QuanTAlib/docs/integration.md

Integration Guides

QuanTAlib is designed to be platform-agnostic. It can be integrated into any .NET environment.

Quantower

Quantower allows custom indicators via C#.

1. Reference the DLL:

   • Build QuanTAlib or download the NuGet package.
   • In your Quantower indicator project, add a reference to QuanTAlib.dll.

2. Wrapper Class:

   • Create a class that inherits from Indicator.
   • Instantiate the QuanTAlib indicator in OnInit.
   • Call Update in OnUpdate.

using Quantower.API.Indicators;
using QuanTAlib;

public class MySmaIndicator : Indicator
{
    private Sma _sma;

    [InputParameter("Period", 10, 1000, 1, 0)]
    public int Period = 14;

    public override void OnInit()
    {
        _sma = new Sma(Period);
        AddLineSeries("SMA", Color.Yellow, LineStyle.Solid, 2);
    }

    public override void OnUpdate(UpdateArgs args)
    {
        // Get price from Quantower
        double price = ClosePrice;
        
        // Update QuanTAlib
        // Note: Quantower handles bar updates, so we check if it's a new bar or update
        bool isNew = args.Reason == UpdateReason.NewBar;
        var result = _sma.Update(new TValue(DateTime.UtcNow, price), isNew);

        // Set value to Quantower series
        SetValue(result.Value);
    }
}

NinjaTrader 8

NinjaTrader 8 uses .NET Framework 4.8, but can interop with .NET Standard libraries.

1. Copy DLL: Place QuanTAlib.dll in Documents\NinjaTrader 8\bin\Custom.
2. Add Reference: In NinjaScript Editor, right-click > References > Add QuanTAlib.dll.

protected override void OnStateChange()
{
    if (State == State.SetDefaults)
    {
        Name = "QuanTAlib SMA";
        // ...
    }
    else if (State == State.DataLoaded)
    {
        _sma = new QuanTAlib.Sma(Period);
    }
}

protected override void OnBarUpdate()
{
    // NinjaTrader calls OnBarUpdate for every tick (if Calculate = OnEachTick)
    // or once per bar (if Calculate = OnBarClose)
    
    bool isNew = IsFirstTickOfBar; // Logic depends on Calculate mode
    var result = _sma.Update(new TValue(Time[0], Close[0]), isNew);
    
    Value[0] = result.Value;
}

QuantConnect (LEAN)

LEAN supports custom libraries.

1. NuGet: Add QuanTAlib to your config.json or project file.
2. Usage: Use inside OnData.

public class MyAlgorithm : QCAlgorithm
{
    private Sma _mySma;

    public override void Initialize()
    {
        _mySma = new Sma(14);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.ContainsKey("SPY"))
        {
            var bar = data.Bars["SPY"];
            var result = _mySma.Update(new TValue(bar.EndTime, (double)bar.Close));
            
            if (_mySma.IsHot)
            {
                Plot("Indicators", "SMA", result.Value);
            }
        }
    }
}

Custom Platform Integration

For proprietary trading engines, the Streaming Mode is usually the best fit.

Key Considerations

1. Time Handling: QuanTAlib uses DateTime.UtcNow. Ensure your platform provides UTC timestamps or convert them.
2. Double Precision: All calculations use double. If your platform uses decimal, cast to double for input and back to decimal for output.
3. State Management: Persist the indicator instance for the lifetime of the symbol/strategy. Do not recreate the indicator on every tick.
4. Concurrency: Update is not thread-safe for the same instance. If processing multiple symbols in parallel, use separate indicator instances for each symbol.