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 indicator for VolumeWeightedAveragePriceIndicator, call the VWAPvwap helper method from the QCAlgorithm class. The VWAPvwap 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 Initializeinitialize 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.add_equity("SPY", Resolution.DAILY).symbol
        self._vwap = self.vwap(self._symbol, 20)

    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("VolumeWeightedAveragePriceIndicator", "vwap", self._vwap.current.value)

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

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

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

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

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

        if (_volumeweightedaveragepriceindicator.IsReady)
        {
            // The current value of _volumeweightedaveragepriceindicator is represented by itself (_volumeweightedaveragepriceindicator)
            // or _volumeweightedaveragepriceindicator.Current.Value
            Plot("VolumeWeightedAveragePriceIndicator", "volumeweightedaveragepriceindicator", _volumeweightedaveragepriceindicator);
        }
    }
}
class VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._volumeweightedaveragepriceindicator = VolumeWeightedAveragePriceIndicator(20)

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

        if self._volumeweightedaveragepriceindicator.is_ready:
            # The current value of self._volumeweightedaveragepriceindicator is represented by self._volumeweightedaveragepriceindicator.current.value
            self.plot("VolumeWeightedAveragePriceIndicator", "volumeweightedaveragepriceindicator", self._volumeweightedaveragepriceindicator.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

VolumeWeightedAveragePriceIndicator line plot.

Indicator History

To get the historical data of the VolumeWeightedAveragePriceIndicator 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 VolumeWeightedAveragePriceIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedAveragePriceIndicator _vwap;

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

        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 VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._vwap = self.vwap(self._symbol, 20)

        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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