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/*
* 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;
using QuantConnect.Data.Market;
namespace QuantConnect
{
/// <summary>
/// Provides static properties to be used as selectors with the indicator system
/// </summary>
public static partial class Field
{
/// <summary>
/// Gets a selector that selects the Open value
/// </summary>
public static Func<IBaseData, decimal> Open
{
get { return BaseDataBarPropertyOrValue(x => x.Open); }
}
/// <summary>
/// Gets a selector that selects the High value
/// </summary>
public static Func<IBaseData, decimal> High
{
get { return BaseDataBarPropertyOrValue(x => x.High); }
}
/// <summary>
/// Gets a selector that selects the Low value
/// </summary>
public static Func<IBaseData, decimal> Low
{
get { return BaseDataBarPropertyOrValue(x => x.Low); }
}
/// <summary>
/// Gets a selector that selects the Close value
/// </summary>
public static Func<IBaseData, decimal> Close
{
get { return x => x.Value; }
}
/// <summary>
/// Defines an average price that is equal to (O + H + L + C) / 4
/// </summary>
public static Func<IBaseData, decimal> Average
{
get { return BaseDataBarPropertyOrValue(x => (x.Open + x.High + x.Low + x.Close) / 4m); }
}
/// <summary>
/// Defines an average price that is equal to (H + L) / 2
/// </summary>
public static Func<IBaseData, decimal> Median
{
get { return BaseDataBarPropertyOrValue(x => (x.High + x.Low) / 2m); }
}
/// <summary>
/// Defines an average price that is equal to (H + L + C) / 3
/// </summary>
public static Func<IBaseData, decimal> Typical
{
get { return BaseDataBarPropertyOrValue(x => (x.High + x.Low + x.Close) / 3m); }
}
/// <summary>
/// Defines an average price that is equal to (H + L + 2*C) / 4
/// </summary>
public static Func<IBaseData, decimal> Weighted
{
get { return BaseDataBarPropertyOrValue(x => (x.High + x.Low + 2 * x.Close) / 4m); }
}
/// <summary>
/// Defines an average price that is equal to (2*O + H + L + 3*C)/7
/// </summary>
public static Func<IBaseData, decimal> SevenBar
{
get { return BaseDataBarPropertyOrValue(x => (2*x.Open + x.High + x.Low + 3*x.Close)/7m); }
}
/// <summary>
/// Gets a selector that selectors the Volume value
/// </summary>
public static Func<IBaseData, decimal> Volume
{
get { return BaseDataBarPropertyOrValue(x => x is TradeBar ? ((TradeBar)x).Volume : 0m, x => 0m); }
}
private static Func<IBaseData, decimal> BaseDataBarPropertyOrValue(Func<IBaseDataBar, decimal> selector, Func<IBaseData, decimal> defaultSelector = null)
{
return x =>
{
var bar = x as IBaseDataBar;
if (bar != null)
{
return selector(bar);
}
defaultSelector = defaultSelector ?? (data => data.Value);
return defaultSelector(x);
};
}
}
}