Supported Indicators

Intraday Vwap

Introduction

Defines the canonical intraday VWAP indicator

To view the implementation of this indicator, see the LEAN GitHub repository.

Using VWAP Indicator

To create an automatic indicators for IntradayVwap, call the VWAP helper method from the QCAlgorithm class. The VWAP method creates a IntradayVwap object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize method.

public class IntradayVwapAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private IntradayVwap _vwap;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vwap = VWAP(_symbol);
    }

    public override void OnData(Slice data)
    {
        if (_vwap.IsReady)
        {
            // The current value of _vwap is represented by itself (_vwap)
            // or _vwap.Current.Value
            Plot("IntradayVwap", "vwap", _vwap);
            
        }
    }
}
class IntradayVwapAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vwap = self.VWAP(self.symbol)

    def OnData(self, slice: Slice) -> None:
        if self.vwap.IsReady:
            # The current value of self.vwap is represented by self.vwap.Current.Value
            self.Plot("IntradayVwap", "vwap", self.vwap.Current.Value)
            

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 defaults 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.

For more information about plotting indicators, see Plotting 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.

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/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.

public class IntradayVwapAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private IntradayVwap _vwap;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vwap = new IntradayVwap("SPY");
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _vwap.Update(bar.EndTime, bar.Close);
        }
    
        if (_vwap.IsReady)
        {
            // The current value of _vwap is represented by itself (_vwap)
            // or _vwap.Current.Value
            Plot("IntradayVwap", "vwap", _vwap);
            
        }
    }
}
class IntradayVwapAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vwap = IntradayVwap("SPY")

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.vwap.Update(bar.EndTime, bar.Close)
                
        if self.vwap.IsReady:
            # The current value of self.vwap is represented by self.vwap.Current.Value
            self.Plot("IntradayVwap", "vwap", self.vwap.Current.Value)
            

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

public class IntradayVwapAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private IntradayVwap _vwap;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vwap = new IntradayVwap("SPY");
        RegisterIndicator(_symbol, _vwap, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_vwap.IsReady)
        {
            // The current value of _vwap is represented by itself (_vwap)
            // or _vwap.Current.Value
            Plot("IntradayVwap", "vwap", _vwap);
            
        }
    }
}
class IntradayVwapAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vwap = IntradayVwap("SPY")
        self.RegisterIndicator(self.symbol, self.vwap, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.vwap.IsReady:
            # The current value of self.vwap is represented by self.vwap.Current.Value
            self.Plot("IntradayVwap", "vwap", self.vwap.Current.Value)
            

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.

Visualization

The following image shows plot values of selected properties of IntradayVwap using the plotly library.

IntradayVwap line plot.

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