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VolumeWeightedAveragePriceIndicator.cs
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VolumeWeightedAveragePriceIndicator.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using QuantConnect.Data.Market;
using System;
namespace QuantConnect.Indicators
{
/// <summary>
/// Volume Weighted Average Price (VWAP) Indicator:
/// It is calculated by adding up the dollars traded for every transaction (price multiplied
/// by number of shares traded) and then dividing by the total shares traded for the day.
/// </summary>
public class VolumeWeightedAveragePriceIndicator : TradeBarIndicator
{
/// <summary>
/// In this VWAP calculation, typical price is defined by (O + H + L + C) / 4
/// </summary>
private Identity _price;
private Identity _volume;
private CompositeIndicator<IndicatorDataPoint> _vwap;
/// <summary>
/// Initializes a new instance of the VWAP class with the default name and period
/// </summary>
/// <param name="period">The period of the VWAP</param>
public VolumeWeightedAveragePriceIndicator(int period)
: this("VWAP_" + period, period)
{
}
/// <summary>
/// Initializes a new instance of the VWAP class with a given name and period
/// </summary>
/// <param name="name">string - the name of the indicator</param>
/// <param name="period">The period of the VWAP</param>
public VolumeWeightedAveragePriceIndicator(string name, int period)
: base(name)
{
_price = new Identity("Price");
_volume = new Identity("Volume");
// This class will be using WeightedBy indicator extension
_vwap = _price.WeightedBy(_volume, period);
}
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady
{
get { return _vwap.IsReady; }
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_price.Reset();
_volume.Reset();
_vwap.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
_price.Update(input.EndTime, GetTimeWeightedAveragePrice(input));
_volume.Update(input.EndTime, input.Volume);
return _vwap.Current.Value;
}
/// <summary>
/// Gets an estimated average price to use for the interval covered by the input trade bar.
/// </summary>
/// <param name="input">The current trade bar input</param>
/// <returns>An estimated average price over the trade bar's interval</returns>
protected virtual decimal GetTimeWeightedAveragePrice(TradeBar input)
{
return (input.Open + input.High + input.Low + input.Value) / 4;
}
}
}