Implements Covariance as Lean Indicator

Author: yyxxddjj

Indicators/Covariance.cs

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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data.Market;
+using MathNet.Numerics.Statistics;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the Covariance of two assets using the given Look-Back period.
+    /// The Covariance of two assets is a measure of their co-movement.
+    /// </summary>
+    public class Covariance : DualSymbolIndicator<IBaseDataBar>
+    {
+        /// <summary>
+        /// RollingWindow of returns of the target symbol in the given period
+        /// </summary>
+        private readonly RollingWindow<double> _targetReturns;
+
+        /// <summary>
+        /// RollingWindow of returns of the reference symbol in the given period
+        /// </summary>
+        private readonly RollingWindow<double> _referenceReturns;
+
+        /// <summary>
+        /// Gets a flag indicating when the indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _targetReturns.IsReady && _referenceReturns.IsReady;
+
+        /// <summary>
+        /// Creates a new Covariance indicator with the specified name, target, reference,
+        /// and period values
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        public Covariance(string name, Symbol targetSymbol, Symbol referenceSymbol, int period)
+            : base(name, targetSymbol, referenceSymbol, 2)
+        {
+            // Assert the period is greater than two, otherwise the covariance can not be computed
+            if (period < 2)
+            {
+                throw new ArgumentException($"Period parameter for Covariance indicator must be greater than 2 but was {period}.");
+            }
+
+            _targetReturns = new RollingWindow<double>(period);
+            _referenceReturns = new RollingWindow<double>(period);
+            WarmUpPeriod += (period - 2) + 1;
+        }
+
+        /// <summary>
+        /// Creates a new Covariance indicator with the specified target, reference,
+        /// and period values
+        /// </summary>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        public Covariance(Symbol targetSymbol, Symbol referenceSymbol, int period)
+            : this($"COV({period})", targetSymbol, referenceSymbol, period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new Covariance indicator with the specified name, period, target and
+        /// reference values
+        /// </summary>
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of this indicator</param>
+        /// <param name="targetSymbol">The target symbol of this indicator</param>
+        /// <param name="referenceSymbol">The reference symbol of this indicator</param>
+        /// <remarks>Constructor overload for backward compatibility.</remarks>
+        public Covariance(string name, int period, Symbol targetSymbol, Symbol referenceSymbol)
+            : this(name, targetSymbol, referenceSymbol, period)
+        {
+        }
+
+        /// <summary>
+        /// Computes the returns with the new given data point and the last given data point
+        /// </summary>
+        /// <param name="rollingWindow">The collection of data points from which we want
+        /// to compute the return</param>
+        /// <returns>The returns with the new given data point</returns>
+        private static double GetNewReturn(IReadOnlyWindow<IBaseDataBar> rollingWindow)
+        {
+            return (double)(rollingWindow[0].Close.SafeDivision(rollingWindow[1].Close) - 1);
+        }
+
+        /// <summary>
+        /// Computes the covariance value of the target in relation with the reference
+        /// using the target and reference returns
+        /// </summary>
+        protected override decimal ComputeIndicator()
+        {
+            if (TargetDataPoints.IsReady)
+            {
+                _targetReturns.Add(GetNewReturn(TargetDataPoints));
+            }
+
+            if (ReferenceDataPoints.IsReady)
+            {
+                _referenceReturns.Add(GetNewReturn(ReferenceDataPoints));
+            }
+
+            var covarianceComputed = _targetReturns.Covariance(_referenceReturns);
+
+            // Avoid division with NaN or by zero
+            return (decimal)(!covarianceComputed.IsNaNOrZero() ? covarianceComputed : 0);
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _targetReturns.Reset();
+            _referenceReturns.Reset();
+            base.Reset();
+        }
+    }
+}