Solve divide by zero exception in McGinleyDynamic indicator (#8397)

* Add SafeDivision() method * Add assertions * Nit changes * Nit change
QuantConnect · Nov 14, 2024 · f2da037 · f2da037
1 parent 5c5c527
commit f2da037
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Showing 2 changed files with 49 additions and 7 deletions.
diff --git a/Indicators/McGinleyDynamic.cs b/Indicators/McGinleyDynamic.cs
@@ -51,6 +51,7 @@ public class McGinleyDynamic : WindowIndicator<IndicatorDataPoint>, IIndicatorWa
         public McGinleyDynamic(string name, int period)
             : base(name, period)
         {
+            if (period == 0) throw new ArgumentException("Period can not be zero");
             _period = period;
             _rollingSum = new Sum(name + "_Sum", period);
         }
@@ -77,18 +78,21 @@ protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint>
             {
                 return 0;
             }
-            else if (Samples == _period)
+
+            if (Samples == _period)
             {
                 return _rollingSum.Current.Value / _period;
             }
-            else
+
+            if (Current.Value == 0 || input.Value == 0)
             {
-                if ((Current.Value == 0) || (input.Value == 0) || (_period == 0))
-                {
-                    return Current.Value;
-                }
-                return Current.Value + (input.Value - Current.Value) / (_period * (decimal)Math.Pow((double)(input.Value / Current.Value), 4.0));
+                return Current.Value;
             }
+
+            var ratioValue = (double)input.Value.SafeDivision(Current.Value, 0);
+            if (ratioValue == 0) return Current.Value;
+            var denominator = _period * (decimal)Math.Pow(ratioValue, 4.0);
+            return Current.Value + (input.Value - Current.Value).SafeDivision(denominator, 0);
         }
 
         /// <summary>

diff --git a/Tests/Indicators/McGinleyDynamicTests.cs b/Tests/Indicators/McGinleyDynamicTests.cs
@@ -16,6 +16,7 @@
 using System;
 using NUnit.Framework;
 using QuantConnect.Indicators;
+using System.Collections.Generic;
 
 namespace QuantConnect.Tests.Indicators
 {
@@ -62,5 +63,42 @@ public override void ResetsProperly()
             indicator.Update(new DateTime(2024, 7, 9, 0, 3, 0), 2.0m);
             Assert.AreEqual(indicator.Current.Value, 2.0m);
         }
+
+        [Test]
+        public override void WorksWithLowValues()
+        {
+            var indicator = new McGinleyDynamic("test", 10);
+
+            var startDate = new DateTime(2020, 6, 4);
+            var dataPoints = new List<IndicatorDataPoint>()
+            {
+                new IndicatorDataPoint(startDate, 0m),
+                new IndicatorDataPoint(startDate.AddDays(1), 0m),
+                new IndicatorDataPoint(startDate.AddDays(2), 0m),
+                new IndicatorDataPoint(startDate.AddDays(3), 0m),
+                new IndicatorDataPoint(startDate.AddDays(4), 3.27743794800m),
+                new IndicatorDataPoint(startDate.AddDays(5), 7.46527532600m),
+                new IndicatorDataPoint(startDate.AddDays(6), 2.54419732600m),
+                new IndicatorDataPoint(startDate.AddDays(7), 0m),
+                new IndicatorDataPoint(startDate.AddDays(8), 0m),
+                new IndicatorDataPoint(startDate.AddDays(9), 0.71847738800m),
+                new IndicatorDataPoint(startDate.AddDays(10), 0m),
+                new IndicatorDataPoint(startDate.AddDays(11), 1.86016748400m),
+                new IndicatorDataPoint(startDate.AddDays(12), 0.45273917600m),
+                new IndicatorDataPoint(startDate.AddDays(13), 0m),
+                new IndicatorDataPoint(startDate.AddDays(14), 1.80111454800m),
+                new IndicatorDataPoint(startDate.AddDays(15), 0m),
+                new IndicatorDataPoint(startDate.AddDays(16), 2.74596152400m),
+                new IndicatorDataPoint(startDate.AddDays(17), 0m),
+                new IndicatorDataPoint(startDate.AddDays(18), 0m),
+                new IndicatorDataPoint(startDate.AddDays(19), 0m),
+                new IndicatorDataPoint(startDate.AddDays(20), 0.84642541600m),
+            };
+
+            for (int i=0; i < 21; i++)
+            {
+                Assert.DoesNotThrow(() => indicator.Update(dataPoints[i]));
+            }
+        }
     }
 }