Adr, Ap, Atrp, Atrs, Vp, Vwap, Vwma

2026-08-19 19:18:05 +00:00 · 2024-11-01 18:36:01 -07:00
parent 7c6b698c9a
commit f519594371
14 changed files with 1035 additions and 120 deletions
@@ -0,0 +1,110 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VF: Volume Force
+/// A volume-based indicator that measures the strength of volume relative to price
+/// movement. It helps identify whether volume is supporting or contradicting the
+/// current price trend.
+/// </summary>
+/// <remarks>
+/// The VF calculation process:
+/// 1. Calculate price change
+/// 2. Calculate volume force as volume * price change
+/// 3. Optionally smooth the result with EMA
+///
+/// Key characteristics:
+/// - Volume-weighted measure
+/// - Trend strength indicator
+/// - No upper/lower bounds
+/// - Raw and smoothed versions
+/// - Divergence indicator
+///
+/// Formula:
+/// VF = Volume * (Close - Close[1])
+/// Smoothed VF = EMA(VF, period)
+///
+/// Market Applications:
+/// - Volume analysis
+/// - Trend confirmation
+/// - Price/volume divergence
+/// - Market participation
+/// - Momentum confirmation
+///
+/// Note: Higher values indicate stronger volume force
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vf : AbstractBase
+{
+    private readonly Ema _ema;
+    private double _prevClose;
+    private double _p_prevClose;
+    private const int DefaultPeriod = 13;
+
+    /// <param name="period">The smoothing period for EMA calculation (default 13).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vf(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _ema = new(period);
+        WarmupPeriod = period + 1;
+        Name = $"VF({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The smoothing period for EMA calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vf(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _ema.Init();
+        _prevClose = double.NaN;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _index++;
+            _p_prevClose = _prevClose;
+        }
+        else
+        {
+            _prevClose = _p_prevClose;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate raw volume force
+        double priceChange = BarInput.Close - _prevClose;
+        double volumeForce = BarInput.Volume * priceChange;
+
+        // Update previous close
+        _prevClose = BarInput.Close;
+
+        // Apply EMA smoothing
+        return _ema.Calc(volumeForce, BarInput.IsNew);
+    }
+}
@@ -0,0 +1,105 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VP: Volume Profile
+/// A volume-based indicator that analyzes volume distribution across price levels.
+/// It helps identify significant price levels where most trading activity occurs.
+/// </summary>
+/// <remarks>
+/// The VP calculation process:
+/// 1. Track volume at each price level within a period
+/// 2. Calculate Point of Control (POC) - price with highest volume
+/// 3. Calculate Value Area (70% of total volume)
+///
+/// Key characteristics:
+/// - Price level analysis
+/// - Volume distribution
+/// - Support/resistance identification
+/// - Trading activity concentration
+/// - Market structure analysis
+///
+/// Formula:
+/// VP = Σ Volume at each price level
+/// POC = Price level with max volume
+/// Value Area = Price range containing 70% of volume
+///
+/// Market Applications:
+/// - Support/resistance levels
+/// - Market structure analysis
+/// - Trading activity patterns
+/// - Price level significance
+/// - Volume concentration
+///
+/// Note: Returns Point of Control (price level with highest volume)
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vp : AbstractBase
+{
+    private readonly CircularBuffer _volumes;
+    private readonly CircularBuffer _prices;
+    private const int DefaultPeriod = 14;
+
+    /// <param name="period">The number of periods to analyze volume distribution (default 14).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vp(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _volumes = new(period);
+        _prices = new(period);
+        WarmupPeriod = period;
+        Name = $"VP({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods to analyze volume distribution.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vp(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private static int FindMaxVolumeIndex(CircularBuffer volumes)
+    {
+        int maxIndex = 0;
+        double maxVolume = volumes[0];
+
+        for (int i = 1; i < volumes.Count; i++)
+        {
+            if (volumes[i] > maxVolume)
+            {
+                maxVolume = volumes[i];
+                maxIndex = i;
+            }
+        }
+
+        return maxIndex;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Store volume and price
+        _volumes.Add(BarInput.Volume, BarInput.IsNew);
+        _prices.Add(BarInput.Close, BarInput.IsNew);
+
+        // Find price level with highest volume (Point of Control)
+        int pocIndex = FindMaxVolumeIndex(_volumes);
+        return _prices[pocIndex];
+    }
+}
@@ -0,0 +1,93 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VWAP: Volume Weighted Average Price
+/// A trading benchmark that shows the ratio of the value traded to total volume
+/// traded over a specific period. VWAP equals the dollar value of all trading
+/// periods divided by the total trading volume for the current day.
