/*
* 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;
}
}