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

2026-08-23 04:58:08 +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 +1,105 @@
+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];
+    }
+}