/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using QuantConnect.Data.Market;
namespace QuantConnect.Indicators
{
///
/// The Arms Index, also called the Short-Term Trading Index (TRIN)
/// is a technical analysis indicator that compares the number of advancing
/// and declining stocks (AD Ratio) to advancing and declining volume (AD volume).
///
public class ArmsIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
{
private readonly IndicatorBase _arms;
///
/// Gets the Advance/Decline Ratio (ADR) indicator
///
public AdvanceDeclineRatio ADRatio { get; }
///
/// Gets the Advance/Decline Volume Ratio (ADVR) indicator
///
public AdvanceDeclineVolumeRatio ADVRatio { get; }
///
/// Initializes a new instance of the class
///
public ArmsIndex(string name) : base(name)
{
ADRatio = new AdvanceDeclineRatio(name + "_A/D Ratio");
ADVRatio = new AdvanceDeclineVolumeRatio(name + "_A/D Volume Ratio");
_arms = ADRatio.Over(ADVRatio, name);
}
///
/// Gets a flag indicating when this indicator is ready and fully initialized
///
public override bool IsReady => ADRatio.IsReady && ADVRatio.IsReady;
///
/// Required period, in data points, for the indicator to be ready and fully initialized.
///
public int WarmUpPeriod => System.Math.Max(ADRatio.WarmUpPeriod, ADVRatio.WarmUpPeriod);
///
/// Computes the next value of this indicator from the given state
///
/// The input given to the indicator
/// A new value for this indicator
protected override decimal ComputeNextValue(TradeBar input)
{
ADRatio.Update(input);
ADVRatio.Update(input);
if (ADVRatio == 0)
{
return 0;
}
return _arms.Current.Value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
ADRatio.Reset();
ADVRatio.Reset();
_arms.Reset();
base.Reset();
}
///
/// Add Tracking stock issue
///
/// the tracking stock issue
public void Add(Symbol asset)
{
ADRatio.Add(asset);
ADVRatio.Add(asset);
}
///
/// Deprecated
///
[Obsolete("Please use Add(asset)")]
public void AddStock(Symbol asset)
{
Add(asset);
}
///
/// Remove Tracking stock issue
///
/// the tracking stock issue
public void Remove(Symbol asset)
{
ADRatio.Remove(asset);
ADVRatio.Remove(asset);
}
///
/// Deprecated
///
[Obsolete("Please use Remove(asset)")]
public void RemoveStock(Symbol asset)
{
Remove(asset);
}
}
}