Idea of a new VWAP indicator based on spread, request of a "pull request".

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Hi,

I am currently working with Forex data, which does not contain volume data.
In my algo I would like to integrate the VWAP indicator, which does not integrate the volumes.
So I thought about an alternative that could overcome this impasse.

Modify the VWAP indicator, adding the QuoteBar candles and adding too an alternative to volume data either by:

- The sum of the spreads at the opening of a candle and at its closing.
(Ask.Open - Bid.Open) + (Ask.Close - Bid.Close)

Either by :

- The average of the spreads at the opening of a candle and at its closing.
((Ask.Open - Bid.Open) + (Ask.Close - Bid.Close)) / 2

I could do that myself, and propose to you a modification but on my github the button "Create pull request" isn't activated.

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Hi Gmamuze,

A moving VWAP without volume is just an SMA. For your suggestion, try using a custom VolumeWeightedAveragePriceIndicator and updating it with the custom value, and documentation can be found here under Manual Update.

Best,
Shile Wen

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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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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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