Class: TechnicalAnalysis::Vwap

Inherits:
Indicator show all
Defined in:
lib/technical_analysis/indicators/vwap.rb

Overview

Volume Weighted Average Price

Class Method Summary collapse

Methods inherited from Indicator

find, roster

Class Method Details

.calculate(data) ⇒ Array<VwapValue>

Calculates the volume weighted average price (VWAP) for the data en.wikipedia.org/wiki/Volume-weighted_average_price

Parameters:

  • data (Array) —

    Array of hashes with keys (:date_time, :high, :low, :close, :volume)

Returns:

  • (Array<VwapValue>) —

    An array of VwapValue instances



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# File 'lib/technical_analysis/indicators/vwap.rb', line 52

def self.calculate(data)
  Validation.validate_numeric_data(data, :high, :low, :close, :volume)
  Validation.validate_length(data, min_data_size)
  Validation.validate_date_time_key(data)

  data = data.sort_by { |row| row[:date_time] }

  output = []
  cumm_volume = 0
  cumm_volume_x_typical_price = 0

  data.each do |v|
    typical_price = StockCalculation.typical_price(v)
    cumm_volume_x_typical_price += v[:volume] * typical_price
    cumm_volume += v[:volume]
    vwap = cumm_volume_x_typical_price.to_f / cumm_volume.to_f

    output << VwapValue.new(date_time: v[:date_time], vwap: vwap)
  end

  output.sort_by(&:date_time).reverse
end

.indicator_name ⇒ String

Returns the name of the technical indicator

Returns:

  • (String) —

    A string of the name of the technical indicator



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# File 'lib/technical_analysis/indicators/vwap.rb', line 15

def self.indicator_name
  "Volume Weighted Average Price"
end

.indicator_symbol ⇒ String

Returns the symbol of the technical indicator

Returns:

  • (String) —

    A string of the symbol of the technical indicator



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# File 'lib/technical_analysis/indicators/vwap.rb', line 8

def self.indicator_symbol
  "vwap"
end

.min_data_size(**params) ⇒ Integer

Calculates the minimum number of observations needed to calculate the technical indicator

Parameters:

  • options (Hash) —

    The options for the technical indicator

Returns:

  • (Integer) —

    Returns the minimum number of observations needed to calculate the technical indicator based on the options provided



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# File 'lib/technical_analysis/indicators/vwap.rb', line 42

def self.min_data_size(**params)
  1
end

.valid_options ⇒ Array

Returns an array of valid keys for options for this technical indicator

Returns:

  • (Array) —

    An array of keys as symbols for valid options for this technical indicator



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# File 'lib/technical_analysis/indicators/vwap.rb', line 22

def self.valid_options
  []
end

.validate_options(options) ⇒ Boolean

Validates the provided options for this technical indicator

Parameters:

  • options (Hash) —

    The options for the technical indicator to be validated

Returns:

  • (Boolean) —

    Returns true if options are valid or raises a ValidationError if they’re not



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# File 'lib/technical_analysis/indicators/vwap.rb', line 31

def self.validate_options(options)
  return true if options == {}
  raise Validation::ValidationError.new "This indicator doesn't accept any options."
end