wehub-resource-sync
91 lines
3.7 KiB
C#
91 lines
3.7 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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using QuantConnect.Data.Market;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the Volume Weighted Moving Average (VWMA)
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/// It is a technical analysis indicator used by traders to determine the average price of an asset over a given period of time,
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/// taking into account both price and volume.
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/// </summary>
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public class VolumeWeightedMovingAverage : TradeBarIndicator, IIndicatorWarmUpPeriodProvider
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{
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private readonly IndicatorBase<IndicatorDataPoint> _rollingSumPriceMultipliedByVolume;
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private readonly IndicatorBase<IndicatorDataPoint> _rollingSumVolume;
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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 { get; }
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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 => _rollingSumPriceMultipliedByVolume.IsReady && _rollingSumVolume.IsReady;
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/// <summary>
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/// Initializes a new instance of the <see cref="VolumeWeightedMovingAverage"/> class using the specified name.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The period of the SMA</param>
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public VolumeWeightedMovingAverage(string name, int period)
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: base(name)
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{
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WarmUpPeriod = period;
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_rollingSumPriceMultipliedByVolume = new Sum(name + "_SumPxV", period);
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_rollingSumVolume = new Sum(name + "_SumVolume", period);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="VolumeWeightedMovingAverage"/> class using the specified name.
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/// </summary>
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/// <param name="period">The period of the SMA</param>
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public VolumeWeightedMovingAverage(int period)
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: this($"VWMA({period})", period)
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{
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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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_rollingSumPriceMultipliedByVolume.Update(input.EndTime, input.Close * input.Volume);
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_rollingSumVolume.Update(input.EndTime, input.Volume);
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var sumVolume = _rollingSumVolume.Current.Value;
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if (sumVolume != 0)
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{
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return _rollingSumPriceMultipliedByVolume.Current.Value / sumVolume;
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}
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return input.Close;
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}
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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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_rollingSumPriceMultipliedByVolume.Reset();
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_rollingSumVolume.Reset();
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base.Reset();
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}
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}
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}
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