QuantConnect.Indicators.TimeSeriesIndicator Class Reference

The base class for any Time Series-type indicator, containing methods common to most of such models. More...

Inheritance diagram for QuantConnect.Indicators.TimeSeriesIndicator:

Static Public Member Functions
static double[]	DifferenceSeries (int d, double[] series, out double[] diffHeads)
	Differences a time series d times. More...
static double[]	InverseDifferencedSeries (double[] series, double[] diffHeads)
	Undoes the differencing of a time series which has been differenced using DifferenceSeries. https://github.com/statsmodels/statsmodels/blob/04f00006a7aeb1c93d6894caa420698400da6c33/statsmodels/tsa/tsatools.py#L758 More...
static double[][]	LaggedSeries (int p, double[] series, bool includeT=false)
	Returns an array of lagged series for each of {1,...,p} lags. More...
static List< double >	CumulativeSum (List< double > series, bool reverse=false)
	Returns a series where each spot is taken by the cumulative sum of all points up to and including the value at that spot in the original series. More...

Protected Member Functions
	TimeSeriesIndicator (string name)
	A constructor for a basic Time Series indicator. More...

Protected Attributes
double[]	_diffHeads
	"Integration" constants More...

Properties
abstract int	WarmUpPeriod [get]
	Required period, in data points, for the indicator to be ready and fully initialized. More...
Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod [get]
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

The base class for any Time Series-type indicator, containing methods common to most of such models.

Definition at line 24 of file TimeSeriesIndicator.cs.

Constructor & Destructor Documentation

TimeSeriesIndicator()

QuantConnect.Indicators.TimeSeriesIndicator.TimeSeriesIndicator ( string  name )

protected

A constructor for a basic Time Series indicator.

Parameters

name	The name of this indicator

Definition at line 40 of file TimeSeriesIndicator.cs.

Member Function Documentation

DifferenceSeries()

static double [] QuantConnect.Indicators.TimeSeriesIndicator.DifferenceSeries ( int  d, double[]  series, out double[]  diffHeads  )

static

Differences a time series d times.

Parameters

series	Series to difference
d	The differencing order
diffHeads	"Integration" constants

Definition at line 51 of file TimeSeriesIndicator.cs.

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InverseDifferencedSeries()

static double [] QuantConnect.Indicators.TimeSeriesIndicator.InverseDifferencedSeries ( double[]  series, double[]  diffHeads  )

static

Undoes the differencing of a time series which has been differenced using DifferenceSeries. https://github.com/statsmodels/statsmodels/blob/04f00006a7aeb1c93d6894caa420698400da6c33/statsmodels/tsa/tsatools.py#L758

Parameters

series	Series to un-difference
diffHeads	Series of "integration" constants for un-differencing

Definition at line 82 of file TimeSeriesIndicator.cs.

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LaggedSeries()

static double [][] QuantConnect.Indicators.TimeSeriesIndicator.LaggedSeries ( int  p, double[]  series, bool  includeT = false  )

static

Returns an array of lagged series for each of {1,...,p} lags.

Parameters

p	Max lag order
series	Series to calculate the lags of
includeT	Whether or not to include t with its lags in the output array

Returns

A list such that index i returns the series for i+1 lags

Definition at line 103 of file TimeSeriesIndicator.cs.

CumulativeSum()

static List<double> QuantConnect.Indicators.TimeSeriesIndicator.CumulativeSum ( List< double >  series, bool  reverse = false  )

static

Returns a series where each spot is taken by the cumulative sum of all points up to and including the value at that spot in the original series.

Parameters

series	Series to cumulatively sum over.
reverse	Whether to reverse the series before applying the cumulative sum.

Returns

Cumulatively summed series.

Definition at line 128 of file TimeSeriesIndicator.cs.

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Member Data Documentation

_diffHeads

double [] QuantConnect.Indicators.TimeSeriesIndicator._diffHeads

protected

"Integration" constants

Definition at line 29 of file TimeSeriesIndicator.cs.

Property Documentation

WarmUpPeriod

abstract int QuantConnect.Indicators.TimeSeriesIndicator.WarmUpPeriod

get

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 34 of file TimeSeriesIndicator.cs.

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The documentation for this class was generated from the following file:

• Indicators/TimeSeriesIndicator.cs