+/// </summary>
+/// <remarks>
+/// The VWAP calculation process:
+/// 1. Calculate typical price for each period
+/// 2. Multiply typical price by volume
+/// 3. Calculate cumulative values
+/// 4. Divide cumulative (price * volume) by cumulative volume
+///
+/// Key characteristics:
+/// - Intraday trading benchmark
+/// - Volume-weighted measure
+/// - Institutional trading reference
+/// - Price momentum indicator
+/// - Trading efficiency measure
+///
+/// Formula:
+/// VWAP = Σ(Price * Volume) / ΣVolume
+/// where Price = (High + Low + Close)/3
+///
+/// Market Applications:
+/// - Best execution analysis
+/// - Trading algorithms
+/// - Price momentum
+/// - Market impact analysis
+/// - Order timing
+///
+/// Sources:
+///     https://www.investopedia.com/terms/v/vwap.asp
+///
+/// Note: Commonly used by institutional traders
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vwap : AbstractBase
+{
+    private double _cumulativeTPV; // Cumulative (Typical Price * Volume)
+    private double _cumulativeVolume;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vwap()
+    {
+        WarmupPeriod = 1;
+        Name = "VWAP";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vwap(object source) : this()
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _cumulativeTPV = 0;
+        _cumulativeVolume = 0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Update cumulative values only for new bars
+        if (BarInput.IsNew)
+        {
+            _cumulativeTPV += BarInput.HLC3 * BarInput.Volume;
+            _cumulativeVolume += BarInput.Volume;
+        }
+
+        // Calculate VWAP
+        return _cumulativeVolume > 0 ? _cumulativeTPV / _cumulativeVolume : BarInput.HLC3;
+    }
+}
@@ -0,0 +1,92 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VWMA: Volume Weighted Moving Average
+/// A technical indicator that combines price and volume to show the average price
+/// weighted by volume over a period. It gives more weight to prices with higher
+/// volume, making it more responsive to high-volume price movements.
+/// </summary>
+/// <remarks>
+/// The VWMA calculation process:
+/// 1. Multiply price by volume for each period
+/// 2. Sum (price * volume) over the period
+/// 3. Sum volume over the period
+/// 4. Divide sums to get weighted average
+///
+/// Key characteristics:
+/// - Volume-sensitive average
+/// - Trend indicator
+/// - Support/resistance levels
+/// - Price momentum
+/// - Volume emphasis
+///
+/// Formula:
+/// VWMA = Σ(Price * Volume) / ΣVolume
+/// where sums are taken over the specified period
+///
+/// Market Applications:
+/// - Trend identification
+/// - Support/resistance levels
+/// - Volume analysis
+/// - Price momentum
+/// - Trading signals
+///
+/// Note: More responsive to high-volume price movements
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vwma : AbstractBase
+{
+    private readonly CircularBuffer _priceVolume;
+    private readonly CircularBuffer _volume;
+    private const int DefaultPeriod = 20;
+
+    /// <param name="period">The number of periods for VWMA calculation (default 20).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vwma(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _priceVolume = new(period);
+        _volume = new(period);
+        WarmupPeriod = period;
+        Name = $"VWMA({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for VWMA calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vwma(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate and store price * volume
+        double priceVolume = BarInput.Close * BarInput.Volume;
+        _priceVolume.Add(priceVolume, BarInput.IsNew);
+        _volume.Add(BarInput.Volume, BarInput.IsNew);
+
+        // Calculate sums
+        double sumPriceVolume = _priceVolume.Sum();
+        double sumVolume = _volume.Sum();
+
+        // Calculate VWMA
+        return sumVolume > 0 ? sumPriceVolume / sumVolume : BarInput.Close;
+    }
+}
@@ -1,5 +1,5 @@
 # Volume indicators
-Done: 15, Todo: 3
+Done: 19, Todo: 0

 ✔️ ADL - Chaikin Accumulation Distribution Line
 ✔️ ADOSC - Chaikin Accumulation Distribution Oscillator
@@ -16,7 +16,7 @@ Done: 15, Todo: 3
 ✔️ PVR - Price Volume Rank
 ✔️ PVT - Price Volume Trend
 ✔️ TVI - Trade Volume Index
-VF - Volume Force
-VP - Volume Profile
-VWAP - Volume Weighted Average Price
-VWMA - Volume Weighted Moving Average
+✔️ VF - Volume Force
+✔️ VP - Volume Profile
+✔️ VWAP - Volume Weighted Average Price
+✔️ VWMA - Volume Weighted Moving Average