Indicator Reference

Volume Weighted Average Price Indicator

Introduction

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.

Create Manual Indicators

You can manually create a VolumeWeightedAveragePriceIndicator 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 VolumeWeightedAveragePriceIndicator constructor.

VolumeWeightedAveragePriceIndicator()1/2

            VolumeWeightedAveragePriceIndicator QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator (
     int  period
   )
        

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

VolumeWeightedAveragePriceIndicator()2/2

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

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

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 VolumeWeightedAveragePriceIndicator _vwap;

// In Initialize()
_vwap = new VolumeWeightedAveragePriceIndicator(name, period);
_vwap.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _vwap, Resolution.Daily);

// In IndicatorUpdateMethod()
if (_vwap.IsReady)
{
    var indicatorValue = _vwap.Current.Value;
}
    
# In Initialize()
self.vwap = VolumeWeightedAveragePriceIndicator(name, period)
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 a TradeBar. The indicator will only be ready after you prime it with enough data.

    
private VolumeWeightedAveragePriceIndicator _vwap;
private Symbol symbol;

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

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

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

Create Automatic Indicators

The VWAP method creates an VolumeWeightedAveragePriceIndicator 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 VolumeWeightedAveragePriceIndicator _vwap;

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

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

# 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 VolumeWeightedAveragePriceIndicator _vwap;

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

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

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

For more information about plotting indicators, see Plotting Indicators.

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