/*
* 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.CandlestickPatterns
{
///
/// Abstract base class for a candlestick pattern indicator
///
public abstract class CandlestickPattern : WindowIndicator
{
///
/// Creates a new with the specified name
///
/// The name of this indicator
/// The number of data points to hold in the window
protected CandlestickPattern(string name, int period)
: base(name, period)
{
}
///
/// Returns the candle color of a candle
///
/// The input candle
protected static CandleColor GetCandleColor(IBaseDataBar tradeBar)
{
return tradeBar.Close >= tradeBar.Open ? CandleColor.White : CandleColor.Black;
}
///
/// Returns the distance between the close and the open of a candle
///
/// The input candle
protected static decimal GetRealBody(IBaseDataBar tradeBar)
{
return Math.Abs(tradeBar.Close - tradeBar.Open);
}
///
/// Returns the full range of the candle
///
/// The input candle
protected static decimal GetHighLowRange(IBaseDataBar tradeBar)
{
return tradeBar.High - tradeBar.Low;
}
///
/// Returns the range of a candle
///
/// The type of setting to use
/// The input candle
protected static decimal GetCandleRange(CandleSettingType type, IBaseDataBar tradeBar)
{
switch (CandleSettings.Get(type).RangeType)
{
case CandleRangeType.RealBody:
return GetRealBody(tradeBar);
case CandleRangeType.HighLow:
return GetHighLowRange(tradeBar);
case CandleRangeType.Shadows:
return GetUpperShadow(tradeBar) + GetLowerShadow(tradeBar);
default:
return 0m;
}
}
///
/// Returns true if the candle is higher than the previous one
///
protected static bool GetCandleGapUp(IBaseDataBar tradeBar, IBaseDataBar previousBar)
{
return tradeBar.Low > previousBar.High;
}
///
/// Returns true if the candle is lower than the previous one
///
protected static bool GetCandleGapDown(IBaseDataBar tradeBar, IBaseDataBar previousBar)
{
return tradeBar.High < previousBar.Low;
}
///
/// Returns true if the candle is higher than the previous one (with no body overlap)
///
protected static bool GetRealBodyGapUp(IBaseDataBar tradeBar, IBaseDataBar previousBar)
{
return Math.Min(tradeBar.Open, tradeBar.Close) > Math.Max(previousBar.Open, previousBar.Close);
}
///
/// Returns true if the candle is lower than the previous one (with no body overlap)
///
protected static bool GetRealBodyGapDown(IBaseDataBar tradeBar, IBaseDataBar previousBar)
{
return Math.Max(tradeBar.Open, tradeBar.Close) < Math.Min(previousBar.Open, previousBar.Close);
}
///
/// Returns the range of the candle's lower shadow
///
/// The input candle
protected static decimal GetLowerShadow(IBaseDataBar tradeBar)
{
return (tradeBar.Close >= tradeBar.Open ? tradeBar.Open : tradeBar.Close) - tradeBar.Low;
}
///
/// Returns the range of the candle's upper shadow
///
/// The input candle
protected static decimal GetUpperShadow(IBaseDataBar tradeBar)
{
return tradeBar.High - (tradeBar.Close >= tradeBar.Open ? tradeBar.Close : tradeBar.Open);
}
///
/// Returns the average range of the previous candles
///
/// The type of setting to use
/// The sum of the previous candles ranges
/// The input candle
protected static decimal GetCandleAverage(CandleSettingType type, decimal sum, IBaseDataBar tradeBar)
{
var defaultSetting = CandleSettings.Get(type);
return defaultSetting.Factor *
(defaultSetting.AveragePeriod != 0 ? sum / defaultSetting.AveragePeriod : GetCandleRange(type, tradeBar)) /
(defaultSetting.RangeType == CandleRangeType.Shadows ? 2.0m : 1.0m);
}
}
}