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 indicator for IntradayVwap, call the VWAPvwap helper method from the QCAlgorithm class. The VWAPvwap 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 Initializeinitialize method.

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

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Minute).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.add_equity("SPY", Resolution.MINUTE).symbol
        self._vwap = self.vwap(self._symbol)

    def on_data(self, slice: Slice) -> None:

        if self._vwap.is_ready:
            # The current value of self._vwap is represented by self._vwap.current.value
            self.plot("IntradayVwap", "vwap", self._vwap.current.value)

For more information about this method, see the QCAlgorithm classQCAlgorithm class.

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 Updateupdate method. The indicator will only be ready after you prime it with enough data.

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

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

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
            _intradayvwap.Update(bar);

        if (_intradayvwap.IsReady)
        {
            // The current value of _intradayvwap is represented by itself (_intradayvwap)
            // or _intradayvwap.Current.Value
            Plot("IntradayVwap", "intradayvwap", _intradayvwap);
        }
    }
}
class IntradayVwapAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol
        self._intradayvwap = IntradayVwap()

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._intradayvwap.update(bar)

        if self._intradayvwap.is_ready:
            # The current value of self._intradayvwap is represented by self._intradayvwap.current.value
            self.plot("IntradayVwap", "intradayvwap", self._intradayvwap.current.value)

For more information about this indicator, see its referencereference.

Visualization

The following plot shows values for some of the IntradayVwap indicator properties:

IntradayVwap line plot.

Indicator History

To get the historical data of the IntradayVwap indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

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

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

        var indicatorHistory = IndicatorHistory(_vwap, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_vwap, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_vwap, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class IntradayVwapAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol
        self._vwap = self.vwap(self._symbol)

        indicator_history = self.indicator_history(self._vwap, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._vwap, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._vwap, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

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