/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_price.Reset();
_volume.Reset();
_vwap = _price.WeightedBy(_volume, _period);
base.Reset();
}
/// <summary>
/// Initializes a new instance of the VWAP class with a given name and period
/// </summary>
/// <param name="name">string - the name of the indicator</param>
/// <param name="period">The period of the VWAP</param>
public VolumeWeightedAveragePriceIndicator(string name, int period)
: base(name)
{
_price = new Identity("Price");
_volume = new Identity("Volume");
// This class will be using WeightedBy indicator extension
_vwap = _price.WeightedBy(_volume, period);
}
/// <summary>
/// Initializes a new instance of the VWAP class with a given name and period
/// </summary>
/// <param name="name">string - the name of the indicator</param>
/// <param name="period">The period of the VWAP</param>
public VolumeWeightedAveragePriceIndicator(string name, int period)
: base(name)
{
_price = new Identity("Price");
_volume = new Identity("Volume");
// This class will be using WeightedBy indicator extension
_vwap = _price.WeightedBy(_volume, period);
}
public void PipesDataFirstWeightedBySecond()
{
const int period = 4;
var value = new Identity("Value");
var weight = new Identity("Weight");
var third = value.WeightedBy(weight, period);
var data = Enumerable.Range(1, 10).ToList();
var window = Enumerable.Reverse(data).Take(period);
var current = window.Sum(x => 2 * x * x) / (decimal)window.Sum(x => x);
foreach (var item in data)
{
value.Update(new IndicatorDataPoint(DateTime.UtcNow, Convert.ToDecimal(2 * item)));
weight.Update(new IndicatorDataPoint(DateTime.UtcNow, Convert.ToDecimal(item)));
}
Assert.AreEqual(current, third.Current.Value);
}
