stock indicatorsfor .NET

Volume Weighted Average Price (VWAP) ​

The Volume Weighted Average Price is a Volume weighted average of price, typically used on intraday data. [Discuss] 💬

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csharp
// C# usage syntax
IReadOnlyList<VwapResult> results =
  bars.ToVwap();

// usage with optional anchored start date
IReadOnlyList<VwapResult> results =
  bars.ToVwap(startDate);

Parameters ​

paramdescription
startDate
DateTime		Optional. The anchor date used to start the VWAP accumulation. The earliest date in bars is used when not provided.

Historical price bars requirements ​

You must have at least one historical bar to calculate; however, more is often needed to be useful. Historical price bars are typically provided for a single day using minute-based intraday periods. Since this is an accumulated weighted average price, different start dates will produce different results. The accumulation starts at the first period in the provided bars, unless it is specified in the optional startDate parameter.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response ​

csharp
IReadOnlyList<VwapResult>
  • This method returns a time series of all available indicator values for the bars provided.
  • It always returns the same number of elements as there are in the historical price bars.
  • It does not return a single incremental indicator value.
  • The first period or the startDate will have a Vwap = Close value since it is the initial starting point.
  • Vwap values before startDate, if specified, will be null.

VwapResult ​

propertydescription
Timestamp
DateTime		Date from evaluated TBar
Vwap
double?		Volume Weighted Average Price

Utilities ​

See Utilities and helpers for more information.

Chaining ​

Results can be further processed on Vwap with additional chain-enabled indicators.

csharp
// example
var results = bars
    .ToVwap(..)
    .ToRsi(..);

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

See Chaining indicators for more.

Streaming ​

Use the buffer-style List<T> when you need incremental calculations without a hub:

csharp
VwapList vwapList = new(startDate);

// call from your WebSocket or SSE message handler
void OnBarReceived(IBar bar) => vwapList.Add(bar);

// based on `ICollection<VwapResult>`; fills as the handler runs
IReadOnlyList<VwapResult> results = vwapList;

Subscribe to a BarHub for advanced streaming scenarios:

csharp
BarHub barHub = new();
VwapHub observer = barHub.ToVwapHub(startDate);

// call from your WebSocket or SSE message handler
void OnBarReceived(IBar bar) => barHub.Add(bar);

// results fill as the handler runs
IReadOnlyList<VwapResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.