Supported Indicators

Volume Weighted Moving Average

Introduction

This indicator computes the Volume Weighted Moving Average (VWMA) It is a technical analysis indicator used by traders to determine the average price of an asset over a given period of time, taking into account both price and volume.

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

Using VWMA Indicator

To create an automatic indicator for VolumeWeightedMovingAverage, call the VWMAvwma helper method from the QCAlgorithm class. The VWMAvwma method creates a VolumeWeightedMovingAverage 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 VolumeWeightedMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedMovingAverage _vwma;

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

    public override void OnData(Slice data)
    {

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

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

        if self._vwma.is_ready:
            # The current value of self._vwma is represented by self._vwma.current.value
            self.plot("VolumeWeightedMovingAverage", "vwma", self._vwma.current.value)

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

You can manually create a VolumeWeightedMovingAverage 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 VolumeWeightedMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedMovingAverage _volumeweightedmovingaverage;

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

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

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

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

        if self._volumeweightedmovingaverage.is_ready:
            # The current value of self._volumeweightedmovingaverage is represented by self._volumeweightedmovingaverage.current.value
            self.plot("VolumeWeightedMovingAverage", "volumeweightedmovingaverage", self._volumeweightedmovingaverage.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

VolumeWeightedMovingAverage line plot.

Indicator History

To get the historical data of the VolumeWeightedMovingAverage 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 VolumeWeightedMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private VolumeWeightedMovingAverage _vwma;

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

        var indicatorHistory = IndicatorHistory(_vwma, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_vwma, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_vwma, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class VolumeWeightedMovingAverageAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._vwma = self.vwma(self._symbol, 20)

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

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