Supported Indicators

Chaikin Money Flow

Introduction

The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over a specified period. CMF = n-day Sum of [(((C - L) - (H - C)) / (H - L)) x Vol] / n-day Sum of Vol Where: n = number of periods, typically 21 H = high L = low C = close Vol = volume https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cmf

To view the implementation of this indicator, see the LEAN GitHub repository.

Using CMF Indicator

To create an automatic indicators for ChaikinMoneyFlow, call the CMF helper method from the QCAlgorithm class. The CMF method creates a ChaikinMoneyFlow object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize method.

public class ChaikinMoneyFlowAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ChaikinMoneyFlow _cmf;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _cmf = CMF("SPY", 20);
    }

    public override void OnData(Slice data)
    {
        if (_cmf.IsReady)
        {
            Plot("ChaikinMoneyFlow", "cmf", _cmf);
        }
    }
}
class ChaikinMoneyFlowAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.cmf = self.CMF("SPY", 20)

    def OnData(self, slice: Slice) -> None:
        if self.cmf.IsReady:
            self.Plot("ChaikinMoneyFlow", "cmf", self.cmf.Current.Value)

The following reference table describes the CMF method:

CMF()1/1

            ChaikinMoneyFlow QuantConnect.Algorithm.QCAlgorithm.CMF (
    Symbol                            symbol,
    Int32                             period,
    *Nullable<Resolution>       resolution,
    *Func<IBaseData, TradeBar>  selector
   )

Creates a new ChaikinMoneyFlow indicator.

If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

For more information about plotting indicators, see Plotting Indicators.

You can manually create a ChaikinMoneyFlow indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with a TradeBar. The indicator will only be ready after you prime it with enough data.

public class ChaikinMoneyFlowAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ChaikinMoneyFlow _cmf;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _cmf = new ChaikinMoneyFlow(20);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGeValue(_symbol, out var bar))
        {      
            _cmf.Update(bar);
        }

        if (_cmf.IsReady)
        {
            Plot("ChaikinMoneyFlow", "cmf", _cmf);
        }
    }
}
class ChaikinMoneyFlowAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.cmf = ChaikinMoneyFlow(20)

    def OnData(self, slice: Slice) -> None:
        bar = data.Bars.get(self.symbol)
        if bar:
            self.cmf.Update(bar)

        if self.cmf.IsReady:
            self.Plot("ChaikinMoneyFlow", "cmf", self.cmf.Current.Value)

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.

public class ChaikinMoneyFlowAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ChaikinMoneyFlow _cmf;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _cmf = new ChaikinMoneyFlow(20);
        RegisterIndicator(_symbol, _cmf, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_cmf.IsReady)
        {
            Plot("ChaikinMoneyFlow", "cmf", _cmf);
        }
    }
}
class ChaikinMoneyFlowAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.cmf = ChaikinMoneyFlow(20)
        self.RegisterIndicator(self.symbol, self.cmf, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.cmf.IsReady:
            self.Plot("ChaikinMoneyFlow", "cmf", self.cmf.Current.Value)

The following reference table describes the ChaikinMoneyFlow constructor:

ChaikinMoneyFlow()1/1

            ChaikinMoneyFlow QuantConnect.Indicators.ChaikinMoneyFlow (
    string  name,
    int     period
   )

Initializes a new instance of the ChaikinMoneyFlow class.

Visualization

The following image shows plot values of selected properties of ChaikinMoneyFlow using the plotly library.

ChaikinMoneyFlow line plot.

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