package indicator import ( "time" "github.com/c9s/bbgo/pkg/types" ) /* vwap implements the volume weighted average price (VWAP) indicator: Volume Weighted Average Price (VWAP) Definition - https://www.investopedia.com/terms/v/vwap.asp Volume-Weighted Average Price (VWAP) Explained - https://academy.binance.com/en/articles/volume-weighted-average-price-vwap-explained */ //go:generate callbackgen -type VWAP type VWAP struct { types.IntervalWindow Values types.Float64Slice Prices types.Float64Slice Volumes types.Float64Slice WeightedSum float64 VolumeSum float64 EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *VWAP) Update(price, volume float64) { inc.Prices.Push(price) inc.Volumes.Push(volume) if inc.Window != 0 && len(inc.Prices) > inc.Window { popIndex := len(inc.Prices) - inc.Window - 1 inc.WeightedSum -= inc.Prices[popIndex] * inc.Volumes[popIndex] inc.VolumeSum -= inc.Volumes[popIndex] } inc.WeightedSum += price * volume inc.VolumeSum += volume vwap := inc.WeightedSum / inc.VolumeSum inc.Values.Push(vwap) } func (inc *VWAP) Last() float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *VWAP) Index(i int) float64 { length := len(inc.Values) if length == 0 || length-i-1 < 0 { return 0 } return inc.Values[length-i-1] } func (inc *VWAP) Length() int { return len(inc.Values) } var _ types.Series = &VWAP{} func (inc *VWAP) calculateAndUpdate(kLines []types.KLine) { var priceF = KLineTypicalPriceMapper for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.Update(priceF(k), k.Volume.Float64()) } inc.EmitUpdate(inc.Last()) inc.EndTime = kLines[len(kLines)-1].EndTime.Time() } func (inc *VWAP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *VWAP) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func CalculateVWAP(klines []types.KLine, priceF KLinePriceMapper, window int) float64 { vwap := VWAP{IntervalWindow: types.IntervalWindow{Window: window}} for _, k := range klines { vwap.Update(priceF(k), k.Volume.Float64()) } return vwap.Last() }