Supported Indicators
Hilbert Transform
Introduction
This indicator computes the Hilbert Transform Indicator by John Ehlers. By using present and prior price differences, and some feedback, price values are split into their complex number components of real (inPhase) and imaginary (quadrature) parts.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using HT Indicator
To create an automatic indicators for HilbertTransform, call the HT helper method from the QCAlgorithm class. The HT method creates a HilbertTransform 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 Initializeinitialize method.
public class HilbertTransformAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private HilbertTransform _ht;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_ht = HT(_symbol, 7, 0.635, 0.338);
}
public override void OnData(Slice data)
{
if (_ht.IsReady)
{
// The current value of _ht is represented by itself (_ht)
// or _ht.Current.Value
Plot("HilbertTransform", "ht", _ht);
// Plot all properties of ht
Plot("HilbertTransform", "inphase", _ht.InPhase);
Plot("HilbertTransform", "quadrature", _ht.Quadrature);
}
}
} class HilbertTransformAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._ht = self.ht(self._symbol, 7, 0.635, 0.338)
def on_data(self, slice: Slice) -> None:
if self._ht.is_ready:
# The current value of self._ht is represented by self._ht.current.value
self.plot("HilbertTransform", "ht", self._ht.current.value)
# Plot all attributes of self._ht
self.plot("HilbertTransform", "in_phase", self._ht.in_phase.current.value)
self.plot("HilbertTransform", "quadrature", self._ht.quadrature.current.value)
The following reference table describes the HT method:
ht(symbol, length, in_phase_multiplication_factor, quadrature_multiplication_factor, resolution=None, selector=None)[source]Creates a new Hilbert Transform indicator
- symbol (Symbol) — The symbol whose Hilbert transform we want
- length (int) — The length of the FIR filter used in the calculation of the Hilbert Transform. This parameter determines the number of filter coefficients in the FIR filter.
- in_phase_multiplication_factor (float) — The multiplication factor used in the calculation of the in-phase component of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
- quadrature_multiplication_factor (float) — The multiplication factor used in the calculation of the quadrature component of the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
HT(symbol, length, inPhaseMultiplicationFactor, quadratureMultiplicationFactor, resolution=None, selector=None)[source]Creates a new Hilbert Transform indicator
- symbol (Symbol) — The symbol whose Hilbert transform we want
- length (Int32) — The length of the FIR filter used in the calculation of the Hilbert Transform. This parameter determines the number of filter coefficients in the FIR filter.
- inPhaseMultiplicationFactor (decimal) — The multiplication factor used in the calculation of the in-phase component of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
- quadratureMultiplicationFactor (decimal) — The multiplication factor used in the calculation of the quadrature component of the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, Decimal>, optional) — x.Value)
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 HilbertTransform 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 Updateupdate method with time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.
public class HilbertTransformAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private HilbertTransform _ht;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_ht = new HilbertTransform(7, 0.635, 0.338);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_ht.Update(bar.EndTime, bar.Close);
}
if (_ht.IsReady)
{
// The current value of _ht is represented by itself (_ht)
// or _ht.Current.Value
Plot("HilbertTransform", "ht", _ht);
// Plot all properties of ht
Plot("HilbertTransform", "inphase", _ht.InPhase);
Plot("HilbertTransform", "quadrature", _ht.Quadrature);
}
}
} class HilbertTransformAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._ht = HilbertTransform(7, 0.635, 0.338)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._ht.update(bar.EndTime, bar.Close)
if self._ht.is_ready:
# The current value of self._ht is represented by self._ht.current.value
self.plot("HilbertTransform", "ht", self._ht.current.value)
# Plot all attributes of self._ht
self.plot("HilbertTransform", "in_phase", self._ht.in_phase.current.value)
self.plot("HilbertTransform", "quadrature", self._ht.quadrature.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class HilbertTransformAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private HilbertTransform _ht;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_ht = new HilbertTransform(7, 0.635, 0.338);
RegisterIndicator(_symbol, _ht, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_ht.IsReady)
{
// The current value of _ht is represented by itself (_ht)
// or _ht.Current.Value
Plot("HilbertTransform", "ht", _ht);
// Plot all properties of ht
Plot("HilbertTransform", "inphase", _ht.InPhase);
Plot("HilbertTransform", "quadrature", _ht.Quadrature);
}
}
} class HilbertTransformAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._ht = HilbertTransform(7, 0.635, 0.338)
self.register_indicator(self._symbol, self._ht, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._ht.is_ready:
# The current value of self._ht is represented by self._ht.current.value
self.plot("HilbertTransform", "ht", self._ht.current.value)
# Plot all attributes of self._ht
self.plot("HilbertTransform", "in_phase", self._ht.in_phase.current.value)
self.plot("HilbertTransform", "quadrature", self._ht.quadrature.current.value)
The following reference table describes the HilbertTransform constructor:
HilbertTransform
This indicator computes the Hilbert Transform Indicator by John Ehlers. By using present and prior price differences, and some feedback, price values are split into their complex number components of real (inPhase) and imaginary (quadrature) parts.
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
consolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
currentGets 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
in_phaseReal (inPhase) part of complex number component of price values
Real (inPhase) part of complex number component of price values
IndicatorBase[IndicatorDataPoint]
is_readyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
itemIndexes 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
nameGets a name for this indicator
Gets a name for this indicator
str
previousGets 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
quadratureImaginary (quadrature) part of complex number component of price values
Imaginary (quadrature) part of complex number component of price values
IndicatorBase[IndicatorDataPoint]
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
warm_up_periodRequired 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
windowA 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]
HilbertTransform
This indicator computes the Hilbert Transform Indicator by John Ehlers. By using present and prior price differences, and some feedback, price values are split into their complex number components of real (inPhase) and imaginary (quadrature) parts.
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
ConsolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
CurrentGets 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
InPhaseReal (inPhase) part of complex number component of price values
Real (inPhase) part of complex number component of price values
IndicatorBase<IndicatorDataPoint>
IsReadyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
NameGets a name for this indicator
Gets a name for this indicator
string
PreviousGets 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
QuadratureImaginary (quadrature) part of complex number component of price values
Imaginary (quadrature) part of complex number component of price values
IndicatorBase<IndicatorDataPoint>
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
WarmUpPeriodRequired 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
WindowA 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 HilbertTransform using the plotly library.
Indicator History
To get the historical data of the HilbertTransform indicator, call the IndicatorHistoryself.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 IndicatorHistoryindicator_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 HilbertTransformAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var ht = HT(_symbol, 7, 0.635, 0.338);
var countIndicatorHistory = IndicatorHistory(ht, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(ht, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(ht, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class HilbertTransformAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
ht = self.ht(self._symbol, 7, 0.635, 0.338)
count_indicator_history = self.indicator_history(ht, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(ht, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(ht, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the IndicatorHistoryindicator_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(ht, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(ht, 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 IndicatorHistoryindicator_history method to avoid the internal history request.
var history = History(_symbol, 100, Resolution.Minute); var historyIndicatorHistory = IndicatorHistory(ht, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var inphase = indicatorHistory.Select(x => ((dynamic)x).InPhase).ToList(); var quadrature = indicatorHistory.Select(x => ((dynamic)x).Quadrature).ToList(); // Alternative way // var inphase = indicatorHistory.Select(x => x["inphase"]).ToList(); // var quadrature = indicatorHistory.Select(x => x["quadrature"]).ToList();
in_phase = indicator_history_df["in_phase"] quadrature = indicator_history_df["quadrature"] # Alternative way # in_phase = indicator_history_df.in_phase # quadrature = indicator_history_df.quadrature
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