-
Notifications
You must be signed in to change notification settings - Fork 2
/
MoneyFlowIndex.cs
110 lines (96 loc) · 4.53 KB
/
MoneyFlowIndex.cs
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
/*
* 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
{
/// <summary>
/// The Money Flow Index (MFI) is an oscillator that uses both price and volume to
/// measure buying and selling pressure
///
/// Typical Price = (High + Low + Close)/3
/// Money Flow = Typical Price x Volume
/// Positve Money Flow = Sum of the money flows of all days where the typical
/// price is greater than the previous day's typical price
/// Negative Money Flow = Sum of the money flows of all days where the typical
/// price is less than the previous day's typical price
/// Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow)
///
/// Money Flow Index = 100 x Positve Money Flow / ( Positve Money Flow + Negative Money Flow)
/// </summary>
public class MoneyFlowIndex : TradeBarIndicator
{
/// <summary>The sum of positive money flow to compute money flow ratio</summary>
public IndicatorBase<IndicatorDataPoint> PositiveMoneyFlow { get; private set; }
/// <summary>The sum of negative money flow to compute money flow ratio</summary>
public IndicatorBase<IndicatorDataPoint> NegativeMoneyFlow { get; private set; }
/// <summary>The current and previous typical price is used to determine postive or negative money flow</summary>
public decimal PreviousTypicalPrice { get; private set; }
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return PositiveMoneyFlow.IsReady && NegativeMoneyFlow.IsReady; }
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
PreviousTypicalPrice = 0.0m;
PositiveMoneyFlow.Reset();
NegativeMoneyFlow.Reset();
base.Reset();
}
/// <summary>
/// Initializes a new instance of the MoneyFlowIndex class
/// </summary>
/// <param name="period">The period of the negative and postive money flow</param>
public MoneyFlowIndex(int period)
: this("MFI" + period, period)
{
}
/// <summary>
/// Initializes a new instance of the MoneyFlowIndex class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the negative and postive money flow</param>
public MoneyFlowIndex(string name, int period)
: base(name)
{
PositiveMoneyFlow = new Sum(name + "_PositiveMoneyFlow", period);
NegativeMoneyFlow = new Sum(name + "_NegativeMoneyFlow", period);
}
/// <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)
{
decimal typicalPrice = (input.High + input.Low + input.Close)/3.0m;
decimal moneyFlow = typicalPrice*input.Volume;
PositiveMoneyFlow.Update(input.Time, typicalPrice > PreviousTypicalPrice ? moneyFlow : 0.0m);
NegativeMoneyFlow.Update(input.Time, typicalPrice < PreviousTypicalPrice ? moneyFlow : 0.0m);
PreviousTypicalPrice = typicalPrice;
decimal totalMoneyFlow = PositiveMoneyFlow.Current.Value + NegativeMoneyFlow.Current.Value;
if (totalMoneyFlow == 0.0m)
{
return 100.0m;
}
return 100m*PositiveMoneyFlow.Current.Value/totalMoneyFlow;
}
}
}