/*
* 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 QuantConnect.Data.Market;
namespace QuantConnect.Indicators.CandlestickPatterns
{
///
/// Stick Sandwich candlestick pattern indicator
///
///
/// Must have:
/// - first candle: black candle
/// - second candle: white candle that trades only above the prior close(low > prior close)
/// - third candle: black candle with the close equal to the first candle's close
/// The meaning of "equal" is specified with SetCandleSettings
/// The returned value is always positive(+1): stick sandwich is always bullish;
/// The user should consider that stick sandwich is significant when coming in a downtrend,
/// while this function does not consider it
///
public class StickSandwich : CandlestickPattern
{
private readonly int _equalAveragePeriod;
private decimal _equalPeriodTotal;
///
/// Initializes a new instance of the class using the specified name.
///
/// The name of this indicator
public StickSandwich(string name)
: base(name, CandleSettings.Get(CandleSettingType.Equal).AveragePeriod + 2 + 1)
{
_equalAveragePeriod = CandleSettings.Get(CandleSettingType.Equal).AveragePeriod;
}
///
/// Initializes a new instance of the class.
///
public StickSandwich()
: this("STICKSANDWICH")
{
}
///
/// 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 - _equalAveragePeriod)
{
_equalPeriodTotal += GetCandleRange(CandleSettingType.BodyLong, window[2]);
}
return 0m;
}
decimal value;
if (
// first black
GetCandleColor(window[2]) == CandleColor.Black &&
// second white
GetCandleColor(window[1]) == CandleColor.White &&
// third black
GetCandleColor(input) == CandleColor.Black &&
// 2nd low > prior close
window[1].Low > window[2].Close &&
// 1st and 3rd same close
input.Close <= window[2].Close + GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[2]) &&
input.Close >= window[2].Close - GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[2])
)
value = 1m;
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)
_equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[2]) -
GetCandleRange(CandleSettingType.Equal, window[_equalAveragePeriod + 2]);
return value;
}
///
/// Resets this indicator to its initial state
///
public override void Reset()
{
_equalPeriodTotal = 0m;
base.Reset();
}
}
}