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Creating custom indicators ​

At some point in your journey, you may want to create your own custom indicators. The following guide shows you how to create custom indicators that work seamlessly with this library.

🚩 Series (batch) style only

Custom indicators are currently supported for the Batch (Series) style only. Creating custom Buffer list or Stream hub indicators is not yet supported as a first-class extension point; support is planned for a future release (buffer lists: #2096, stream hubs: #2097). To integrate custom logic with streaming data today, see Custom observers.

✨ Working example code is available in the CustomIndicatorsLibrary project.

Creating a custom indicator ​

Step 1: Create the result class ​

Create your results class by implementing the IReusable interface or inheriting from existing result patterns. This allows your custom indicator to be chainable with other indicators.

csharp
using FacioQuo.Stock.Indicators;

namespace Custom.Indicators;

// Custom results class
public record AtrWmaResult : IReusable
{
    public DateTime Timestamp { get; init; }
    public double? AtrWma { get; init; }
    
    // Identify value to propagate in chains
    double IReusable.Value => AtrWma.Null2NaN();
}

Step 2: Create your custom indicator ​

Create your custom algorithm following the same patterns as the main library.

csharp
using FacioQuo.Stock.Indicators;

namespace Custom.Indicators;

public static class CustomIndicators
{
    /// <summary>
    /// ATR-weighted moving average (custom indicator example)
    /// </summary>
    /// <param name="bars">Historical price bars</param>
    /// <param name="lookbackPeriods">Lookback period</param>
    /// <returns>Collection of AtrWmaResult</returns>
    public static IReadOnlyList<AtrWmaResult> ToAtrWma(
        this IReadOnlyList<IBar> bars,
        int lookbackPeriods)
    {
        // Validate parameters
        ArgumentNullException.ThrowIfNull(bars);
        
        if (lookbackPeriods <= 0)
        {
            throw new ArgumentOutOfRangeException(
                nameof(lookbackPeriods),
                "Lookback periods must be greater than 0.");
        }

        // sort price bars (optional)
        List<IBar> barsList = bars
            .OrderBy(x => x.Timestamp)
            .ToList();

        // initialize results
        List<AtrWmaResult> results = new(barsList.Count);

        // get pre-requisite ATR values
        List<AtrResult> atrResults = barsList
            .ToAtr(lookbackPeriods)
            .ToList();

        // roll through source values
        for (int i = 0; i < barsList.Count; i++)
        {
            IBar b = barsList[i];
            double atrWma = double.NaN;

            // only do calculations after uncalculable periods
            if (i >= lookbackPeriods - 1)
            {
                double sumWma = 0;
                double sumAtr = 0;

                for (int p = i - lookbackPeriods + 1; p <= i; p++)
                {
                    double close = (double)barsList[p].Close;
                    double atr = atrResults[p].Atr ?? double.NaN;

                    sumWma += atr * close;
                    sumAtr += atr;
                }

                atrWma = sumWma / sumAtr;
            }

            // add record to results
            results.Add(new AtrWmaResult(
                Timestamp: b.Timestamp,
                AtrWma: atrWma.NaN2Null()));
        }

        return results;
    }
}

Step 3: Use your custom indicator ​

Use your custom indicator just like the built-in indicators:

csharp
using FacioQuo.Stock.Indicators;
using Custom.Indicators;

// Get historical price bars
IReadOnlyList<Bar> bars = GetBarsFromFeed("MSFT");

// Calculate custom indicator
IReadOnlyList<AtrWmaResult> results = bars.ToAtrWma(10);

// Use results
foreach (AtrWmaResult r in results)
{
    Console.WriteLine(
        $"ATR WMA on {r.Timestamp:d} was {r.AtrWma:N4}");
}

Advanced patterns ​

Chainable indicators ​

By implementing IReusable, your custom indicator can be chained with other indicators:

csharp
// Chain your custom indicator with RSI
var rsiOfAtrWma = bars
    .ToAtrWma(10)
    .ToRsi(14);

Using multiple indicator styles ​

You can also implement your custom indicator in other styles:

  • Buffer list style - For incremental processing
  • Stream hub style - For real-time data feeds

See the Guide for more information about different indicator styles.

Best practices ​

When creating custom indicators:

  1. Validate inputs - Always validate parameters and bars
  2. Handle edge cases - Check for insufficient data, null values
  3. Follow naming conventions - Use To{IndicatorName} pattern
  4. Implement IReusable - Enable chaining with other indicators
  5. Add XML documentation - Document parameters and return values
  6. Test thoroughly - Verify calculations against reference data

Example projects ​

For complete working examples, see:

See also ​