Contents

Introduction
Create Manual Indicators
Update Manual Indicators
Create Automatic Indicators
Get Indicator Values
Visualization

Indicator Reference

Intraday Vwap

Introduction

Defines the canonical intraday VWAP indicator

Create Manual Indicators

You can manually create a IntradayVwap indicator, so it doesn’t automatically update. Manual indicators let you update their values with any data you choose. The following reference table describes the IntradayVwap constructor.

IntradayVwap()1/1

            IntradayVwap QuantConnect.Indicators.IntradayVwap (
     string  name
   )

Initializes a new instance of the IntradayVwap class.

Update Manual Indicators

You can update the indicator automatically or manually.

Automatic Update

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.


private IntradayVwap _vwap;

// In Initialize()
_vwap = new IntradayVwap(name);
_vwap.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _vwap, Resolution.Daily);

// In IndicatorUpdateMethod()
if (_vwap.IsReady)
{
    var indicatorValue = _vwap.Current.Value;
}
    
# In Initialize()
self.vwap = IntradayVwap(name)
self.vwap.Updated += self.IndicatorUpdateMethod

self.RegisterIndicator(symbol, self.vwap, Resolution.Daily)

# In IndicatorUpdateMethod()
if self.vwap.IsReady:
    indicator_value = self.vwap.Current.Value

To customize the data that automatically updates the indicator, see Custom Indicator Periods and Custom Indicator Values.

Manual Update

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with time/decimal pair. The indicator will only be ready after you prime it with enough data.

    
private IntradayVwap _vwap;
private Symbol symbol;

// In Initialize()
_vwap = new IntradayVwap();
symbol = AddEquity("SPY").Symbol;

// In OnData()
if (data.ContainsKey(_symbol))
{
    _vwap.Update(data[symbol].EndTime, data[symbol].High);
}
if (_vwap.IsReady)
{
    var indicatorValue = _vwap.Current.Value;
}
    
# In Initialize()
self.vwap = IntradayVwap()
self.symbol = self.AddEquity("SPY").Symbol

# In OnData()
if data.ContainsKey(self.symbol):
    self.vwap.Update(data[self.symbol].EndTime, data[self.symbol].High)
if self.vwap.IsReady:
    indicator_value = self.vwap.Current.Value

Create Automatic Indicators

The VWAP method creates an IntradayVwap indicator, sets up a consolidator to update the indicator, and then returns the indicator so you can use it in your algorithm.

The following reference table describes the VWAP method:

VWAP()1/2

            VolumeWeightedAveragePriceIndicator QuantConnect.Algorithm.QCAlgorithm.VWAP (
    Symbol                            symbol,
    Int32                             period,
    *Nullable<Resolution>       resolution,
    *Func<IBaseData, TradeBar>  selector
   )

Creates an VolumeWeightedAveragePrice (VWAP) indicator for the symbol. The indicator will be automatically updated on the given resolution.

VWAP()2/2

            IntradayVwap QuantConnect.Algorithm.QCAlgorithm.VWAP (
    Symbol  symbol
   )

Creates the canonical VWAP indicator that resets each day. The indicator will be automatically updated on the security's configured resolution.


If you don't provide a resolution, it defauls to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

Get Indicator Values

To get the value of the indicator, use its Current.Value attribute.

private IntradayVwap _vwap;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_vwap = VWAP(symbol);

// In OnData()
if (_vwap.IsReady)
{
    var current = _vwap.Current.Value;
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.vwap = self.VWAP(symbol)

# In OnData()
if self.vwap.IsReady:
    current = self.vwap.Current.Value

Visualization

To plot indicator values, in the OnData event handler, call the Plot method.

private IntradayVwap _vwap;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_vwap = VWAP(symbol);

// In OnData()
if (_vwap.IsReady)
{
    Plot("My Indicators", "intradayvwap", _vwap.Current);
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.vwap = self.VWAP(symbol)

# In OnData()
if self.vwap.IsReady:
    self.Plot("My Indicators", "intradayvwap", self.vwap.Current)

For more information about plotting indicators, see Plotting Indicators.

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