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