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Hi,
I am currently working with Forex data, which does not contain volume data.
In my algo I would like to integrate the VWAP indicator, which does not integrate the volumes.
So I thought about an alternative that could overcome this impasse.
Modify the VWAP indicator, adding the QuoteBar candles and adding too an alternative to volume data either by:
- The sum of the spreads at the opening of a candle and at its closing.
(Ask.Open - Bid.Open) + (Ask.Close - Bid.Close)
Either by :
- The average of the spreads at the opening of a candle and at its closing.
((Ask.Open - Bid.Open) + (Ask.Close - Bid.Close)) / 2
I could do that myself, and propose to you a modification but on my github the button "Create pull request" isn't activated.
Shile Wen
Hi Gmamuze,
A moving VWAP without volume is just an SMA. For your suggestion, try using a custom VolumeWeightedAveragePriceIndicator and updating it with the custom value, and documentation can be found here under Manual Update.
Best,
Shile Wen
Gmamuze Cht
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