Supported Indicators

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.

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

Using VWAP Indicator

To create an automatic indicators for VolumeWeightedAveragePriceIndicator, call the VWAP helper method from the QCAlgorithm class. The VWAP method creates a VolumeWeightedAveragePriceIndicator 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 VolumeWeightedAveragePriceIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedAveragePriceIndicator _vwap;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vwap = VWAP(_symbol, 20);
    }

    public override void OnData(Slice data)
    {
        if (_vwap.IsReady)
        {
            // The current value of _vwap is represented by itself (_vwap)
            // or _vwap.Current.Value
            Plot("VolumeWeightedAveragePriceIndicator", "vwap", _vwap);
            
        }
    }
}
class VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vwap = self.VWAP(self.symbol, 20)

    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("VolumeWeightedAveragePriceIndicator", "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 VolumeWeightedAveragePriceIndicator 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 a TradeBar. The indicator will only be ready after you prime it with enough data.

public class VolumeWeightedAveragePriceIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedAveragePriceIndicator _vwap;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vwap = new VolumeWeightedAveragePriceIndicator(20);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGeValue(_symbol, out var bar))
        {      
            _vwap.Update(bar);
        }

        if (_vwap.IsReady)
        {
            // The current value of _vwap is represented by itself (_vwap)
            // or _vwap.Current.Value
            Plot("VolumeWeightedAveragePriceIndicator", "vwap", _vwap);
            
        }
    }
}
class VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vwap = VolumeWeightedAveragePriceIndicator(20)

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.vwap.Update(bar)

        if self.vwap.IsReady:
            # The current value of self.vwap is represented by self.vwap.Current.Value
            self.Plot("VolumeWeightedAveragePriceIndicator", "vwap", self.vwap.Current.Value)

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

public class VolumeWeightedAveragePriceIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedAveragePriceIndicator _vwap;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _vwap = new VolumeWeightedAveragePriceIndicator(20);
        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("VolumeWeightedAveragePriceIndicator", "vwap", _vwap);
            
        }
    }
}
class VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.vwap = VolumeWeightedAveragePriceIndicator(20)
        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("VolumeWeightedAveragePriceIndicator", "vwap", self.vwap.Current.Value)

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.

Visualization

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

VolumeWeightedAveragePriceIndicator line plot.

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