The Indicator concept

[Franklin Dattein]

Hi everyone,

almost every trading system uses the concept of the Indicators. It is something I miss on Activequant. 

The calculation is usually made directly in the system code, making more difficult to reuse code and build a system based on multiple indicators.

I would like to write base classes to add Indicators support on Activequant. 

Is there a reason for the lack of the Indicators concept?
Is that welcome contribution for the project?

What is the best approach to transport the data series to the Indicators, keeping it as generic as possible?
I see at least two approaches, taking in consideration that an Indicator often needs to have access to the quotes before the current quote:
1. Adding a new eventListener on ISubscription<Candle> to fire an "onCandle event" at the Indicator class. The Indicator would have to acumulate the candles, consequently duplicating these data.
It the same way the @System classes receive their candles.

2. The Indicator receives the instance QuoteSeries every time a calculations is needed.

Thoughts?

Att,
Franklin Samir Dattein

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[Ulrich Staudinger-2]

On Fri, Nov 6, 2009 at 10:43 PM, Franklin S. Dattein <franklin@...> wrote:

What is the best approach to transport the data series to the Indicators, keeping it as generic as possible?
I see at least two approaches, taking in consideration that an Indicator often needs to have access to the quotes before the current quote:
1. Adding a new eventListener on ISubscription<Candle> to fire an "onCandle event" at the Indicator class. The Indicator would have to acumulate the candles, consequently duplicating these data.
It the same way the @System classes receive their candles.

Nice.
 

2. The Indicator receives the instance QuoteSeries every time a calculations is needed.

Thoughts?

Indicators should work on raw numbers also. Some converters come into mind, for example QuoteBidToNumber or QuoteBidVolumeToNumber, which could become some sort of a firing cascade. Subscriptions to different data sources must be possible ... would be good if the indicators themselve can become sources of events. Talk also with mike about his aq-series project, maybe he has something already.

Regards,
ulrich
 

--
Ulrich B. Staudinger

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