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

2026-08-23 13:08:04 +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 +1,93 @@
+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;
+    }
+}