Commodity Channel Index (CCI)

Created by Donald Lambert, the Commodity Channel Index is an oscillator depicting deviation from typical price range, often used to identify cyclical trends. [Discuss] 💬

// C# usage syntax
IReadOnlyList<CciResult> results =
  bars.ToCci(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) in the moving average. Must be greater than 0. Default is 20.

Historical price bars requirements

You must have at least N+1 periods of bars to cover the warmup periods.

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

IReadOnlyList<CciResult>

• 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-1 periods will have null values since there's not enough data to calculate.

CciResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Cci	double	Commodity Channel Index

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

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

// example
var results = bars
    .ToCci(..)
    .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:

CciList cciList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  cciList.Add(bar);
}

// based on `ICollection<CciResult>`
IReadOnlyList<CciResult> results = cciList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
CciHub observer = barHub.ToCciHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<CciResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.