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Hey! I'm migrating from Quantopian to QuantConnect due to some limitations over there. I haven't used C# is years (5-10?) and even at that time I wasn't very deep into it.
Over the last few months I've got a pretty good handle on Python but figured I'd give C# a go on this platform. With Python I could just use TALib to calculate the indicators for me but now I'd like to work them out in C#. I'm a little stuck as to how to go about making a function to calc the DI+ and DI- . A little help would be appreciated, with some examples I should be able to throw something together. Thanks!
Alexandre Catarino
Please checkout the docs under Indicators section. There you can find a reference table with all supported indicators (we try to cover all the mainstream indicators). We have ADX in our library. We can use the ADX method to create a self-updating ADX with the desired resolution. Example:
private AverageDirectionalIndex _adx; // In Initialize: _adx = ADX("SPY", 14, Resolution.Daily); // In OnData: var diplus = _adx.PositiveDirectionalIndex; var diminus = _adx.NegativeDirectionalIndex;Andy Visser
Perfect! I apologize, I wasn't aware that I could pull these numbers from the indicator, thanks a bunch!
Alexandre Catarino
Please checkout the attached project for a working example.
The ADX was set as:
_adx = ADX("SPY", 14*8, Resolution.Hour);When there is no open positions, we buy if DI+ is greater than DI- (with a tolerance to avoid bouncing) and sell otherwise. At the end of day (market is closed), we liquidate the position. That means a MarketOnOpenOrder will be issued.
Andy Visser
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