chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
@@ -0,0 +1,101 @@
+using System;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Defines the canonical intraday VWAP indicator
+    /// </summary>
+    public class IntradayVwap : IndicatorBase<BaseData>
+    {
+        private DateTime _lastDate;
+        private decimal _sumOfVolume;
+        private decimal _sumOfPriceTimesVolume;
+
+        /// <summary>
+        /// Gets a flag indicating when this indicator is ready and fully initialized
+        /// </summary>
+        public override bool IsReady => _sumOfVolume > 0;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="IntradayVwap"/> class
+        /// </summary>
+        /// <param name="name">The name of the indicator</param>
+        public IntradayVwap(string name = "VWAP")
+            : base(name)
+        {
+        }
+
+        /// <summary>
+        /// Computes the new VWAP
+        /// </summary>
+        protected override IndicatorResult ValidateAndComputeNextValue(BaseData input)
+        {
+            decimal volume, averagePrice;
+            if (!TryGetVolumeAndAveragePrice(input, out volume, out averagePrice))
+            {
+                return new IndicatorResult(0, IndicatorStatus.InvalidInput);
+            }
+
+            // reset vwap on daily boundaries
+            if (_lastDate != input.EndTime.Date)
+            {
+                _sumOfVolume = 0m;
+                _sumOfPriceTimesVolume = 0m;
+                _lastDate = input.EndTime.Date;
+            }
+
+            // running totals for Σ PiVi / Σ Vi
+            _sumOfVolume += volume;
+            _sumOfPriceTimesVolume += averagePrice * volume;
+
+            if (_sumOfVolume == 0m)
+            {
+                // if we have no trade volume then use the current price as VWAP
+                return input.Value;
+            }
+
+            return _sumOfPriceTimesVolume / _sumOfVolume;
+        }
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state.
+        /// NOTE: This must be overriden since it's abstract in the base, but
+        /// will never be invoked since we've override the validate method above.
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(BaseData input)
+        {
+            throw new NotImplementedException($"{nameof(IntradayVwap)}.{nameof(ComputeNextValue)} should never be invoked.");
+        }
+
+        /// <summary>
+        /// Determines the volume and price to be used for the current input in the VWAP computation
+        /// </summary>
+        protected bool TryGetVolumeAndAveragePrice(BaseData input, out decimal volume, out decimal averagePrice)
+        {
+            var tick = input as Tick;
+
+            if (tick?.TickType == TickType.Trade)
+            {
+                volume = tick.Quantity;
+                averagePrice = tick.LastPrice;
+                return true;
+            }
+
+            var tradeBar = input as TradeBar;
+            if (tradeBar?.IsFillForward == false)
+            {
+                volume = tradeBar.Volume;
+                averagePrice = (tradeBar.High + tradeBar.Low + tradeBar.Close) / 3m;
+                return true;
+            }
+
+            volume = 0;
+            averagePrice = 0;
+            return false;
+        }
+    }
+}