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FEATURE: [indicator] Add VWAP indicator #1258

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FEATURE: [indicator] Add VWAP indicator #1258

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4 changes: 4 additions & 0 deletions pkg/bbgo/indicator_set.go
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Original file line number Diff line number Diff line change
Expand Up @@ -73,6 +73,10 @@ func (i *IndicatorSet) VOLUME(interval types.Interval) *indicatorv2.PriceStream
return indicatorv2.Volumes(i.KLines(interval))
}

func (i *IndicatorSet) VWAP(iw types.IntervalWindow) *indicatorv2.VWAPStream {
return indicatorv2.VWAP(i.CLOSE(iw.Interval), i.VOLUME(iw.Interval), iw.Window)
}

func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicatorv2.RSIStream {
return indicatorv2.RSI2(i.CLOSE(iw.Interval), iw.Window)
}
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43 changes: 43 additions & 0 deletions pkg/indicator/v2/vwap.go
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Original file line number Diff line number Diff line change
@@ -0,0 +1,43 @@
package indicatorv2

import (
"github.com/c9s/bbgo/pkg/types"
)

const MaxNumOfVWAP = 500_000

type VWAPStream struct {
*types.Float64Series
window int
rawCloseValues *types.Queue
rawVolumeValues *types.Queue
}

func VWAP(price types.Float64Source, volume types.Float64Source, window int) *VWAPStream {
s := &VWAPStream{
Float64Series: types.NewFloat64Series(),
window: window,
rawCloseValues: types.NewQueue(window),
rawVolumeValues: types.NewQueue(window),
}
price.OnUpdate(func(p float64) {
s.rawCloseValues.Update(p)
s.calculate()
})
volume.OnUpdate(func(v float64) {
s.rawVolumeValues.Update(v)
s.calculate()
})
return s
}

func (s *VWAPStream) calculate() float64 {
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You need to check both the rawCloseValues, rawVolumeValues length, because it could trigger twice since you have 2 update callbacks, or you can subscribe the KLine stream

vwap := s.rawCloseValues.Dot(s.rawVolumeValues) / s.rawVolumeValues.Sum(s.window)
s.Slice.Push(vwap)
s.EmitUpdate(vwap)
return vwap
}

func (s *VWAPStream) Truncate() {
s.Slice = s.Slice.Truncate(MaxNumOfVWAP)
}