Supported Indicators

Mid Price

Introduction

This indicator computes the MidPrice (MIDPRICE). The MidPrice is calculated using the following formula: MIDPRICE = (Highest High + Lowest Low) / 2

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

Using MIDPRICE Indicator

To create an automatic indicators for MidPrice, call the MIDPRICE helper method from the QCAlgorithm class. The MIDPRICE method creates a MidPrice 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 MidPriceAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private MidPrice _midprice;

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

    public override void OnData(Slice data)
    {
        if (_midprice.IsReady)
        {
            // The current value of _midprice is represented by itself (_midprice)
            // or _midprice.Current.Value
            Plot("MidPrice", "midprice", _midprice);
            
        }
    }
}
class MidPriceAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.midprice = self.MIDPRICE(self.symbol, 20)

    def OnData(self, slice: Slice) -> None:
        if self.midprice.IsReady:
            # The current value of self.midprice is represented by self.midprice.Current.Value
            self.Plot("MidPrice", "midprice", self.midprice.Current.Value)
            

The following reference table describes the MIDPRICE method:

MIDPRICE()1/1

            MidPrice QuantConnect.Algorithm.QCAlgorithm.MIDPRICE (
    Symbol                                symbol,
    Int32                                 period,
    *Nullable<Resolution>           resolution,
    *Func<IBaseData, IBaseDataBar>  selector
   )
        

Creates a new MidPrice 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 MidPrice 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 or QuoteBar. The indicator will only be ready after you prime it with enough data.

public class MidPriceAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private MidPrice _midprice;

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

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _midprice.Update(bar);
        }
    
        if (_midprice.IsReady)
        {
            // The current value of _midprice is represented by itself (_midprice)
            // or _midprice.Current.Value
            Plot("MidPrice", "midprice", _midprice);
            
        }
    }
}
class MidPriceAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.midprice = MidPrice(20)

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.midprice.Update(bar)
                
        if self.midprice.IsReady:
            # The current value of self.midprice is represented by self.midprice.Current.Value
            self.Plot("MidPrice", "midprice", self.midprice.Current.Value)
            

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

public class MidPriceAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private MidPrice _midprice;

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

    public override void OnData(Slice data)
    {
        if (_midprice.IsReady)
        {
            // The current value of _midprice is represented by itself (_midprice)
            // or _midprice.Current.Value
            Plot("MidPrice", "midprice", _midprice);
            
        }
    }
}
class MidPriceAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.midprice = MidPrice(20)
        self.RegisterIndicator(self.symbol, self.midprice, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.midprice.IsReady:
            # The current value of self.midprice is represented by self.midprice.Current.Value
            self.Plot("MidPrice", "midprice", self.midprice.Current.Value)
            

The following reference table describes the MidPrice constructor:

MidPrice()1/2

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

Initializes a new instance of the MidPrice class using the specified name and period.

MidPrice()2/2

            MidPrice QuantConnect.Indicators.MidPrice (
    int  period
   )
        

Initializes a new instance of the MidPrice class using the specified period.

Visualization

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

MidPrice line plot.

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