Supported Indicators
Money Flow Index
Introduction
The Money Flow Index (MFI) is an oscillator that uses both price and volume to measure buying and selling pressure Typical Price = (High + Low + Close)/3 Money Flow = Typical Price x Volume Positive Money Flow = Sum of the money flows of all days where the typical price is greater than the previous day's typical price Negative Money Flow = Sum of the money flows of all days where the typical price is less than the previous day's typical price Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow) Money Flow Index = 100 x Positive Money Flow / ( Positive Money Flow + Negative Money Flow)
To view the implementation of this indicator, see the LEAN GitHub repository.
Using MFI Indicator
To create an automatic indicators for MoneyFlowIndex, call the MFI helper method from the QCAlgorithm class. The MFI method creates a MoneyFlowIndex object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.
public class MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MoneyFlowIndex _mfi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_mfi = MFI(_symbol, 20);
}
public override void OnData(Slice data)
{
if (_mfi.IsReady)
{
// The current value of _mfi is represented by itself (_mfi)
// or _mfi.Current.Value
Plot("MoneyFlowIndex", "mfi", _mfi);
// Plot all properties of mfi
Plot("MoneyFlowIndex", "positivemoneyflow", _mfi.PositiveMoneyFlow);
Plot("MoneyFlowIndex", "negativemoneyflow", _mfi.NegativeMoneyFlow);
Plot("MoneyFlowIndex", "previoustypicalprice", _mfi.PreviousTypicalPrice);
}
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._mfi = self.mfi(self._symbol, 20)
def on_data(self, slice: Slice) -> None:
if self._mfi.is_ready:
# The current value of self._mfi is represented by self._mfi.current.value
self.plot("MoneyFlowIndex", "mfi", self._mfi.current.value)
# Plot all attributes of self._mfi
self.plot("MoneyFlowIndex", "positive_money_flow", self._mfi.positive_money_flow.current.value)
self.plot("MoneyFlowIndex", "negative_money_flow", self._mfi.negative_money_flow.current.value)
self.plot("MoneyFlowIndex", "previous_typical_price", self._mfi.previous_typical_price)
The following reference table describes the MFI method:
mfi(symbol, period, resolution=None, selector=None)[source]Creates a new MoneyFlowIndex indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose MFI we want
- period (int) — The period over which to compute the MFI
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The MoneyFlowIndex indicator for the requested symbol over the specified period
MFI(symbol, period, resolution=None, selector=None)[source]Creates a new MoneyFlowIndex indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose MFI we want
- period (Int32) — The period over which to compute the MFI
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The MoneyFlowIndex indicator for the requested symbol over the specified period
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a MoneyFlowIndex indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Updateupdate method with a TradeBar. The indicator will only be ready after you prime it with enough data.
public class MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MoneyFlowIndex _mfi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_mfi = new MoneyFlowIndex(20);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_mfi.Update(bar);
}
if (_mfi.IsReady)
{
// The current value of _mfi is represented by itself (_mfi)
// or _mfi.Current.Value
Plot("MoneyFlowIndex", "mfi", _mfi);
// Plot all properties of mfi
Plot("MoneyFlowIndex", "positivemoneyflow", _mfi.PositiveMoneyFlow);
Plot("MoneyFlowIndex", "negativemoneyflow", _mfi.NegativeMoneyFlow);
Plot("MoneyFlowIndex", "previoustypicalprice", _mfi.PreviousTypicalPrice);
}
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._mfi = MoneyFlowIndex(20)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._mfi.update(bar)
if self._mfi.is_ready:
# The current value of self._mfi is represented by self._mfi.current.value
self.plot("MoneyFlowIndex", "mfi", self._mfi.current.value)
# Plot all attributes of self._mfi
self.plot("MoneyFlowIndex", "positive_money_flow", self._mfi.positive_money_flow.current.value)
self.plot("MoneyFlowIndex", "negative_money_flow", self._mfi.negative_money_flow.current.value)
self.plot("MoneyFlowIndex", "previous_typical_price", self._mfi.previous_typical_price)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MoneyFlowIndex _mfi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_mfi = new MoneyFlowIndex(20);
RegisterIndicator(_symbol, _mfi, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_mfi.IsReady)
{
// The current value of _mfi is represented by itself (_mfi)
// or _mfi.Current.Value
Plot("MoneyFlowIndex", "mfi", _mfi);
// Plot all properties of mfi
Plot("MoneyFlowIndex", "positivemoneyflow", _mfi.PositiveMoneyFlow);
Plot("MoneyFlowIndex", "negativemoneyflow", _mfi.NegativeMoneyFlow);
}
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._mfi = MoneyFlowIndex(20)
self.register_indicator(self._symbol, self._mfi, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._mfi.is_ready:
# The current value of self._mfi is represented by self._mfi.current.value
self.plot("MoneyFlowIndex", "mfi", self._mfi.current.value)
# Plot all attributes of self._mfi
self.plot("MoneyFlowIndex", "positive_money_flow", self._mfi.positive_money_flow.current.value)
self.plot("MoneyFlowIndex", "negative_money_flow", self._mfi.negative_money_flow.current.value)
The following reference table describes the MoneyFlowIndex constructor:
MoneyFlowIndex
The Money Flow Index (MFI) is an oscillator that uses both price and volume to measure buying and selling pressure Typical Price = (High + Low + Close)/3 Money Flow = Typical Price x Volume Positive Money Flow = Sum of the money flows of all days where the typical price is greater than the previous day's typical price Negative Money Flow = Sum of the money flows of all days where the typical price is less than the previous day's typical price Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow) Money Flow Index = 100 x Positive Money Flow / ( Positive Money Flow + Negative Money Flow)
