Lean  $LEAN_TAG$
OnBalanceVolume.cs
1 /*
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3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
6  * you may not use this file except in compliance with the License.
7  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8  *
9  * Unless required by applicable law or agreed to in writing, software
10  * distributed under the License is distributed on an "AS IS" BASIS,
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12  * See the License for the specific language governing permissions and
13  * limitations under the License.
14 */
15 
17 
19 {
20  /// <summary>
21  /// This indicator computes the On Balance Volume (OBV).
22  /// The On Balance Volume is calculated by determining the price of the current close price and previous close price.
23  /// If the current close price is equivalent to the previous price the OBV remains the same,
24  /// If the current close price is higher the volume of that day is added to the OBV, while a lower close price will
25  /// result in negative value.
26  /// </summary>
28  {
29  private TradeBar _previousInput;
30 
31  /// <summary>
32  /// Initializes a new instance of the Indicator class using the specified name.
33  /// </summary>
34  public OnBalanceVolume()
35  : base("OBV")
36  {
37  }
38 
39  /// <summary>
40  /// Initializes a new instance of the Indicator class using the specified name.
41  /// </summary>
42  /// <param name="name">The name of this indicator</param>
43  public OnBalanceVolume(string name)
44  : base(name)
45  {
46  }
47 
48  /// <summary>
49  /// Gets a flag indicating when this indicator is ready and fully initialized
50  /// </summary>
51  public override bool IsReady => _previousInput != null;
52 
53  /// <summary>
54  /// Required period, in data points, for the indicator to be ready and fully initialized.
55  /// </summary>
56  public int WarmUpPeriod => 1;
57 
58  /// <summary>
59  /// Computes the next value of this indicator from the given state
60  /// </summary>
61  /// <param name="input">The input given to the indicator</param>
62  /// <returns> A new value for this indicator </returns>
63  protected override decimal ComputeNextValue(TradeBar input)
64  {
65  var obv = Current.Value;
66 
67  if (_previousInput != null)
68  {
69  if (input.Value > _previousInput.Value)
70  {
71  obv += input.Volume;
72  Update(input);
73  }
74  else if (input.Value < _previousInput.Value)
75  {
76  obv -= input.Volume;
77  Update(input);
78  }
79  }
80  else
81  {
82  obv = input.Volume;
83  Update(input);
84  }
85 
86  _previousInput = input;
87  return obv;
88  }
89 
90  /// <summary>
91  /// Resets this indicator to its initial state
92  /// </summary>
93  public override void Reset()
94  {
95  _previousInput = null;
96  base.Reset();
97  }
98  }
99 }