Supported Indicators
Ease Of Movement Value
Introduction
This indicator computes the n-period Ease of Movement Value using the following: MID = (high_1 + low_1)/2 - (high_0 + low_0)/2 RATIO = (currentVolume/10000) / (high_1 - low_1) EMV = MID/RATIO _SMA = n-period of EMV Returns _SMA source
To view the implementation of this indicator, see the LEAN GitHub repository.
Using EMV Indicator
To create an automatic indicators for EaseOfMovementValue
, call the EMV
helper method from the QCAlgorithm
class. The EMV
method creates a EaseOfMovementValue
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
initialize
method.
public class EaseOfMovementValueAlgorithm : QCAlgorithm { private Symbol _symbol; private EaseOfMovementValue _emv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _emv = EMV(_symbol, 1, 10000); } public override void OnData(Slice data) { if (_emv.IsReady) { // The current value of _emv is represented by itself (_emv) // or _emv.Current.Value Plot("EaseOfMovementValue", "emv", _emv); } } }
class EaseOfMovementValueAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol self._emv = self.emv(self._symbol, 1, 10000) def on_data(self, slice: Slice) -> None: if self._emv.is_ready: # The current value of self._emv is represented by self._emv.current.value self.plot("EaseOfMovementValue", "emv", self._emv.current.value)
The following reference table describes the EMV
method:
emv(symbol, period=1, scale=10000, resolution=None, selector=None)
[source]Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose EMV we want
- period (int, optional) — The period of the EMV
- scale (int, optional) — The length of the outputed value
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The EaseOfMovementValue indicator for the given parameters
EMV(symbol, period=1, scale=10000, resolution=None, selector=None)
[source]Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose EMV we want
- period (Int32, optional) — The period of the EMV
- scale (Int32, optional) — The length of the outputed value
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The EaseOfMovementValue indicator for the given parameters
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 EaseOfMovementValue
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
update
method with a TradeBar
. The indicator will only be ready after you prime it with enough data.
public class EaseOfMovementValueAlgorithm : QCAlgorithm { private Symbol _symbol; private EaseOfMovementValue _emv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _emv = new EaseOfMovementValue(1, 10000); } public override void OnData(Slice data) { if (data.Bars.TryGetValue(_symbol, out var bar)) { _emv.Update(bar); } if (_emv.IsReady) { // The current value of _emv is represented by itself (_emv) // or _emv.Current.Value Plot("EaseOfMovementValue", "emv", _emv); } } }
class EaseOfMovementValueAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol self._emv = EaseOfMovementValue(1, 10000) def on_data(self, slice: Slice) -> None: bar = slice.bars.get(self._symbol) if bar: self._emv.update(bar) if self._emv.is_ready: # The current value of self._emv is represented by self._emv.current.value self.plot("EaseOfMovementValue", "emv", self._emv.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
register_indicator
method.
public class EaseOfMovementValueAlgorithm : QCAlgorithm { private Symbol _symbol; private EaseOfMovementValue _emv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _emv = new EaseOfMovementValue(1, 10000); RegisterIndicator(_symbol, _emv, Resolution.Daily); } public override void OnData(Slice data) { if (_emv.IsReady) { // The current value of _emv is represented by itself (_emv) // or _emv.Current.Value Plot("EaseOfMovementValue", "emv", _emv); } } }
class EaseOfMovementValueAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol self._emv = EaseOfMovementValue(1, 10000) self.register_indicator(self._symbol, self._emv, Resolution.DAILY) def on_data(self, slice: Slice) -> None: if self._emv.is_ready: # The current value of self._emv is represented by self._emv.current.value self.plot("EaseOfMovementValue", "emv", self._emv.current.value)
The following reference table describes the EaseOfMovementValue
constructor:
EaseOfMovementValue
This indicator computes the n-period Ease of Movement Value using the following: MID = (high_1 + low_1)/2 - (high_0 + low_0)/2 RATIO = (currentVolume/10000) / (high_1 - low_1) EMV = MID/RATIO _SMA = n-period of EMV Returns _SMA Source: https://www.investopedia.com/terms/e/easeofmovement.asp
get_enumerator()
Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()
Resets this indicator to its initial state
to_detailed_string()
Provides a more detailed string of this indicator in the form of {Name} - {Value}
str
update(time, value)
Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)
Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
consolidators
The data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
current
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
is_ready
Gets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
item
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
name
Gets a name for this indicator
Gets a name for this indicator
str
previous
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
samples
Gets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
warm_up_period
Required period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
int
window
A rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
EaseOfMovementValue
This indicator computes the n-period Ease of Movement Value using the following: MID = (high_1 + low_1)/2 - (high_0 + low_0)/2 RATIO = (currentVolume/10000) / (high_1 - low_1) EMV = MID/RATIO _SMA = n-period of EMV Returns _SMA Source: https://www.investopedia.com/terms/e/easeofmovement.asp
GetEnumerator()
Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()
Resets this indicator to its initial state
ToDetailedString()
Provides a more detailed string of this indicator in the form of {Name} - {Value}
String
Update(time, value)
Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (DateTime)
- value (decimal)
Boolean
Update(input)
Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
Boolean
Consolidators
The data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
Current
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
IsReady
Gets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
Name
Gets a name for this indicator
Gets a name for this indicator
string
Previous
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
Samples
Gets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
WarmUpPeriod
Required period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
Int32
Window
A rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow<IndicatorDataPoint>
[System.Int32]
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
Visualization
The following image shows plot values of selected properties of EaseOfMovementValue
using the plotly library.
Indicator History
To get the historical data of the EaseOfMovementValue
indicator, call the IndicatorHistory
self.indicator_history
method.
This method resets your indicator, makes a history request, and updates the indicator with the historical data.
Just like with regular history requests, the IndicatorHistory
indicator_history
method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time.
If you don't provide a resolution
argument, it defaults to match the resolution of the security subscription.
public class EaseOfMovementValueAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; var emv = EMV(_symbol, 1, 10000); var countIndicatorHistory = IndicatorHistory(emv, _symbol, 100, Resolution.Minute); var timeSpanIndicatorHistory = IndicatorHistory(emv, _symbol, TimeSpan.FromDays(10), Resolution.Minute); var timePeriodIndicatorHistory = IndicatorHistory(emv, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute); } }
class EaseOfMovementValueAlgorithm(QCAlgorithm): def initialize(self) -> None: self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol emv = self.emv(self._symbol, 1, 10000) count_indicator_history = self.indicator_history(emv, self._symbol, 100, Resolution.MINUTE) timedelta_indicator_history = self.indicator_history(emv, self._symbol, timedelta(days=10), Resolution.MINUTE) time_period_indicator_history = self.indicator_history(emv, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the IndicatorHistory
indicator_history
method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector
argument.
var indicatorHistory = IndicatorHistory(emv, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(emv, 100, Resolution.MINUTE, lambda bar: bar.high) indicator_history_df = indicator_history.data_frame
If you already have a list of Slice objects, you can pass them to the IndicatorHistory
indicator_history
method to avoid the internal history request.
var history = History(_symbol, 100, Resolution.Minute); var historyIndicatorHistory = IndicatorHistory(emv, history);