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.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using OBV Indicator
To create an automatic indicators for OnBalanceVolume
, call the OBV
helper method from the QCAlgorithm
class. The OBV
method creates a OnBalanceVolume
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 OnBalanceVolumeAlgorithm : QCAlgorithm { private Symbol _symbol; private OnBalanceVolume _obv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _obv = OBV(_symbol); } public override void OnData(Slice data) { if (_obv.IsReady) { // The current value of _obv is represented by itself (_obv) // or _obv.Current.Value Plot("OnBalanceVolume", "obv", _obv); } } }
class OnBalanceVolumeAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.obv = self.OBV(self.symbol) def OnData(self, slice: Slice) -> None: if self.obv.IsReady: # The current value of self.obv is represented by self.obv.Current.Value self.Plot("OnBalanceVolume", "obv", self.obv.Current.Value)
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.
For more information about plotting indicators, see Plotting 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.
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 OnBalanceVolumeAlgorithm : QCAlgorithm { private Symbol _symbol; private OnBalanceVolume _obv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _obv = new OnBalanceVolume(); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _obv.Update(bar); } if (_obv.IsReady) { // The current value of _obv is represented by itself (_obv) // or _obv.Current.Value Plot("OnBalanceVolume", "obv", _obv); } } }
class OnBalanceVolumeAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.obv = OnBalanceVolume() def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.obv.Update(bar) if self.obv.IsReady: # The current value of self.obv is represented by self.obv.Current.Value self.Plot("OnBalanceVolume", "obv", self.obv.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class OnBalanceVolumeAlgorithm : QCAlgorithm { private Symbol _symbol; private OnBalanceVolume _obv; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _obv = new OnBalanceVolume(); RegisterIndicator(_symbol, _obv, Resolution.Daily); } public override void OnData(Slice data) { if (_obv.IsReady) { // The current value of _obv is represented by itself (_obv) // or _obv.Current.Value Plot("OnBalanceVolume", "obv", _obv); } } }
class OnBalanceVolumeAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.obv = OnBalanceVolume() self.RegisterIndicator(self.symbol, self.obv, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.obv.IsReady: # The current value of self.obv is represented by self.obv.Current.Value self.Plot("OnBalanceVolume", "obv", self.obv.Current.Value)
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.
Visualization
The following image shows plot values of selected properties of OnBalanceVolume
using the plotly library.
