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.