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