ArmsIndex.cs

/*
 * 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 System;
using QuantConnect.Data.Market;
 
namespace QuantConnect.Indicators
{
    /// <summary>
    /// The Arms Index, also called the Short-Term Trading Index (TRIN) 
    /// is a technical analysis indicator that compares the number of advancing 
    /// and declining stocks (AD Ratio) to advancing and declining volume (AD volume).
    /// </summary>
    public class ArmsIndex : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
    {
        private readonly IndicatorBase<IndicatorDataPoint> _arms;
 
        /// <summary>
        /// Gets the Advance/Decline Ratio (ADR) indicator
        /// </summary>
        public AdvanceDeclineRatio ADRatio { get; }
 
        /// <summary>
        /// Gets the Advance/Decline Volume Ratio (ADVR) indicator
        /// </summary>
        public AdvanceDeclineVolumeRatio ADVRatio { get; }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="ArmsIndex"/> class
        /// </summary>
        public ArmsIndex(string name) : base(name)
        {
            ADRatio = new AdvanceDeclineRatio(name + "_A/D Ratio");
            ADVRatio = new AdvanceDeclineVolumeRatio(name + "_A/D Volume Ratio");
 
            _arms = ADRatio.Over(ADVRatio, name);
        }
 
        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady => ADRatio.IsReady && ADVRatio.IsReady;
 
        /// <summary>
        /// Required period, in data points, for the indicator to be ready and fully initialized.
        /// </summary>
        public int WarmUpPeriod => System.Math.Max(ADRatio.WarmUpPeriod, ADVRatio.WarmUpPeriod);
 
        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// </summary>
        /// <param name="input">The input given to the indicator</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(TradeBar input)
        {
            ADRatio.Update(input);
            ADVRatio.Update(input);
 
            if (ADVRatio == 0)
            {
                return 0;
            }
 
            return _arms.Current.Value;
        }
 
        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            ADRatio.Reset();
            ADVRatio.Reset();
            _arms.Reset();
 
            base.Reset();
        }
 
        /// <summary>
        /// Add Tracking stock issue
        /// </summary>
        /// <param name="asset">the tracking stock issue</param>
        public void Add(Symbol asset)
        {
            ADRatio.Add(asset);
            ADVRatio.Add(asset);
        }
 
        /// <summary>
        /// Deprecated
        /// </summary>
        [Obsolete("Please use Add(asset)")]
        public void AddStock(Symbol asset)
        {
            Add(asset);
        }
 
        /// <summary>
        /// Remove Tracking stock issue
        /// </summary>
        /// <param name="asset">the tracking stock issue</param>
        public void Remove(Symbol asset)
        {
            ADRatio.Remove(asset);
            ADVRatio.Remove(asset);
        }
 
        /// <summary>
        /// Deprecated
        /// </summary>
        [Obsolete("Please use Remove(asset)")]
        public void RemoveStock(Symbol asset)
        {
            Remove(asset);
        }
    }
}