2021-09-16 17:58:10 -03:00
CoppockCurve.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Covariance.cs
New Feature: Implement Covariance Indicator #6982 (#9144)
2025-12-31 16:02:03 -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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
DerivativeOscillator.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
DetrendedPriceOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
DonchianChannel.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
ExponentialMovingAverage.cs
Updated EMA indicator description (#7178)
2023-04-11 18:58:35 -03:00
FilteredIdentity.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
FisherTransform.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
GreeksIndicators.cs
Implement indicator-based option price model (#9237)
2026-02-19 15:15:25 -04:00
HeikinAshi.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
HilbertTransform.cs
Fixes bug in Hilbert Transform indicator (#7203)
2023-04-21 12:01:52 -03:00
HullMovingAverage.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
HurstExponent.cs
Fix inclusive loop upper bound (#9102)
2025-11-28 12:39:09 -04:00
IchimokuKinkoHyo.cs
Fix issues with the IchimokuKinkoHyo indicator (#9135)
2025-12-19 12:48:49 -03:00
Identity.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
ImpliedVolatility.cs
Implement indicator-based option price model (#9237)
2026-02-19 15:15:25 -04:00
Indicator.cs
Indicators history rolling window (#7314)
2023-06-13 15:07:09 -03:00
IndicatorBase.cs
Ensure Indicator.Current retains the Symbol from the latest input data (#8767)
2025-06-03 15:26:42 -03:00
IndicatorBase.Operators.cs
Composite Indicator Fixes (#5929)
2021-09-16 17:58:10 -03:00
IndicatorBasedOptionPriceModel.cs
Implement indicator-based option price model (#9237)
2026-02-19 15:15:25 -04:00
IndicatorBasedOptionPriceModelProvider.cs
Implement indicator-based option price model (#9237)
2026-02-19 15:15:25 -04:00
IndicatorExtensions.cs
Python algorithms typing cleanup [part 1] (#8716)
2025-04-23 14:20:38 -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
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
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
KlingerVolumeOscillator.cs
feature: Klinger Volume Oscillator (#8811)
2025-06-06 11:03:57 -03:00
KnowSureThing.cs
Implements new indicator - KST - Know Sure Thing (#8819)
2025-06-12 19:17:47 -03:00
LeastSquaresMovingAverage.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Rename to Momersion and add legacy wrapper for compatibility (#8876)
2025-07-16 11:22:06 -03:00
MomersionIndicator.cs
Rename to Momersion and add legacy wrapper for compatibility (#8876)
2025-07-16 11:22:06 -03:00
MoneyFlowIndex.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
MovingAverageConvergenceDivergence.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
NewHighsNewLows.cs
#8356 Implemention of NHNL indicators (#9109)
2025-12-16 14:24:00 -03:00
NewHighsNewLowsVolume.cs
#8356 Implemention of NHNL indicators (#9109)
2025-12-16 14:24:00 -03:00
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
Unseal greeks ComputeIndicator method (#8570)
2025-02-03 11:16:34 -03:00
OptionGreekIndicatorsHelper.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
OptionIndicatorBase.cs
Improve IndicatorHistory<T> filtering of indicator properties (#8853)
2025-07-02 09:31:18 -03:00
ParabolicStopAndReverse.cs
Feature : Implements Parabolic SAR Extended (SAREXT) (#8818)
2025-06-23 10:40:05 -03:00
ParabolicStopAndReverseExtended.cs
Feature : Implements Parabolic SAR Extended (SAREXT) (#8818)
2025-06-23 10:40:05 -03:00
PercentagePriceOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
PivotPointsHighLow.cs
Add optional strict parameter to PivotPointsHighLow indicator (#9033)
2025-10-22 09:26:24 -03:00
PremierStochasticOscillator.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
PythonIndicator.cs
Improve PythonIndicator.IsReady implementation (#8287)
2024-09-04 10:07:13 -03:00
QuantConnect.Indicators.csproj
net10 fix: Update clr-loader (#9166)
2025-12-29 19:07:35 -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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
RelativeVigorIndex.cs
Update signal when rangeBand is zero (#9245)
2026-01-28 09:47:53 -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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
SharpeRatio.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
SimpleMovingAverage.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
SmoothedOnBalanceVolume.cs
Implements new indicator - SOBV - Smoothed On Balance Volume (#8180)
2024-07-22 18:27:52 -03:00
SortinoRatio.cs
Refactor TargetDownsideDeviation Calculation (#8875)
2025-07-18 17:11:51 -03:00
SqueezeMomentum.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
StandardDeviation.cs
Extends Sum, StandardDeviation and Variance Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:44:35 +01:00
Stochastic.cs
Renames File Stochastics.cs -> Stochastic.cs (#9079)
2025-11-12 09:30:12 -03:00
StochasticRelativeStrengthIndex.cs
Implements new indicator StochRSI - Stochastic Relative Strength Index (#8163)
2024-07-19 09:26:39 -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
Refactor TargetDownsideDeviation Calculation (#8875)
2025-07-18 17:11:51 -03:00
Theta.cs
File-based options universe (#8212)
2024-09-09 12:39:31 -03:00
TimeProfile.cs
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
TimeSeriesForecast.cs
Disable OHLC session tracking by default (#9046)
2025-10-17 15:59:50 -03:00
TimeSeriesIndicator.cs
Fix second half of the CA1051 warnings (#8140)
2024-07-05 13:54:03 -03:00
TomDemarkSequential.cs
Feature 6620 implement td sequential candlestick indicator (#8877)
2025-08-01 12:54:58 -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
Refactor AverageTrueRange to use TrueRange implementation (#8785)
2025-06-03 15:57:26 -04:00
TrueStrengthIndex.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Adds Missing Indicator Constructor Overloads Without name Parameter (#9062)
2025-10-30 18:08:34 -03:00
VolumeWeightedAveragePriceIndicator.cs
Fix second half of the CA1051 warnings (#8140)
2024-07-05 13:54:03 -03:00
VolumeWeightedMovingAverage.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
Vortex.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
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
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
WindowIdentity.cs
Adds VWAP indicator via WeightedBy indicator extension
2016-04-21 19:34:52 -03:00
WindowIndicator.cs
Disable OHLC session tracking by default (#9046)
2025-10-17 15:59:50 -03:00
ZeroLagExponentialMovingAverage.cs
Use EndTime instead of Time for indicator updates (#8860)
2025-07-08 17:47:00 -04:00
ZigZag.cs
Improve IndicatorHistory<T> filtering of indicator properties (#8853)
2025-07-02 09:31:18 -03:00