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.TryGetValue(_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.

OnBalanceVolume line plot.

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