/*
* 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
{
///
/// Marubozu candlestick pattern indicator
///
///
/// Must have:
/// - long real body
/// - no or very short upper and lower shadow
/// The meaning of "long" and "very short" is specified with SetCandleSettings
/// The returned value is positive(+1) when white(bullish), negative(-1) when black(bearish)
///
public class Marubozu : CandlestickPattern
{
private readonly int _bodyLongAveragePeriod;
private readonly int _shadowVeryShortAveragePeriod;
private decimal _bodyLongPeriodTotal;
private decimal _shadowVeryShortPeriodTotal;
///
/// Initializes a new instance of the class using the specified name.
///
/// The name of this indicator
public Marubozu(string name)
: base(name, Math.Max(CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod, CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod) + 1)
{
_bodyLongAveragePeriod = CandleSettings.Get(CandleSettingType.BodyLong).AveragePeriod;
_shadowVeryShortAveragePeriod = CandleSettings.Get(CandleSettingType.ShadowVeryShort).AveragePeriod;
}
///
/// Initializes a new instance of the class.
///
public Marubozu()
: this("MARUBOZU")
{
}
///
/// Gets a flag indicating when this indicator is ready and fully initialized
///
public override bool IsReady
{
get { return Samples >= Period; }
}
///
/// Computes the next value of this indicator from the given state
///
/// The window of data held in this indicator
/// The input given to the indicator
/// A new value for this indicator
protected override decimal ComputeNextValue(IReadOnlyWindow window, IBaseDataBar input)
{
if (!IsReady)
{
if (Samples >= Period - _bodyLongAveragePeriod)
{
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, input);
}
if (Samples >= Period - _shadowVeryShortAveragePeriod)
{
_shadowVeryShortPeriodTotal += GetCandleRange(CandleSettingType.ShadowVeryShort, input);
}
return 0m;
}
decimal value;
if (GetRealBody(input) > GetCandleAverage(CandleSettingType.BodyLong, _bodyLongPeriodTotal, input) &&
GetUpperShadow(input) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal, input) &&
GetLowerShadow(input) < GetCandleAverage(CandleSettingType.ShadowVeryShort, _shadowVeryShortPeriodTotal, input)
)
value = (int)GetCandleColor(input);
else
value = 0m;
// add the current range and subtract the first range: this is done after the pattern recognition
// when avgPeriod is not 0, that means "compare with the previous candles" (it excludes the current candle)
_bodyLongPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, input) -
GetCandleRange(CandleSettingType.BodyLong, window[_bodyLongAveragePeriod]);
_shadowVeryShortPeriodTotal += GetCandleRange(CandleSettingType.ShadowVeryShort, input) -
GetCandleRange(CandleSettingType.ShadowVeryShort, window[_shadowVeryShortAveragePeriod]);
return value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
_bodyLongPeriodTotal = 0m;
_shadowVeryShortPeriodTotal = 0m;
base.Reset();
}
}
}