VWAP Confusion - Please Help

The Volume Weighted Average Price (VWAP) Indicator is calculated by adding up the dollars traded for every transaction (price multiplied by the number of shares traded) and then dividing by the total shares traded for the day. The "period" parameter in the VWAP method refers to the number of bars over which the VWAP is computed.

In the case of using 1-minute data with a period of 5, the VWAP is calculated over the last 5 minutes. If you call the Reset() method, it will clear the internal state of the VWAP indicator, and it will start calculating the VWAP over the next 5 minutes.

If you want the VWAP to accumulate over the entire day, you should not call the Reset() method. The VWAP will then be calculated over all the 1-minute bars of the day.

Here is an example of how to use the VWAP indicator in Python:

class VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def Initialize(self):
        self._symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self._vwap = self.VWAP(self._symbol, 5)

    def OnData(self, data):
        if self._vwap.IsReady:
            self.Plot("VolumeWeightedAveragePriceIndicator", "vwap", self._vwap)

In this example, the VWAP is calculated over the last 5 minutes. If you want the VWAP to accumulate over the entire day, you should set the period to the number of minutes in a trading day (e.g., 390 for a typical US equity market day from 9:30 AM to 4:00 PM).

Please note that the VWAP indicator is designed to be used with trade bar data, and it may not work correctly if you use it with other types of data.

For more information, you can refer to the QuantConnect documentation on the VWAP indicator.

So, debugging my code based on the above recommendation, the indicator is not ready until the day end. The period has to be done before  IsReady evaluates as True. So, 390 the day is over before it is True. 

The IsReady property of an indicator becomes True when the indicator has enough data to produce a valid output. For the VWAP indicator, this means that it needs to have data for the number of periods specified when creating the indicator.

If you set the period to 390 (the number of minutes in a typical US equity market day), the IsReady property will indeed become True only at the end of the day. This is because the VWAP indicator needs to have data for the entire day to calculate the VWAP.

If you want the VWAP indicator to be ready before the end of the day, you need to set the period to a smaller number. For example, if you set the period to 60, the IsReady property will become True after the first hour of trading.

Here is an example of how to use the VWAP indicator with a period of 60 minutes in Python:

class VolumeWeightedAveragePriceIndicatorAlgorithm(QCAlgorithm):
    def Initialize(self):
        self._symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        self._vwap = self.VWAP(self._symbol, 60)

    def OnData(self, data):
        if self._vwap.IsReady:
            self.Plot("VolumeWeightedAveragePriceIndicator", "vwap", self._vwap)

In this example, the IsReady property will become True after the first hour of trading, and the VWAP will be calculated over the last 60 minutes.

For more information, you can refer to the QuantConnect documentation on the VWAP indicator.

https://www.quantconnect.com/docs/v2/writing-algorithms/indicators/supported-indicators/volume-weighted-average-price-indicator

link is now broken (404 error)

FemtoTrader;

I found the “Volume Weighted Average Price Indicator” under “Intraday VWAP” in the new (V2) documentation: 

It appears this content is auto-generated using the source code & comments. It needs to be updated before re-generating this documentation page.

Maybe Louis Szeto can help figure out the changes required? 

FYI: The link to the V1 documentation for “VWAP” and “Intraday VWAP” (underneath VWAP), with a brief description and their parameters: 

Limited in details as links simply point to the top of the same page.

Hi all

Both indicators have the same helper method abstraction VWAP. If you're including a period argument, you get VolumeWeightedMovingAverage indicator. Otherwise, you'll get IntradayVwap indicator.

It is correct that the indicator value is accurate only when it is “IsReady”, so make sure you warm up the indicator properly after reset.

Best
Louis