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.
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override bool | IsReady => VWAP.IsReady |
| Gets a flag indicating when this indicator is ready and fully initialized More...
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int | WarmUpPeriod => _period |
| Required period, in data points, for the indicator to be ready and fully initialized. More...
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int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More...
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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.
Definition at line 26 of file VolumeWeightedAveragePriceIndicator.cs.
◆ VolumeWeightedAveragePriceIndicator() [1/2]
QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.VolumeWeightedAveragePriceIndicator |
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int |
period | ) |
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◆ VolumeWeightedAveragePriceIndicator() [2/2]
QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.VolumeWeightedAveragePriceIndicator |
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string |
name, |
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int |
period |
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Initializes a new instance of the VWAP class with a given name and period
- Parameters
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name | string - the name of the indicator |
period | The period of the VWAP |
Definition at line 50 of file VolumeWeightedAveragePriceIndicator.cs.
◆ Reset()
override void QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.Reset |
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◆ ComputeNextValue()
override decimal QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.ComputeNextValue |
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TradeBar |
input | ) |
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protected |
Computes the next value of this indicator from the given state
- Parameters
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input | The input given to the indicator |
- Returns
- A new value for this indicator
Definition at line 88 of file VolumeWeightedAveragePriceIndicator.cs.
◆ GetTimeWeightedAveragePrice()
virtual decimal QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.GetTimeWeightedAveragePrice |
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TradeBar |
input | ) |
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protectedvirtual |
Gets an estimated average price to use for the interval covered by the input trade bar.
- Parameters
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input | The current trade bar input |
- Returns
- An estimated average price over the trade bar's interval
Definition at line 100 of file VolumeWeightedAveragePriceIndicator.cs.
◆ IsReady
override bool QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.IsReady => VWAP.IsReady |
◆ WarmUpPeriod
int QuantConnect.Indicators.VolumeWeightedAveragePriceIndicator.WarmUpPeriod => _period |
The documentation for this class was generated from the following file: