mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-07 21:47:43 +00:00
Miha Kralj
96 lines
3.2 KiB
C#
96 lines
3.2 KiB
C#
namespace QuanTAlib;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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/* <summary>
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OBV: On-Balance Volume
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On-balance volume (OBV) is a technical trading momentum indicator that uses volume flow to predict
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changes in stock price. Joseph Granville first developed the OBV metric in the 1963 book
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Granville's New Key to Stock Market Profits.
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| +volume; if close > close[previous]
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OBV = OBV[previous] + | 0; if close = close[previous]
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| -volume; if close < close[previous]
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Sources:
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https://www.investopedia.com/terms/o/onbalancevolume.asp
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https://www.tradingview.com/wiki/On_Balance_Volume_(OBV)
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https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/on-balance-volume-obv/
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https://www.motivewave.com/studies/on_balance_volume.htm
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Note:
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There is no consensus on what is the first OBV value in the series:
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- TA-LIB uses the first volume: OBV[0] = volume[0]
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- Skender stock library uses 0: OBV[0] = 0
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</summary> */
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public class OBV_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TBars _data;
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private double _lastobv, _lastlastobv;
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private double _lastclose, _lastlastclose;
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//core constructors
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public OBV_Series(int period, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"OBV({period})";
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this._lastobv = this._lastlastobv = 0;
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this._lastclose = this._lastlastclose = 0;
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}
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public OBV_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(data: _data);
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}
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public OBV_Series() : this(period: 2, useNaN: false) { }
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public OBV_Series(int period) : this(period: period, useNaN: false) { }
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public OBV_Series(TBars source) : this(source, period: 2, useNaN: false) { }
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public OBV_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
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if (update) {
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this._lastobv = this._lastlastobv;
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this._lastclose = this._lastlastclose;
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}
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double _obv = this._lastobv;
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if (TBar.c > this._lastclose) { _obv += TBar.v; }
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if (TBar.c < this._lastclose) { _obv -= TBar.v; }
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this._lastlastobv = this._lastobv;
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this._lastobv = _obv;
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this._lastlastclose = this._lastclose;
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this._lastclose = TBar.c;
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var res = (TBar.t, (this.Count < this._period && this._NaN) ? double.NaN : _obv);
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return base.Add(res, update);
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}
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public new void Add(TBars data) {
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foreach (var item in data) { Add(item, false); }
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TBar: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TBar: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TBar: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset() {
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this._lastobv = this._lastlastobv = 0;
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this._lastclose = this._lastlastclose = 0;
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}
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} |