feat: Dpo, Tsi, Vortex, Bpp, Cci, Cfo, Tr, Ui, Vc, Vov, Vr, Vs, Mfi, Nvi, Obv, Pvi, Pvo, Pvol, Pvr, Pvt, Tvi

lib/volume/Mfi.cs

@@ -0,0 +1,141 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// MFI: Money Flow Index
+/// A volume-weighted momentum indicator that measures the inflow and outflow of money into an asset
+/// over a specific period of time. It's sometimes referred to as volume-weighted RSI.
+/// </summary>
+/// <remarks>
+/// The MFI calculation process:
+/// 1. Calculate Typical Price:
+///    TP = (High + Low + Close) / 3
+/// 2. Calculate Raw Money Flow:
+///    RMF = TP * Volume
+/// 3. Determine Positive/Negative Money Flow:
+///    If TP > Previous TP: Positive Money Flow
+///    If TP < Previous TP: Negative Money Flow
+/// 4. Calculate Money Flow Ratio:
+///    MFR = (14-period Positive Money Flow Sum) / (14-period Negative Money Flow Sum)
+/// 5. Calculate Money Flow Index:
+///    MFI = 100 - (100 / (1 + MFR))
+///
+/// Key characteristics:
+/// - Oscillates between 0 and 100
+/// - Default period is 14 days
+/// - Overbought level typically at 80
+/// - Oversold level typically at 20
+/// - Volume-weighted measure
+///
+/// Formula:
+/// TP = (High + Low + Close) / 3
+/// RMF = TP * Volume
+/// MFR = ΣPositive Money Flow / ΣNegative Money Flow
+/// MFI = 100 - (100 / (1 + MFR))
+///
+/// Market Applications:
+/// - Overbought/Oversold conditions
+/// - Divergence analysis
+/// - Trend confirmation
+/// - Price reversals
+/// - Volume flow analysis
+///
+/// Sources:
+///     Gene Quong and Avrum Soudack - Original development
+///     https://www.investopedia.com/terms/m/mfi.asp
+///
+/// Note: Values above 80 indicate overbought conditions, while values below 20 indicate oversold conditions
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Mfi : AbstractBase
+{
+    private readonly CircularBuffer _posMf;
+    private readonly CircularBuffer _negMf;
+    private double _prevTp;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Mfi(int period = 14)
+    {
+        WarmupPeriod = period + 1;  // Need one extra period for previous TP
+        Name = $"MFI({period})";
+        _posMf = new CircularBuffer(period);
+        _negMf = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Mfi(object source, int period = 14) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevTp = 0;
+        _posMf.Clear();
+        _negMf.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate Typical Price
+        double tp = (BarInput.High + BarInput.Low + BarInput.Close) / 3;
+
+        // Skip first period to establish previous TP
+        if (_index == 1)
+        {
+            _prevTp = tp;
+            return 0;
+        }
+
+        // Calculate Raw Money Flow
+        double rmf = tp * BarInput.Volume;
+
+        // Determine Positive/Negative Money Flow
+        if (tp > _prevTp)
+        {
+            _posMf.Add(rmf);
+            _negMf.Add(0);
+        }
+        else if (tp < _prevTp)
+        {
+            _posMf.Add(0);
+            _negMf.Add(rmf);
+        }
+        else
+        {
+            _posMf.Add(0);
+            _negMf.Add(0);
+        }
+
+        // Store current TP for next calculation
+        _prevTp = tp;
+
+        // Calculate Money Flow Ratio and Index
+        double posMfSum = _posMf.Sum();
+        double negMfSum = _negMf.Sum();
+
+        double mfi = Math.Abs(negMfSum) < double.Epsilon ? 100 : 100 - (100 / (1 + (posMfSum / negMfSum)));
+
+        IsHot = _index >= WarmupPeriod;
+        return mfi;
+    }
+}