Supported Indicators
Filtered Identity
Introduction
This indicator represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given if it passes a filter condition
To view the implementation of this indicator, see the LEAN GitHub repository.
Using FilteredIdentity Indicator
To create an automatic indicators for FilteredIdentity, call the FilteredIdentity helper method from the QCAlgorithm class. The FilteredIdentity method creates a FilteredIdentity 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 FilteredIdentityAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private FilteredIdentity _filteredidentity;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_filteredidentity = FilteredIdentity(_symbol, filter = lambda x: x.Close > x.Open);
}
public override void OnData(Slice data)
{
if (_filteredidentity.IsReady)
{
// The current value of _filteredidentity is represented by itself (_filteredidentity)
// or _filteredidentity.Current.Value
Plot("FilteredIdentity", "filteredidentity", _filteredidentity);
}
}
} class FilteredIdentityAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.filteredidentity = self.FilteredIdentity(self.symbol, filter = lambda x: x.Close > x.Open)
def OnData(self, slice: Slice) -> None:
if self.filteredidentity.IsReady:
# The current value of self.filteredidentity is represented by self.filteredidentity.Current.Value
self.Plot("FilteredIdentity", "filteredidentity", self.filteredidentity.Current.Value)
The following reference table describes the FilteredIdentity method:
FilteredIdentity()1/6
FilteredIdentity QuantConnect.Algorithm.QCAlgorithm.FilteredIdentity (
Symbol symbol,
*PyObject selector,
*PyObject filter,
*String fieldName
)
Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
FilteredIdentity()2/6
FilteredIdentity QuantConnect.Algorithm.QCAlgorithm.FilteredIdentity (
Symbol symbol,
Resolution resolution,
*PyObject selector,
*PyObject filter,
*String fieldName
)
Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
FilteredIdentity()3/6
FilteredIdentity QuantConnect.Algorithm.QCAlgorithm.FilteredIdentity (
Symbol symbol,
TimeSpan resolution,
*PyObject selector,
*PyObject filter,
*String fieldName
)
Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
FilteredIdentity()4/6
FilteredIdentity QuantConnect.Algorithm.QCAlgorithm.FilteredIdentity (
Symbol symbol,
*Func<IBaseData, IBaseDataBar> selector,
*Func<IBaseData, Boolean> filter,
*String fieldName
)
Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
FilteredIdentity()5/6
FilteredIdentity QuantConnect.Algorithm.QCAlgorithm.FilteredIdentity (
Symbol symbol,
Resolution resolution,
*Func<IBaseData, IBaseDataBar> selector,
*Func<IBaseData, Boolean> filter,
*String fieldName
)
Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
FilteredIdentity()6/6
FilteredIdentity QuantConnect.Algorithm.QCAlgorithm.FilteredIdentity (
Symbol symbol,
TimeSpan resolution,
*Func<IBaseData, IBaseDataBar> selector,
*Func<IBaseData, Boolean> filter,
*String fieldName
)
Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution.
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 FilteredIdentity 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 time/number pair, or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.
public class FilteredIdentityAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private FilteredIdentity _filteredidentity;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_filteredidentity = new FilteredIdentity("SPY", filter = lambda x: x.Close > x.Open);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGeValue(_symbol, out var bar))
{
_filteredidentity.Update(bar.EndTime, bar.Close);
}
if (_filteredidentity.IsReady)
{
// The current value of _filteredidentity is represented by itself (_filteredidentity)
// or _filteredidentity.Current.Value
Plot("FilteredIdentity", "filteredidentity", _filteredidentity);
}
}
} class FilteredIdentityAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.filteredidentity = FilteredIdentity("SPY", filter = lambda x: x.Close > x.Open)
def OnData(self, slice: Slice) -> None:
bar = slice.Bars.get(self.symbol)
if bar:
self.filteredidentity.Update(bar.EndTime, bar.Close)
if self.filteredidentity.IsReady:
# The current value of self.filteredidentity is represented by self.filteredidentity.Current.Value
self.Plot("FilteredIdentity", "filteredidentity", self.filteredidentity.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class FilteredIdentityAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private FilteredIdentity _filteredidentity;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_filteredidentity = new FilteredIdentity("SPY", filter = lambda x: x.Close > x.Open);
RegisterIndicator(_symbol, _filteredidentity, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_filteredidentity.IsReady)
{
// The current value of _filteredidentity is represented by itself (_filteredidentity)
// or _filteredidentity.Current.Value
Plot("FilteredIdentity", "filteredidentity", _filteredidentity);
}
}
} class FilteredIdentityAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.filteredidentity = FilteredIdentity("SPY", filter = lambda x: x.Close > x.Open)
self.RegisterIndicator(self.symbol, self.filteredidentity, Resolution.Daily)
def OnData(self, slice: Slice) -> None:
if self.filteredidentity.IsReady:
# The current value of self.filteredidentity is represented by self.filteredidentity.Current.Value
self.Plot("FilteredIdentity", "filteredidentity", self.filteredidentity.Current.Value)
The following reference table describes the FilteredIdentity constructor:
FilteredIdentity()1/1
FilteredIdentity QuantConnect.Indicators.FilteredIdentity (
string name,
Func filter
)
Initializes a new instance of the FilteredIdentity indicator with the specified name.
Visualization
The following image shows plot values of selected properties of FilteredIdentity using the plotly library.
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