Volume Weighted Average Price (VWAP)

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

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

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

Parameters

param	type	description
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

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

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Vwap	double	Volume Weighted Average Price

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

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

// 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:

VwapList vwapList = new(startDate);

foreach (IBar bar in bars)  // simulating stream
{
  vwapList.Add(bar);
}

// based on `ICollection<VwapResult>`
IReadOnlyList<VwapResult> results = vwapList;

Subscribe to a BarHub for advanced streaming scenarios:

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

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<VwapResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.