Getting started

Installation and setup

Find and install the FacioQuo.Stock.Indicators NuGet package into your Project.

# dotnet CLI example
dotnet add package FacioQuo.Stock.Indicators

# package manager example
Install-Package FacioQuo.Stock.Indicators

See more help for installing packages.

Prerequisite data

Most indicators require that you provide historical aggregate OHLCV price bar data and additional configuration parameters.

Historical price data can be provided as a List, IReadOnlyList, or ICollection of the Bar class (see Historical bars section below); however, it can also be supplied as a generic custom TBar type if you prefer to use your own IBar derived model.

For configurable indicator parameters, default values are provided when there is an industry standard. You can, of course, override these and provide your own values.

Implementation pattern

The library supports three indicator styles, each use the same pattern:

using FacioQuo.Stock.Indicators;

[..]

// step 1: get price bar(s) from your source
// step 2: calculate indicator value(s)

The examples on this page depict the Batch (Series) style because it is the simplest starting point and covers most use cases. Buffer lists and stream hubs are first-class alternatives for incremental and streaming scenarios — see Indicator styles for a side-by-side comparison and guidance on choosing.

• Batch (Series) — convert a full price data collection at once. This is the standard style.
• Buffer lists — self-managed incrementing lists, for adding price bars one at a time.
• Stream hubs — subscription-based hub-observer pattern, for live/streaming data and chained, real-time architectures.

Example usage

using FacioQuo.Stock.Indicators;

[..]

// fetch historical price bars from your feed (your method)
IReadOnlyList<Bar> bars = GetBarsFromFeed("MSFT");

// calculate 20-period SMA
IReadOnlyList<SmaResult> results = bars
  .ToSma(20);

// use results as needed for your use case (example only)
foreach (SmaResult r in results)
{
    Console.WriteLine($"SMA on {r.Timestamp:d} was ${r.Sma:N4}");
}

SMA on 4/19/2018 was $255.0590
SMA on 4/20/2018 was $255.2015
SMA on 4/23/2018 was $255.6135
SMA on 4/24/2018 was $255.5105
SMA on 4/25/2018 was $255.6570
SMA on 4/26/2018 was $255.9705
..

See individual indicator pages for specific usage guidance.

More examples available:

• Example usage code on GitHub
• Demo site (a stock chart)

For a deeper guide

See the Guide for batch, buffer, and stream styles; chaining; custom indicators.

Historical bars

You must provide historical price bars to the library in the standard OHLCV IReadOnlyList<Bar> or a compatible List or ICollection format. It should have a consistent period frequency (day, hour, minute, etc). See using custom bar classes if you prefer to use your own IBar derived class.

property	type	description
Timestamp	DateTime	Close date
Open	decimal	Open price
High	decimal	High price
Low	decimal	Low price
Close	decimal	Close price
Volume	decimal	Volume

Where can I get historical bar data?

BYOD: bring your own data

You must get price bar data from your own provider. The GetBarsFromFeed() method shown in our examples represents your own acquisition of price data and is not part of this library.

There are many places to get financial market data. Check with your brokerage or other commercial sites. If you're looking for a free developer API, see our ongoing discussion on market data for ideas.

How much historical bar data do I need?

Each indicator will need different amounts of price bars to calculate. You can find guidance on the individual indicator documentation pages for minimum requirements; however, most use cases will require that you provide more than the minimum. As a general rule of thumb, you will be safe if you provide 750 points of historical bar data (e.g. 3 years of daily data).

🚩 IMPORTANT

Applying the minimum amount of bar history as possible is NOT a good way to optimize your system. Some indicators use a smoothing technique that converges to better precision over time. While you can calculate these with the minimum amount of bar data, the precision to two decimal points often requires 250 or more preceding historical records.

For example, if you are using daily data and want one year of precise EMA(250) data, you need to provide 3 years of historical price bars (1 extra year for the lookback period and 1 extra year for convergence); thereafter, you would discard or not use the first two years of results. Occasionally, even more is required for optimal precision.

See discussion on warmup and convergence for more information.

Using custom bar classes

If you would like to use your own custom MyCustomBar class, to avoid needing to transpose into the library Bar class, you only need to add the IBar interface.

using FacioQuo.Stock.Indicators;

[..]

public record MyCustomBar : IBar
{
    // required base properties
    public DateTime Timestamp { get; set; }
    public decimal Open { get; set; }
    public decimal High { get; set; }
    public decimal Low { get; set; }
    public decimal Close { get; set; }
    public decimal Volume { get; set; }

    // IReusable interface (enables chaining)
    [JsonIgnore]
    public double Value => (double)Close;

    // custom properties
    public int MyOtherProperty { get; set; }
}

// fetch historical price bars from your favorite feed
IReadOnlyList<MyCustomBar> myBars = GetBarsFromFeed("MSFT");

// example: get 20-period simple moving average
IReadOnlyList<SmaResult> results = myBars.ToSma(20);

🚩 Custom bars must have value based equality

When implementing your custom bar type, it must be either record class or implement IEquatable<T> to be compatible with the streaming hub internal de-duplication logic.

Chaining indicators

If you want to compute an indicator of indicators, such as an SMA of an ADX or an RSI of an OBV, use chaining to calculate an indicator from prior results. Example:

// fetch historical price bars from your feed (your method)
IReadOnlyList<Bar> bars = GetBarsFromFeed("SPY");

// calculate RSI of OBV
IReadOnlyList<RsiResult> results
  = bars
    .ToObv()
    .ToRsi(14);

See Chaining indicators for more.

Utilities

See Utilities and helper functions for additional tools.