MarketMeannessIndex indicator.

Author: mikasoukhov

Algo/Indicators/MarketMeannessIndex.cs

@@ -0,0 +1,104 @@
+namespace StockSharp.Algo.Indicators;
+
+/// <summary>
+/// Market Meanness Index indicator.
+/// </summary>
+[Display(
+	ResourceType = typeof(LocalizedStrings),
+	Name = LocalizedStrings.MMIKey,
+	Description = LocalizedStrings.MarketMeannessIndexKey)]
+[Doc("topics/indicators/market_meanness_index.html")]
+public class MarketMeannessIndex : LengthIndicator<decimal>
+{
+	private int _priceChanges;
+	private int _directionChanges;
+	private int _prevDirection;
+
+	/// <summary>
+	/// Initializes a new instance of the <see cref="MarketMeannessIndex"/>.
+	/// </summary>
+	public MarketMeannessIndex()
+	{
+		Length = 200;
+	}
+
+	/// <inheritdoc />
+	public override IndicatorMeasures Measure => IndicatorMeasures.Percent;
+
+	/// <inheritdoc />
+	protected override IIndicatorValue OnProcess(IIndicatorValue input)
+	{
+		var price = input.ToDecimal();
+
+		if (input.IsFinal)
+		{
+			if (Buffer.Count == Length)
+			{
+				var oldPrice = Buffer[0];
+				UpdateChanges(oldPrice, Buffer[1], true);
+			}
+
+			Buffer.PushBack(price);
+
+			if (Buffer.Count > 1)
+			{
+				UpdateChanges(Buffer[^2], price, false);
+			}
+		}
+
+		if (IsFormed)
+		{
+			decimal mmi;
+
+			if (input.IsFinal)
+			{
+				mmi = _priceChanges > 0 ? 100m * _directionChanges / _priceChanges : 0;
+			}
+			else
+			{
+				var tempPriceChanges = _priceChanges;
+				var tempDirectionChanges = _directionChanges;
+
+				if (Buffer.Count > 1 && price != Buffer[^1])
+				{
+					tempPriceChanges++;
+					
+					var tempDirection = Math.Sign(price - Buffer[^1]);
+
+					if (tempDirection != _prevDirection && _prevDirection != 0)
+						tempDirectionChanges++;
+				}
+
+				mmi = tempPriceChanges > 0 ? 100m * tempDirectionChanges / tempPriceChanges : 0;
+			}
+
+			return new DecimalIndicatorValue(this, mmi, input.Time);
+		}
+
+		return new DecimalIndicatorValue(this, input.Time);
+	}
+
+	private void UpdateChanges(decimal prevPrice, decimal currentPrice, bool isRemoving)
+	{
+		var currentDirection = Math.Sign(currentPrice - prevPrice);
+
+		if (currentDirection != 0)
+			_priceChanges += isRemoving ? -1 : 1;
+
+		if (currentDirection != _prevDirection && _prevDirection != 0)
+			_directionChanges += isRemoving ? -1 : 1;
+
+		if (!isRemoving)
+			_prevDirection = currentDirection;
+	}
+
+	/// <inheritdoc />
+	public override void Reset()
+	{
+		_priceChanges = default;
+		_directionChanges = default;
+		_prevDirection = default;
+
+		base.Reset();
+	}
+}