public VWAP(Bars bars, string description)
: base(bars, description)
{
Helper.CompatibilityCheck();
base.FirstValidValue = 1;
//Can't work if data isn't intraday
if (!bars.IsIntraday)
{
return;
}
double x = 0;
double MVol = 0;
//First, compute the typical price for the intraday period. This is the average of the high, low and close {(H+L+C)/3)}.
AveragePrice ap = AveragePrice.Series(bars);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
// daily initialization
if (bars.IntradayBarNumber(bar) == 0)
{
x = 0;
MVol = 0;
//20180413 fix for not taking the intraday bar 0 value, replacing it with the prior day VWAP closing value
//if (bar > 0)
// base[bar] = base[bar - 1];
}
//else //20180413 fix for not taking the intraday bar 0 value, replacing it with the prior day VWAP closing value
{
//Second, multiply the typical price by the period's volume.
//Third, create a running total of these values. This is also known as a cumulative total.
x += ap[bar] * bars.Volume[bar];
//Fourth, create a running total of volume (cumulative volume).
MVol += bars.Volume[bar];
//Fifth, divide the running total of price-volume by the running total of volume.
base[bar] = x / MVol;
}
// Old version (prior to 2012.04)
/*x += ap[bar] * bars.Volume[bar];
* MVol += bars.Volume[bar];
* if (MVol == 0)
* base[bar] = ap[bar];
* else
* base[bar] = x / MVol;*/
}
}
public DV2(Bars bars, string description)
: base(bars, description)
{
base.FirstValidValue = 2;
DataSeries dv2 = bars.Close / AveragePrice.Series(bars) - 1;
dv2 = (dv2 + (dv2 >> 1)) / 2d;
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
base[bar] = dv2[bar];
}
}
public AwesomeOscillator(Bars bars, int period1, int period2, string description)
: base(bars, description)
{
base.FirstValidValue = period1 + period2;
AveragePrice avg = AveragePrice.Series(bars);
var rangePartitioner = Partitioner.Create(0, bars.Count);
Parallel.ForEach(rangePartitioner, (range, loopState) =>
{
for (int bar = range.Item1; bar < range.Item2; bar++)
{
base[bar] = Community.Indicators.FastSMA.Series(avg, period1)[bar] - Community.Indicators.FastSMA.Series(avg, period2)[bar];
}
});
}