Beta Indicator Supports QuoteBar (#7540)

* Adds Unit Test to Assert Beta Accepts QuoteBar Beta must support QuoteBar for Forex/CDF and QuoteBarConsolidators * Beta Indicator Supports QuoteBar
QuantConnect · Oct 27, 2023 · f5d4bc4 · f5d4bc4
1 parent 265fbf7
commit f5d4bc4
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Showing 3 changed files with 20 additions and 5 deletions.
diff --git a/Algorithm/QCAlgorithm.Indicators.cs b/Algorithm/QCAlgorithm.Indicators.cs
@@ -316,7 +316,7 @@ public BollingerBands BB(Symbol symbol, int period, decimal k, MovingAverageType
         /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar</param>
         /// <returns>The Beta indicator for the given parameters</returns>
         [DocumentationAttribute(Indicators)]
-        public Beta B(Symbol target, Symbol reference, int period, Resolution? resolution = null, Func<IBaseData, TradeBar> selector = null)
+        public Beta B(Symbol target, Symbol reference, int period, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
         {
             var name = CreateIndicatorName(QuantConnect.Symbol.None, $"B({period})", resolution);
             var beta = new Beta(name, target, reference, period);

diff --git a/Indicators/Beta.cs b/Indicators/Beta.cs
@@ -27,7 +27,7 @@ namespace QuantConnect.Indicators
     /// It is common practice to use the SPX index as a benchmark of the overall reference market when it comes to Beta 
     /// calculations.
     /// </summary>
-    public class Beta : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
+    public class Beta : BarIndicator, IIndicatorWarmUpPeriodProvider
     {
         /// <summary>
         /// RollingWindow to store the data points of the target symbol
@@ -140,7 +140,7 @@ public Beta(string name, int period, Symbol targetSymbol, Symbol referenceSymbol
         /// <param name="input">The input value of this indicator on this time step.
         /// It can be either from the target or the reference symbol</param>
         /// <returns>The beta value of the target used in relation with the reference</returns>
-        protected override decimal ComputeNextValue(TradeBar input)
+        protected override decimal ComputeNextValue(IBaseDataBar input)
         {
             var inputSymbol = input.Symbol;
             if (inputSymbol == _targetSymbol)

diff --git a/Tests/Indicators/BetaIndicatorTests.cs b/Tests/Indicators/BetaIndicatorTests.cs
@@ -23,15 +23,15 @@
 namespace QuantConnect.Tests.Indicators
 {
     [TestFixture]
-    public class BetaIndicatorTests : CommonIndicatorTests<TradeBar>
+    public class BetaIndicatorTests : CommonIndicatorTests<IBaseDataBar>
     {
         protected override string TestFileName => "bi_datatest.csv";
 
         protected override string TestColumnName => "Beta";
 
         private DateTime _reference = new DateTime(2020, 1, 1);
 
-        protected override IndicatorBase<TradeBar> CreateIndicator()
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
         {
             var indicator = new Beta("testBetaIndicator", "AMZN 2T", "SPX 2T", 5);
             return indicator;
@@ -142,6 +142,21 @@ public override void AcceptsVolumeRenkoBarsAsInput()
             secondVolumeRenkoConsolidator.Dispose();
         }
 
+
+        [Test]
+        public void AcceptsQuoteBarsAsInput()
+        {
+            var indicator = new Beta("testBetaIndicator", Symbols.IBM, Symbols.SPY, 5);
+
+            for (var i = 10; i > 0; i--)
+            {
+                indicator.Update(new QuoteBar { Symbol = Symbols.IBM, Ask = new Bar(1, 2, 1, 500), Bid = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
+                indicator.Update(new QuoteBar { Symbol = Symbols.SPY, Ask = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
+            }
+
+            Assert.AreEqual(2, indicator.Samples);
+        }
+
         [Test]
         public void EqualBetaValue()
         {