stock indicatorsfor .NET

Average True Range (ATR) / True Range (TR) ​

Created by J. Welles Wilder, True Range and Average True Range are measures of volatility that capture gaps and limits between periods. See True Range (TR) for dedicated TR documentation, including streaming support. [Discuss] 💬

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csharp
// C# usage syntax
IReadOnlyList<AtrResult> results =
  bars.ToAtr(lookbackPeriods);

// ATR with custom moving average
IReadOnlyList<SmmaResult> results =
  bars.ToTr().ToSmma(lookbackPeriods);

// raw True Range (TR) only
IReadOnlyList<TrResult> results =
  bar.ToTr();

Parameters ​

paramdescription
lookbackPeriods
int		Number of periods (N) to consider. Must be greater than 1. Default is 14.

Historical price bars requirements ​

You must have at least N+100 periods of bars to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for better precision.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response ​

csharp
IReadOnlyList<AtrResult>
  • This method returns a time series of all available indicator values for the bars provided.
  • It always returns the same number of elements as there are in the historical price bars.
  • It does not return a single incremental indicator value.
  • The first N periods will have null values for ATR since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

AtrResult ​

propertydescription
Timestamp
DateTime		Date from evaluated TBar
Tr
double?		True Range for current period
Atr
double?		Average True Range
Atrp
double?		Average True Range Percent is (ATR/Price)*100. This normalizes so it can be compared to other stocks.

Utilities ​

See Utilities and helpers for more information.

Chaining ​

Results can be further processed on Atrp with additional chain-enabled indicators.

csharp
// example
var results = bars
    .ToAtr(..)
    .ToSlope(..);

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

See Chaining indicators for more.

Streaming ​

Use the buffer-style List<T> when you need incremental calculations without a hub:

csharp
AtrList atrList = new(lookbackPeriods);

// call from your WebSocket or SSE message handler
void OnBarReceived(IBar bar) => atrList.Add(bar);

// based on `ICollection<AtrResult>`; fills as the handler runs
IReadOnlyList<AtrResult> results = atrList;

Subscribe to a BarHub for advanced streaming scenarios:

csharp
BarHub barHub = new();
AtrHub observer = barHub.ToAtrHub(lookbackPeriods);

// call from your WebSocket or SSE message handler
void OnBarReceived(IBar bar) => barHub.Add(bar);

// results fill as the handler runs
IReadOnlyList<AtrResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.