VWAP continual free

by mfejza in category Trend at 08/09/2022
Description

In this version VWAP (Volume Weighted Average Price) is calculated based on comulative look back periods

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Formula / Source Code
Language: C#
Trading Platform: cAlgocTrader
´╗┐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];
        }
    }
}
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alexsanramon - September 16, 2022 @ 01:55

This indicator works the same as simple moving average. Please check. THanks,

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