get_enumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()Resets this indicator to its initial state
to_detailed_string()Provides a more detailed string of this indicator in the form of {Name} - {Value}
str
update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
consolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
currentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
is_readyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
itemIndexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
nameGets a name for this indicator
Gets a name for this indicator
str
negative_money_flowThe sum of negative money flow to compute money flow ratio
The sum of negative money flow to compute money flow ratio
IndicatorBase[IndicatorDataPoint]
positive_money_flowThe sum of positive money flow to compute money flow ratio
The sum of positive money flow to compute money flow ratio
IndicatorBase[IndicatorDataPoint]
previousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
previous_typical_priceThe current and previous typical price is used to determine positive or negative money flow
The current and previous typical price is used to determine positive or negative money flow
float
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
warm_up_periodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
int
windowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
MoneyFlowIndex
The Money Flow Index (MFI) is an oscillator that uses both price and volume to measure buying and selling pressure Typical Price = (High + Low + Close)/3 Money Flow = Typical Price x Volume Positive Money Flow = Sum of the money flows of all days where the typical price is greater than the previous day's typical price Negative Money Flow = Sum of the money flows of all days where the typical price is less than the previous day's typical price Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow) Money Flow Index = 100 x Positive Money Flow / ( Positive Money Flow + Negative Money Flow)
GetEnumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()Resets this indicator to its initial state
ToDetailedString()Provides a more detailed string of this indicator in the form of {Name} - {Value}
String
Update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (DateTime)
- value (decimal)
Boolean
Update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
Boolean
ConsolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
CurrentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
IsReadyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
NameGets a name for this indicator
Gets a name for this indicator
string
NegativeMoneyFlowThe sum of negative money flow to compute money flow ratio
The sum of negative money flow to compute money flow ratio
IndicatorBase<IndicatorDataPoint>
PositiveMoneyFlowThe sum of positive money flow to compute money flow ratio
The sum of positive money flow to compute money flow ratio
IndicatorBase<IndicatorDataPoint>
PreviousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
PreviousTypicalPriceThe current and previous typical price is used to determine positive or negative money flow
The current and previous typical price is used to determine positive or negative money flow
decimal
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
WarmUpPeriodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
Int32
WindowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow<IndicatorDataPoint>
[System.Int32]Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
Visualization
The following image shows plot values of selected properties of MoneyFlowIndex using the plotly library.
Indicator History
To get the historical data of the MoneyFlowIndex indicator, call the IndicatorHistoryself.indicator_history method.
This method resets your indicator, makes a history request, and updates the indicator with the historical data.
Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time.
If you don't provide a resolution argument, it defaults to match the resolution of the security subscription.
public class MoneyFlowIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var mfi = MFI(_symbol, 20);
var countIndicatorHistory = IndicatorHistory(mfi, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(mfi, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(mfi, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class MoneyFlowIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
mfi = self.mfi(self._symbol, 20)
count_indicator_history = self.indicator_history(mfi, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(mfi, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(mfi, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.
var indicatorHistory = IndicatorHistory(mfi, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(mfi, 100, Resolution.MINUTE, lambda bar: bar.high) indicator_history_df = indicator_history.data_frame
If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.
var history = History(_symbol, 100, Resolution.Minute); var historyIndicatorHistory = IndicatorHistory(mfi, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var positivemoneyflow = indicatorHistory.Select(x => ((dynamic)x).PositiveMoneyFlow).ToList(); var negativemoneyflow = indicatorHistory.Select(x => ((dynamic)x).NegativeMoneyFlow).ToList(); // Alternative way // var positivemoneyflow = indicatorHistory.Select(x => x["positivemoneyflow"]).ToList(); // var negativemoneyflow = indicatorHistory.Select(x => x["negativemoneyflow"]).ToList();
positive_money_flow = indicator_history_df["positive_money_flow"] negative_money_flow = indicator_history_df["negative_money_flow"] # Alternative way # positive_money_flow = indicator_history_df.positive_money_flow # negative_money_flow = indicator_history_df.negative_money_flow
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