public void IsReadyAfterPeriodUpdates()
{
var ind = new VolumeWeightedAveragePriceIndicator(3);
ind.Update(new TradeBar(DateTime.UtcNow, "SPY", 1m, 1m, 1m, 1m, 1));
ind.Update(new TradeBar(DateTime.UtcNow, "SPY", 1m, 1m, 1m, 1m, 1));
Assert.IsFalse(ind.IsReady);
ind.Update(new TradeBar(DateTime.UtcNow, "SPY", 1m, 1m, 1m, 1m, 1));
Assert.IsTrue(ind.IsReady);
}
public void ResetsProperly()
{
var ind = new VolumeWeightedAveragePriceIndicator(50);
foreach (var data in TestHelper.GetTradeBarStream("spy_with_vwap.txt"))
{
ind.Update(data);
}
Assert.IsTrue(ind.IsReady);
ind.Reset();
TestHelper.AssertIndicatorIsInDefaultState(ind);
ind.Update(new TradeBar(DateTime.UtcNow, Symbols.SPY, 2m, 2m, 2m, 2m, 1));
Assert.AreEqual(ind.Current.Value, 2m);
}
public void Scan(TradeBar data)
{
_vwap.Update(data);
if (_vwap > data.Price && !_securityHolding.Invested)
{
Signal = SignalType.Long;
}
else if (_vwap < data.Price && !_securityHolding.Invested)
{
Signal = SignalType.Short;
}
else
{
Signal = SignalType.NoSignal;
}
}
public void VwapComputesCorrectly()
{
const int period = 4;
const int volume = 100;
var ind = new VolumeWeightedAveragePriceIndicator(period);
var data = new[] { 1d, 10d, 100d, 1000d, 10000d, 1234d, 56789d };
var seen = new List <double>();
for (var i = 0; i < data.Length; i++)
{
var datum = data[i];
seen.Add(datum);
ind.Update(DateTime.Now.AddSeconds(i), new TradeBarValue(datum, datum, datum, datum, volume));
// When volume is constant, VWAP is a simple moving average
Assert.AreEqual(Enumerable.Reverse(seen).Take(period).Average(), ind.Current.Value);
}
}
public void VWAPComputesCorrectly()
{
const int period = 4;
const int volume = 100;
var ind = new VolumeWeightedAveragePriceIndicator(period);
var data = new[] { 1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m };
var seen = new List <decimal>();
for (int i = 0; i < data.Length; i++)
{
var datum = data[i];
seen.Add(datum);
ind.Update(new TradeBar(DateTime.Now.AddSeconds(i), TimeZone.Utc, Props.TickerSymbol, datum, datum, datum, datum, volume));
// When volume is constant, VWAP is a simple moving average
Assert.Equal(Enumerable.Reverse(seen).Take(period).Average(), ind.Current.Price);
}
}
public bool Update(TradeBar data, decimal holdings)
{
_data = data;
_holdings = holdings;
var isReady = _ich.Update(data) && _adx.Update(data) && _vwap.Update(data);
_consolidation.RollConsolidationWindow();
_consolidation.Consolidate(data, _ich);
//_volume.Add(data.Volume);
TrendDirection = IsBullishTrend()
? Direction.Bullish
: IsBearishTrend() ? Direction.Bearish : Direction.None;
return(isReady);
}