/* * 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 { /// /// This indicator computes the MidPrice (MIDPRICE). /// The MidPrice is calculated using the following formula: /// MIDPRICE = (Highest High + Lowest Low) / 2 /// public class MidPrice : BarIndicator, IIndicatorWarmUpPeriodProvider { private readonly int _period; private readonly Maximum _maximum; private readonly Minimum _minimum; /// /// Initializes a new instance of the class using the specified name and period. /// /// The name of this indicator /// The period of the MIDPRICE public MidPrice(string name, int period) : base(name) { _period = period; _maximum = new Maximum(period); _minimum = new Minimum(period); } /// /// Initializes a new instance of the class using the specified period. /// /// The period of the MIDPRICE public MidPrice(int period) : this($"MIDPRICE({period})", period) { } /// /// Gets a flag indicating when this indicator is ready and fully initialized /// public override bool IsReady => Samples >= _period; /// /// Required period, in data points, for the indicator to be ready and fully initialized. /// public int WarmUpPeriod => _period; /// /// 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(IBaseDataBar input) { _maximum.Update(new IndicatorDataPoint { Value = input.High }); _minimum.Update(new IndicatorDataPoint { Value = input.Low }); return (_maximum.Current.Value + _minimum.Current.Value) / 2; } } }