QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator Class Reference

Volume Weighted Average Price (VWAP) Indicator: It is calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day. More...

Inheritance diagram for QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator:

Public Member Functions
	VolumeWeightedAveragePriceIndicator (int period)
	Initializes a new instance of the VWAP class with the default name and period More...
	VolumeWeightedAveragePriceIndicator (string name, int period)
	Initializes a new instance of the VWAP class with a given name and period More...
override void	Reset ()
	Resets this indicator to its initial state More...

Public Attributes
override bool	IsReady => VWAP.IsReady
	Gets a flag indicating when this indicator is ready and fully initialized More...
int	WarmUpPeriod => _period
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Protected Member Functions
override decimal	ComputeNextValue (TradeBar input)
	Computes the next value of this indicator from the given state More...
virtual decimal	GetTimeWeightedAveragePrice (TradeBar input)
	Gets an estimated average price to use for the interval covered by the input trade bar. More...
Protected Member Functions inherited from QuantConnect.Indicators.TradeBarIndicator
	TradeBarIndicator (string name)
	Creates a new TradeBarIndicator with the specified name More...

Properties
Identity	Price [get]
	Indentity indicator for price More...
Identity	Volume [get]
	Identity indicator for volume More...
CompositeIndicator	VWAP [get]
	Volume Weighted Average Price More...
Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod [get]
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

Volume Weighted Average Price (VWAP) Indicator: It is calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day.

Definition at line 26 of file VolumeWeightedAveragePriceIndicator.cs.

Constructor & Destructor Documentation

VolumeWeightedAveragePriceIndicator() [1/2]

QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.VolumeWeightedAveragePriceIndicator

(

int

period

)

Initializes a new instance of the VWAP class with the default name and period

Parameters

period

The period of the VWAP

Definition at line 52 of file VolumeWeightedAveragePriceIndicator.cs.

VolumeWeightedAveragePriceIndicator() [2/2]

QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.VolumeWeightedAveragePriceIndicator	(	string	name,
		int	period
	)

Initializes a new instance of the VWAP class with a given name and period

Parameters

name	string - the name of the indicator
period	The period of the VWAP

Definition at line 62 of file VolumeWeightedAveragePriceIndicator.cs.

Member Function Documentation

Reset()

override void QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.Reset

(

)

Resets this indicator to its initial state

Definition at line 87 of file VolumeWeightedAveragePriceIndicator.cs.

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ComputeNextValue()

override decimal QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.ComputeNextValue ( TradeBar  input )

protected

Computes the next value of this indicator from the given state

Parameters

input

The input given to the indicator

Returns

A new value for this indicator

Definition at line 100 of file VolumeWeightedAveragePriceIndicator.cs.

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GetTimeWeightedAveragePrice()

virtual decimal QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.GetTimeWeightedAveragePrice ( TradeBar  input )

protectedvirtual

Gets an estimated average price to use for the interval covered by the input trade bar.

Parameters

input

The current trade bar input

Returns

An estimated average price over the trade bar's interval

Definition at line 112 of file VolumeWeightedAveragePriceIndicator.cs.

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Member Data Documentation

IsReady

override bool QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.IsReady => VWAP.IsReady

Gets a flag indicating when this indicator is ready and fully initialized

Definition at line 77 of file VolumeWeightedAveragePriceIndicator.cs.

WarmUpPeriod

int QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.WarmUpPeriod => _period

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 82 of file VolumeWeightedAveragePriceIndicator.cs.

Property Documentation

Price

Identity QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.Price

getprotected

Indentity indicator for price

Definition at line 36 of file VolumeWeightedAveragePriceIndicator.cs.

Volume

Identity QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.Volume

getprotected

Identity indicator for volume

Definition at line 41 of file VolumeWeightedAveragePriceIndicator.cs.

VWAP

CompositeIndicator QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.VWAP

getprotected

Volume Weighted Average Price

Definition at line 46 of file VolumeWeightedAveragePriceIndicator.cs.

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The documentation for this class was generated from the following file:

• Indicators/VolumeWeightedAveragePriceIndicator.cs