Supported Indicators

On Balance Volume

Introduction

This indicator computes the On Balance Volume (OBV). The On Balance Volume is calculated by determining the price of the current close price and previous close price. If the current close price is equivalent to the previous price the OBV remains the same, If the current close price is higher the volume of that day is added to the OBV, while a lower close price will result in negative value.

Create Manual Indicators

You can manually create a OnBalanceVolume indicator, so it doesn’t automatically update. Manual indicators let you update their values with any data you choose. The following reference table describes the OnBalanceVolume constructor.

OnBalanceVolume()1/2

            OnBalanceVolume QuantConnect.Indicators.OnBalanceVolume (
   )
        

Initializes a new instance of the Indicator class using the specified name.

OnBalanceVolume()2/2

            OnBalanceVolume QuantConnect.Indicators.OnBalanceVolume (
     string  name
   )
        

Initializes a new instance of the Indicator class using the specified name.

Update Manual Indicators

You can update the indicator automatically or manually.

Automatic Update

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


private OnBalanceVolume _obv;

// In Initialize()
_obv = new OnBalanceVolume(name);
_obv.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _obv, Resolution.Daily);

// In IndicatorUpdateMethod()
if (_obv.IsReady)
{
    var indicatorValue = _obv.Current.Value;
}
    
# In Initialize()
self.obv = OnBalanceVolume(name)
self.obv.Updated += self.IndicatorUpdateMethod

self.RegisterIndicator(symbol, self.obv, Resolution.Daily)

# In IndicatorUpdateMethod()
if self.obv.IsReady:
    indicator_value = self.obv.Current.Value

To customize the data that automatically updates the indicator, see Custom Indicator Periods and Custom Indicator Values.

Manual Update

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.

    
private OnBalanceVolume _obv;
private Symbol symbol;

// In Initialize()
_obv = new OnBalanceVolume();
symbol = AddEquity("SPY").Symbol;

// In OnData()
if (data.Bars.ContainsKey(_symbol))
{
    _obv.Update(data.Bars[symbol]);
}
if (_obv.IsReady)
{
    var indicatorValue = _obv.Current.Value;
}
    
# In Initialize()
self.obv = OnBalanceVolume()
self.symbol = self.AddEquity("SPY").Symbol

# In OnData()
if data.Bars.ContainsKey(self.symbol):
    self.obv.Update(data.Bars[self.symbol])
if self.obv.IsReady:
    indicator_value = self.obv.Current.Value

Create Automatic Indicators

The OBV method creates an OnBalanceVolume indicator, sets up a consolidator to update the indicator, and then returns the indicator so you can use it in your algorithm.

The following reference table describes the OBV method:

OBV()1/1

            OnBalanceVolume QuantConnect.Algorithm.QCAlgorithm.OBV (
    Symbol                            symbol,
    *Nullable<Resolution>       resolution,
    *Func<IBaseData, TradeBar>  selector
   )
        

Creates a new On Balance Volume indicator. This will compute the cumulative total volume based on whether the close price being higher or lower than the previous period. 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.

Get Indicator Values

To get the value of the indicator, use its Current.Value attribute.

private OnBalanceVolume _obv;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_obv = OBV(symbol);

// In OnData()
if (_obv.IsReady)
{
    var current = _obv.Current.Value;
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.obv = self.OBV(symbol)

# In OnData()
if self.obv.IsReady:
    current = self.obv.Current.Value

Visualization

To plot indicator values, in the OnData event handler, call the Plot method.

private OnBalanceVolume _obv;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_obv = OBV(symbol);

// In OnData()
if (_obv.IsReady)
{
    Plot("My Indicators", "onbalancevolume", _obv.Current);
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.obv = self.OBV(symbol)

# In OnData()
if self.obv.IsReady:
    self.Plot("My Indicators", "onbalancevolume", self.obv.Current)

The following image shows the plot values in a matplotlib plot. To load algorithm plot data into the Research Environment, see Charts.

For more information about plotting indicators, see Plotting Indicators.

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