Supported Indicators
Mid Price
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("SPY", 20); } public override void OnData(Slice data) { if (_midprice.IsReady) { Plot("MidPrice", "midprice", _midprice); } } }
class MidPriceAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.midprice = self.MIDPRICE("SPY", 20) def OnData(self, slice: Slice) -> None: if self.midprice.IsReady: 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.TryGeValue(_symbol, out var bar)) { _midprice.Update(bar); } if (_midprice.IsReady) { 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 = data.Bars.get(self.symbol) if bar: self.midprice.Update(bar) if self.midprice.IsReady: 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) { 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: 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 MidPric
class using the specified name and period.
MidPrice()2/2
MidPrice QuantConnect.Indicators.MidPrice (
int
period
)
Initializes a new instance of the MidPric
class using the specified period.
Visualization
The following image shows plot values of selected properties of MidPrice
using the plotly library.
