VWAP continual free
Description
In this version VWAP (Volume Weighted Average Price) is calculated based on comulative look back periods
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Formula / Source Code
using System;
using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using cAlgo.Indicators;
namespace cAlgo
{
[Indicator(IsOverlay = true, AccessRights = AccessRights.None)]
public class mVWAPcontinual : Indicator
{
[Parameter("Periods (10)", DefaultValue = 10)]
public int inpPeriods { get; set; }
[Output("VWAP Continual")]
public IndicatorDataSeries outVWAPc { get; set; }
private IndicatorDataSeries _vwap;
protected override void Initialize()
{
_vwap = CreateDataSeries();
}
public override void Calculate(int i)
{
_vwap[i] = ((Bars.TypicalPrices.Sum(inpPeriods) * Bars.TickVolumes.Sum(inpPeriods)) / Bars.TickVolumes.Sum(inpPeriods)) / inpPeriods;
outVWAPc[i] = _vwap[i];
}
}
}
Comments
This indicator works the same as simple moving average. Please check. THanks,
Dear alexsanramon & nicolejohnston668
To show the difference between Continual VWAP and SMA you have the indicator as in link
Hope this costum indicator complete your suspicion
