Supported Indicators
Money Flow Index
Introduction
The Money Flow Index (MFI) is an oscillator that uses both price and volume to measure buying and selling pressure Typical Price = (High + Low + Close)/3 Money Flow = Typical Price x Volume Positive Money Flow = Sum of the money flows of all days where the typical price is greater than the previous day's typical price Negative Money Flow = Sum of the money flows of all days where the typical price is less than the previous day's typical price Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow) Money Flow Index = 100 x Positive Money Flow / ( Positive Money Flow + Negative Money Flow)
Using MFI Indicator
To create an automatic indicators for MoneyFlowIndex, call the MFI helper method from the QCAlgorithm class. The MFI method creates a MoneyFlowIndex 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 MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MoneyFlowIndex _mfi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_mfi = MFI("SPY", 20);
}
public override void OnData(Slice data)
{
if (_mfi.IsReady)
{
Plot("MoneyFlowIndex", "mfi", _mfi);
Plot("MoneyFlowIndex", "positivemoneyflow", _mfi.PositiveMoneyFlow);
Plot("MoneyFlowIndex", "negativemoneyflow", _mfi.NegativeMoneyFlow);
Plot("MoneyFlowIndex", "previoustypicalprice", _mfi.PreviousTypicalPrice);
}
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.mfi = self.MFI("SPY", 20)
def OnData(self, slice: Slice) -> None:
if self.mfi.IsReady:
self.Plot("MoneyFlowIndex", "mfi", self.mfi.Current.Value)
self.Plot("MoneyFlowIndex", "positivemoneyflow", self.mfi.PositiveMoneyFlow.Current.Value)
self.Plot("MoneyFlowIndex", "negativemoneyflow", self.mfi.NegativeMoneyFlow.Current.Value)
self.Plot("MoneyFlowIndex", "previoustypicalprice", self.mfi.PreviousTypicalPrice.Current.Value)
The following reference table describes the MFI method:
MFI()1/1
MoneyFlowIndex QuantConnect.Algorithm.QCAlgorithm.MFI (
Symbol symbol,
Int32 period,
*Nullable<Resolution> resolution,
*Func<IBaseData, TradeBar> selector
)
Creates a new MoneyFlowIndex indicator. The indicator will be automatically updated on the given 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 MoneyFlowIndex 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. The indicator will only be ready after you prime it with enough data.
public class MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MoneyFlowIndex _mfi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_mfi = new MoneyFlowIndex(20);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGeValue(_symbol, out var bar))
{
_mfi.Update(bar);
}
if (_mfi.IsReady)
{
Plot("MoneyFlowIndex", "mfi", _mfi);
Plot("MoneyFlowIndex", "positivemoneyflow", _mfi.PositiveMoneyFlow);
Plot("MoneyFlowIndex", "negativemoneyflow", _mfi.NegativeMoneyFlow);
Plot("MoneyFlowIndex", "previoustypicalprice", _mfi.PreviousTypicalPrice);
}
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.mfi = MoneyFlowIndex(20)
def OnData(self, slice: Slice) -> None:
bar = data.Bars.get(self.symbol)
if bar:
self.mfi.Update(bar)
if self.mfi.IsReady:
self.Plot("MoneyFlowIndex", "mfi", self.mfi.Current.Value)
self.Plot("MoneyFlowIndex", "positivemoneyflow", self.mfi.PositiveMoneyFlow.Current.Value)
self.Plot("MoneyFlowIndex", "negativemoneyflow", self.mfi.NegativeMoneyFlow.Current.Value)
self.Plot("MoneyFlowIndex", "previoustypicalprice", self.mfi.PreviousTypicalPrice.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MoneyFlowIndex _mfi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_mfi = new MoneyFlowIndex(20);
RegisterIndicator(_symbol, _mfi, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_mfi.IsReady)
{
Plot("MoneyFlowIndex", "mfi", _mfi);
Plot("MoneyFlowIndex", "positivemoneyflow", _mfi.PositiveMoneyFlow);
Plot("MoneyFlowIndex", "negativemoneyflow", _mfi.NegativeMoneyFlow);
Plot("MoneyFlowIndex", "previoustypicalprice", _mfi.PreviousTypicalPrice);
}
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.mfi = MoneyFlowIndex(20)
self.RegisterIndicator(self.symbol, self.mfi, Resolution.Daily)
def OnData(self, slice: Slice) -> None:
if self.mfi.IsReady:
self.Plot("MoneyFlowIndex", "mfi", self.mfi.Current.Value)
self.Plot("MoneyFlowIndex", "positivemoneyflow", self.mfi.PositiveMoneyFlow.Current.Value)
self.Plot("MoneyFlowIndex", "negativemoneyflow", self.mfi.NegativeMoneyFlow.Current.Value)
self.Plot("MoneyFlowIndex", "previoustypicalprice", self.mfi.PreviousTypicalPrice.Current.Value)
The following reference table describes the MoneyFlowIndex constructor:
MoneyFlowIndex()1/2
MoneyFlowIndex QuantConnect.Indicators.MoneyFlowIndex (
int period
)
Initializes a new instance of the MoneyFlowIndex class.
MoneyFlowIndex()2/2
MoneyFlowIndex QuantConnect.Indicators.MoneyFlowIndex (
string name,
int period
)
Initializes a new instance of the MoneyFlowIndex class.
Visualization
The following image shows plot values of selected properties of MoneyFlowIndex using the plotly library.
You can also see our Videos. You can also get in touch with us via Discord.
Did you find this page helpful?
