/*
* 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;
}
}
}