/* * 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. */ namespace QuantConnect.Indicators { /// /// Represents the traditional simple moving average indicator (SMA) /// public class SimpleMovingAverage : WindowIndicator, IIndicatorWarmUpPeriodProvider { /// /// A rolling sum for computing the average for the given period /// public IndicatorBase RollingSum { get; } /// /// Gets a flag indicating when this indicator is ready and fully initialized /// public override bool IsReady => RollingSum.IsReady; /// /// Resets this indicator to its initial state /// public override void Reset() { RollingSum.Reset(); base.Reset(); } /// /// Initializes a new instance of the SimpleMovingAverage class with the specified name and period /// /// The name of this indicator /// The period of the SMA public SimpleMovingAverage(string name, int period) : base(name, period) { RollingSum = new Sum(name + "_Sum", period); } /// /// Initializes a new instance of the SimpleMovingAverage class with the default name and period /// /// The period of the SMA public SimpleMovingAverage(int period) : this($"SMA({period})", period) { } /// /// Computes the next value for this indicator from the given state. /// /// The window of data held in this indicator /// The input value to this indicator on this time step /// A new value for this indicator protected override decimal ComputeNextValue(IReadOnlyWindow window, IndicatorDataPoint input) { RollingSum.Update(input.EndTime, input.Value); return RollingSum.Current.Value / window.Count; } /// /// Required period, in data points, for the indicator to be ready and fully initialized. /// public int WarmUpPeriod => Period; } }