GapSideBySideWhite.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.CandlestickPatterns
{
    /// <summary>
    /// Up/Down-gap side-by-side white lines candlestick pattern
    /// </summary>
    /// <remarks>
    /// Must have:
    /// - upside or downside gap (between the bodies)
    /// - first candle after the window: white candlestick
    /// - second candle after the window: white candlestick with similar size(near the same) and about the same
    /// open(equal) of the previous candle
    /// - the second candle does not close the window
    /// The meaning of "near" and "equal" is specified with SetCandleSettings
    /// The returned value is positive(+1) or negative(-1): the user should consider that upside
    /// or downside gap side-by-side white lines is significant when it appears in a trend, while this function
    /// does not consider the trend
    /// </remarks>
    public class GapSideBySideWhite : CandlestickPattern
    {
        private readonly int _nearAveragePeriod;
        private readonly int _equalAveragePeriod;
 
        private decimal _nearPeriodTotal;
        private decimal _equalPeriodTotal;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="GapSideBySideWhite"/> class using the specified name.
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        public GapSideBySideWhite(string name) 
            : base(name, Math.Max(CandleSettings.Get(CandleSettingType.Near).AveragePeriod, CandleSettings.Get(CandleSettingType.Equal).AveragePeriod) + 2 + 1)
        {
            _nearAveragePeriod = CandleSettings.Get(CandleSettingType.Near).AveragePeriod;
            _equalAveragePeriod = CandleSettings.Get(CandleSettingType.Equal).AveragePeriod;
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="GapSideBySideWhite"/> class.
        /// </summary>
        public GapSideBySideWhite()
            : this("GAPSIDEBYSIDEWHITE")
        {
        }
 
        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady
        {
            get { return Samples >= Period; }
        }
 
        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// </summary>
        /// <param name="window">The window of data held in this indicator</param>
        /// <param name="input">The input given to the indicator</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(IReadOnlyWindow<IBaseDataBar> window, IBaseDataBar input)
        {
            if (!IsReady)
            {
                if (Samples >= Period - _nearAveragePeriod)
                {
                    _nearPeriodTotal += GetCandleRange(CandleSettingType.Near, window[1]);
                }
 
                if (Samples >= Period - _equalAveragePeriod)
                {
                    _equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]);
                }
 
                return 0m;
            }
 
            decimal value;
            if (
                ( // upside or downside gap between the 1st candle and both the next 2 candles
                  (GetRealBodyGapUp(window[1], window[2]) && GetRealBodyGapUp(input, window[2]))
                  ||
                  (GetRealBodyGapDown(window[1], window[2]) && GetRealBodyGapDown(input, window[2]))
                ) &&
                // 2nd: white
                GetCandleColor(window[1]) == CandleColor.White &&
                // 3rd: white
                GetCandleColor(input) == CandleColor.White &&
                // same size 2 and 3
                GetRealBody(input) >= GetRealBody(window[1]) - GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal, window[1]) &&
                GetRealBody(input) <= GetRealBody(window[1]) + GetCandleAverage(CandleSettingType.Near, _nearPeriodTotal, window[1]) &&
                // same open 2 and 3
                input.Open >= window[1].Open - GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1]) &&
                input.Open <= window[1].Open + GetCandleAverage(CandleSettingType.Equal, _equalPeriodTotal, window[1])
              )
                value = GetRealBodyGapUp(window[1], window[2]) ? 1m : -1m;
            else
                value = 0m;
 
            // add the current range and subtract the first range: this is done after the pattern recognition 
            // when avgPeriod is not 0, that means "compare with the previous candles" (it excludes the current candle)
 
            _nearPeriodTotal += GetCandleRange(CandleSettingType.Near, window[1]) -
                                GetCandleRange(CandleSettingType.Near, window[1 + _nearAveragePeriod]);
 
            _equalPeriodTotal += GetCandleRange(CandleSettingType.Equal, window[1]) -
                                 GetCandleRange(CandleSettingType.Equal, window[1 + _equalAveragePeriod]);
 
            return value;
        }
 
        /// <summary>
        /// Resets this indicator to its initial state
        /// </summary>
        public override void Reset()
        {
            _nearPeriodTotal = 0;
            _equalPeriodTotal = 0;
            base.Reset();
        }
    }
}