Add VWAPSD (Volume Weighted Average Price with Standard Deviation Bands) implementation and validation tests

- Implemented Vwapsd class for calculating VWAP with configurable standard deviation bands. - Added methods for updating the indicator with new bars and calculating VWAPSD using both bar series and span arrays. - Created comprehensive validation tests for VWAPSD, including checks for consistency between streaming and batch modes, mathematical correctness, and handling of edge cases such as NaN values and zero volume bars. - Ensured that the implementation adheres to performance standards with tests for large datasets and fractional numDevs values.
2026-08-23 13:08:04 +00:00 · 2026-01-24 19:07:52 -08:00
parent fd6c80e8db
commit 744d680435
32 changed files with 9090 additions and 538 deletions
@@ -0,0 +1,72 @@
+using System.Drawing;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+public class VwapsdIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Number of Deviations", sortIndex: 1, minimum: 0.1, maximum: 5.0, increment: 0.1, decimalPlaces: 1)]
+    public double NumDevs { get; set; } = 2.0;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Vwapsd? vwapsd;
+    protected LineSeries? VwapSeries;
+    protected LineSeries? UpperSeries;
+    protected LineSeries? LowerSeries;
+    protected LineSeries? WidthSeries;
+
+#pragma warning disable S2325 // Methods and properties that don't access instance data should be static
+    public int MinHistoryDepths => 2;
+#pragma warning restore S2325
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"VWAPSD ({NumDevs:F1})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/channels/vwapsd/Vwapsd.cs";
+
+    public VwapsdIndicator()
+    {
+        Name = "VWAPSD - Volume Weighted Average Price with Configurable Standard Deviation Bands";
+        Description = "Volume weighted average price with configurable standard deviation bands";
+
+        VwapSeries = new("VWAP", Color.Blue, 2, LineStyle.Solid);
+        UpperSeries = new($"Upper (+{NumDevs}σ)", Color.Red, 1, LineStyle.Solid);
+        LowerSeries = new($"Lower (-{NumDevs}σ)", Color.Green, 1, LineStyle.Solid);
+        WidthSeries = new("Width", Color.Gray, 1, LineStyle.Dot);
+
+        AddLineSeries(VwapSeries);
+        AddLineSeries(UpperSeries);
+        AddLineSeries(LowerSeries);
+        AddLineSeries(WidthSeries);
+
+        SeparateWindow = false;
+        OnBackGround = true;
+    }
+
+    protected override void OnInit()
+    {
+        vwapsd = new(NumDevs);
+        base.OnInit();
+    }
+
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        var time = HistoricalData.Time();
+
+        // VWAP requires OHLCV data - using HLC3 for price
+        double high = item[PriceType.High];
+        double low = item[PriceType.Low];
+        double close = item[PriceType.Close];
+        double volume = item[PriceType.Volume];
+
+        TBar bar = new(time, item[PriceType.Open], high, low, close, volume);
+        TValue result = vwapsd!.Update(bar, args.IsNewBar());
+
+        VwapSeries!.SetValue(result.Value, vwapsd.IsHot, ShowColdValues);
+        UpperSeries!.SetValue(vwapsd.Upper.Value, vwapsd.IsHot, ShowColdValues);
+        LowerSeries!.SetValue(vwapsd.Lower.Value, vwapsd.IsHot, ShowColdValues);
+        WidthSeries!.SetValue(vwapsd.Width.Value, vwapsd.IsHot, ShowColdValues);
+    }
+}