Class VwapRTIndicator

java.lang.Object

com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator

com.wualabs.qtsurfer.engine.indicators.volume.pro.VwapRTIndicator

All Implemented Interfaces:

Resettable, CacheableRTIndicator, RichRTIndicator<MarketSnapshot>, RTIndicator

public class VwapRTIndicator
extends AbstractRTIndicator
implements RichRTIndicator<MarketSnapshot>, CacheableRTIndicator

Volume Weighted Average Price (VWAP) with O(1) per-tick computation.

Cumulative VWAP using the typical price:

  typicalPrice = (high + low + close) / 3
  VWAP = sum(typicalPrice * volume) / sum(volume)

Call reset() at the start of each session/period to reset the cumulative sums.

Constructor Summary

Constructors

Constructor	Description
VwapRTIndicator()

Method Summary

Modifier and Type	Method	Description
boolean	requiresBarData()	Whether this indicator's result is only meaningful over per-bar OHLCV data.
void	reset()
String	signature()	This instance's math identity — equal signatures must mean identical value series for identical input.
double	update(double newValue)
double	updateFrom(MarketSnapshot snap)	Updates the indicator from a full market snapshot.
double	updateHLCV(double high, double low, double close, double volume)

Methods inherited from class AbstractRTIndicator

equals, getDisplayHint, getMeta, getValue, hashCode, hide, isPoison, setValue, toString, toString, withDisplayHint, withMeta

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface RTIndicator

getDisplayHint, getId, getMeta, getValue, isHidden, isReady, ro, update, update

Constructor Details

VwapRTIndicator

public VwapRTIndicator()

Method Details

signature

public String signature()

Description copied from interface: CacheableRTIndicator

This instance's math identity — equal signatures must mean identical value series for identical input.

Specified by:

signature in interface CacheableRTIndicator

Returns:

the identity, or null when this instance cannot state one (an unidentifiable source, a mode the implementation does not model) and must therefore compute live

reset

public void reset()

Specified by:

reset in interface Resettable

Overrides:

reset in class AbstractRTIndicator

requiresBarData

public boolean requiresBarData()

Whether this indicator's result is only meaningful over per-bar OHLCV data.

The distinction matters because a RichRTIndicator<MarketSnapshot> accepts a TickerSnapshot just as happily as a KlineSnapshot — and on the ticker path volume, high, low and open are the exchange's 24-hour rolling statistics, not this tick's bar. Nothing throws: OBV silently accumulates a 24h volume figure over and over, ATR reads a 24h range as if it were one bar's. The numbers look plausible and mean nothing, which is the worst failure mode of the three.

Indicators that return true are flagged once per (indicator, instrument) when bound on the ticker path — see InstrumentMapTickerSourceRTIndicator. Scalar indicators (SMA/EMA/RSI over a single price) are unaffected and default to false.

true: this indicator reads per-bar OHLCV, which the ticker path does not carry.

Specified by:

requiresBarData in interface RichRTIndicator<MarketSnapshot>

Returns:

true if this indicator needs real bar data; false by default

updateFrom

public double updateFrom(MarketSnapshot snap)

Description copied from interface: RichRTIndicator

Updates the indicator from a full market snapshot. Returns the new value so callers can chain (matching RTIndicator.update(double)'s contract).

Specified by:

updateFrom in interface RichRTIndicator<MarketSnapshot>

updateHLCV

public double updateHLCV(double high,
 double low,
 double close,
 double volume)

update

public double update(double newValue)

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator