highcharts
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JavaScript charting framework
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JavaScript
/* *
*
* (c) 2010-2024 Paweł Dalek
*
* Volume Weighted Average Price (VWAP) indicator for Highcharts Stock
*
* License: www.highcharts.com/license
*
* !!!!!!! SOURCE GETS TRANSPILED BY TYPESCRIPT. EDIT TS FILE ONLY. !!!!!!!
*
* */
;
import SeriesRegistry from '../../../Core/Series/SeriesRegistry.js';
const { sma: SMAIndicator } = SeriesRegistry.seriesTypes;
import U from '../../../Core/Utilities.js';
const { error, isArray, merge } = U;
/* *
*
* Class
*
* */
/**
* The Volume Weighted Average Price (VWAP) series type.
*
* @private
* @class
* @name Highcharts.seriesTypes.vwap
*
* @augments Highcharts.Series
*/
class VWAPIndicator extends SMAIndicator {
/* *
*
* Functions
*
* */
getValues(series, params) {
const indicator = this, chart = series.chart, xValues = series.xData, yValues = series.yData, period = params.period;
let isOHLC = true, volumeSeries;
// Checks if volume series exists
if (!(volumeSeries = (chart.get(params.volumeSeriesID)))) {
error('Series ' +
params.volumeSeriesID +
' not found! Check `volumeSeriesID`.', true, chart);
return;
}
// Checks if series data fits the OHLC format
if (!(isArray(yValues[0]))) {
isOHLC = false;
}
return indicator.calculateVWAPValues(isOHLC, xValues, yValues, volumeSeries, period);
}
/**
* Main algorithm used to calculate Volume Weighted Average Price (VWAP)
* values
*
* @private
*
* @param {boolean} isOHLC
* Says if data has OHLC format
*
* @param {Array<number>} xValues
* Array of timestamps
*
* @param {Array<number|Array<number,number,number,number>>} yValues
* Array of yValues, can be an array of a four arrays (OHLC) or array of
* values (line)
*
* @param {Array<*>} volumeSeries
* Volume series
*
* @param {number} period
* Number of points to be calculated
*
* @return {Object}
* Object contains computed VWAP
**/
calculateVWAPValues(isOHLC, xValues, yValues, volumeSeries, period) {
const volumeValues = volumeSeries.getColumn('y'), volumeLength = volumeValues.length, pointsLength = xValues.length, cumulativePrice = [], cumulativeVolume = [], xData = [], yData = [], VWAP = [];
let commonLength, typicalPrice, cPrice, cVolume, i, j;
if (pointsLength <= volumeLength) {
commonLength = pointsLength;
}
else {
commonLength = volumeLength;
}
for (i = 0, j = 0; i < commonLength; i++) {
// Depending on whether series is OHLC or line type, price is
// average of the high, low and close or a simple value
typicalPrice = isOHLC ?
((yValues[i][1] + yValues[i][2] +
yValues[i][3]) / 3) :
yValues[i];
typicalPrice *= volumeValues[i];
cPrice = j ?
(cumulativePrice[i - 1] + typicalPrice) :
typicalPrice;
cVolume = j ?
(cumulativeVolume[i - 1] + volumeValues[i]) :
volumeValues[i];
cumulativePrice.push(cPrice);
cumulativeVolume.push(cVolume);
VWAP.push([xValues[i], (cPrice / cVolume)]);
xData.push(VWAP[i][0]);
yData.push(VWAP[i][1]);
j++;
if (j === period) {
j = 0;
}
}
return {
values: VWAP,
xData: xData,
yData: yData
};
}
}
/* *
*
* Static Properties
*
* */
/**
* Volume Weighted Average Price indicator.
*
* This series requires `linkedTo` option to be set.
*
* @sample stock/indicators/vwap
* Volume Weighted Average Price indicator
*
* @extends plotOptions.sma
* @since 6.0.0
* @product highstock
* @requires stock/indicators/indicators
* @requires stock/indicators/vwap
* @optionparent plotOptions.vwap
*/
VWAPIndicator.defaultOptions = merge(SMAIndicator.defaultOptions, {
/**
* @excluding index
*/
params: {
index: void 0, // Unchangeable index, do not inherit (#15362)
period: 30,
/**
* The id of volume series which is mandatory. For example using
* OHLC data, volumeSeriesID='volume' means the indicator will be
* calculated using OHLC and volume values.
*/
volumeSeriesID: 'volume'
}
});
SeriesRegistry.registerSeriesType('vwap', VWAPIndicator);
/* *
*
* Default Export
*
* */
export default VWAPIndicator;
/* *
*
* API Options
*
* */
/**
* A `Volume Weighted Average Price (VWAP)` series. If the
* [type](#series.vwap.type) option is not specified, it is inherited from
* [chart.type](#chart.type).
*
* @extends series,plotOptions.vwap
* @since 6.0.0
* @product highstock
* @excluding dataParser, dataURL
* @requires stock/indicators/indicators
* @requires stock/indicators/vwap
* @apioption series.vwap
*/
''; // To include the above in the js output