Allow RelativeDailyVolume to be warmed up through a user-defined WarmUpPeriod

Indicators/RelativeDailyVolume.cs

@@ -26,7 +26,7 @@ namespace QuantConnect.Indicators
     /// 
     /// Current volume from open to current time of day / Average over the past x days from open to current time of day
     /// </summary>
-    public class RelativeDailyVolume : TradeBarIndicator
+    public class RelativeDailyVolume : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
     {
         private readonly SortedDictionary<TimeSpan, SimpleMovingAverage> _relativeData;
         private readonly Dictionary<DateTime, decimal> _currentData;
@@ -39,6 +39,18 @@ public class RelativeDailyVolume : TradeBarIndicator
         /// </summary>
         public override bool IsReady => _days >= _period;
 
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        /// <remarks>
+        /// This indicator is ready once it has seen <c>period</c> complete days of data, so the number of data points
+        /// it needs depends on the resolution it is updated with and on the market hours of the security, and it cannot
+        /// be derived from the period alone. It defaults to zero, which means no warm up is performed. Set it to the
+        /// number of bars, at the resolution the indicator is updated with, that span the required number of days to
+        /// have <c>WarmUpIndicator</c> warm it up.
+        /// </remarks>
+        public int WarmUpPeriod { get; set; }
+
         /// <summary>
         /// Initializes a new instance of the RelativeDailyVolume class using the specified period
         /// </summary>
@@ -86,7 +98,7 @@ protected override decimal ComputeNextValue(TradeBar input)
                 }
                 _currentData.Clear();
                 _previousDay = input.Time.Day;
-                _days += 1; // _days is starting from -1, to reach IsReady => _days == WarmUpPeriod; also means WarmUpPeriod+1
+                _days += 1; // _days is starting from -1, to reach IsReady => _days == _period; also means _period+1 days
             }
 
             _currentData[input.Time] = input.Volume;

Tests/Indicators/RelativeDailyVolumeTests.cs

@@ -113,6 +113,40 @@ public override void WarmsUpProperly()
             Assert.IsFalse(rdv8.IsReady);
         }
 
+        [Test]
+        public void WarmUpPeriodDefaultsToZeroAndSkipsWarmUp()
+        {
+            var algorithm = CreateAlgorithm();
+            algorithm.SetDateTime(new DateTime(2013, 10, 11, 15, 0, 0));
+            algorithm.AddEquity("SPY", Resolution.Minute);
+
+            var rdv = new RelativeDailyVolume(2);
+            Assert.AreEqual(0, rdv.WarmUpPeriod);
+
+            algorithm.WarmUpIndicator(Symbols.SPY, rdv, Resolution.Minute);
+
+            Assert.IsFalse(rdv.IsReady);
+            Assert.AreEqual(0, rdv.Samples);
+        }
+
+        [TestCase(Resolution.Minute, 3 * 390)]
+        [TestCase(Resolution.Hour, 3 * 7)]
+        public void WarmsUpWithUserDefinedWarmUpPeriod(Resolution resolution, int warmUpPeriod)
+        {
+            // Regression test for GH #8629: the number of bars needed to warm up this indicator depends on the
+            // resolution and the market hours, so it is left for the user to define through WarmUpPeriod
+            var algorithm = CreateAlgorithm();
+            algorithm.SetDateTime(new DateTime(2013, 10, 11, 15, 0, 0));
+            algorithm.AddEquity("SPY", resolution);
+
+            var rdv = new RelativeDailyVolume(2) { WarmUpPeriod = warmUpPeriod };
+            algorithm.WarmUpIndicator(Symbols.SPY, rdv, resolution);
+
+            Assert.IsTrue(rdv.IsReady);
+            Assert.AreEqual(warmUpPeriod, rdv.Samples);
+            Assert.AreNotEqual(0m, rdv.Current.Value);
+        }
+
         [Test]
         public void UsesMostRecentHistoricalSlotForIntradayGap()
         {