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VWAP Indicator

Hi,

  The strategy I am currently working on requires the Volume Weighted Average Price of an equity to constantly be checked. I found the VWAP Indicator and tried to implement it into my strategy, but whenever I check the value of the VWAP it always returns 0.0. I dont know if this is a bug or the example of how it is used in incorrect, or if I'm just missing something, but if anyone knows how to better use the VWAP indicator or of another way to check the VWAP of an equity that would be great! Thanks.

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Please checkout a simple algorithm we wrote to show how to implement the VWAP indicator:

// In Initialize
_vwap = VWAP("SPY", 20);

and show its value

// In OnData
Plot("SPY", "VWAP", _vwap);


 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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