highcharts
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JavaScript
/**
* @license Highcharts JS v6.2.0 (2018-10-17)
*
* Indicator series type for Highstock
*
* (c) 2010-2017 Paweł Dalek
*
* License: www.highcharts.com/license
*/
;
(function (factory) {
if (typeof module === 'object' && module.exports) {
module.exports = factory;
} else if (typeof define === 'function' && define.amd) {
define(function () {
return factory;
});
} else {
factory(Highcharts);
}
}(function (Highcharts) {
(function (H) {
/**
* (c) 2010-2017 Paweł Dalek
*
* Volume Weighted Average Price (VWAP) indicator for Highstock
*
* License: www.highcharts.com/license
*/
var isArray = H.isArray,
seriesType = H.seriesType;
/**
* The Volume Weighted Average Price (VWAP) series type.
*
* @constructor seriesTypes.vwap
* @augments seriesTypes.sma
*/
seriesType('vwap', 'sma',
/**
* Volume Weighted Average Price indicator.
*
* This series requires `linkedTo` option to be set.
*
* @extends plotOptions.sma
* @product highstock
* @sample {highstock} stock/indicators/vwap
* Volume Weighted Average Price indicator
* @since 6.0.0
* @optionparent plotOptions.vwap
*/
{
/**
* @excluding index
*/
params: {
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.
*
* @type {String}
* @since 6.0.0
* @product highstock
*/
volumeSeriesID: 'volume'
}
}, {
/**
* Returns the final values of the indicator ready to be presented on a
* chart
* @returns {Object} Object containing computed VWAP
**/
getValues: function (series, params) {
var indicator = this,
chart = series.chart,
xValues = series.xData,
yValues = series.yData,
period = params.period,
isOHLC = true,
volumeSeries;
// Checks if volume series exists
if (!(volumeSeries = chart.get(params.volumeSeriesID))) {
return H.error(
'Series ' +
params.volumeSeriesID +
' not found! Check `volumeSeriesID`.',
true
);
}
// 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
* @param {Boolean} isOHLC says if data has OHLC format
* @param {Array} xValues array of timestamps
* @param {Array} 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
* @returns {Object} Object contains computed VWAP
**/
calculateVWAPValues: function (
isOHLC,
xValues,
yValues,
volumeSeries,
period
) {
var volumeValues = volumeSeries.yData,
volumeLength = volumeSeries.xData.length,
pointsLength = xValues.length,
cumulativePrice = [],
cumulativeVolume = [],
xData = [],
yData = [],
VWAP = [],
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
};
}
});
/**
* 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).
*
* @type {Object}
* @since 6.0.0
* @extends series,plotOptions.vwap
* @excluding data,dataParser,dataURL
* @product highstock
* @apioption series.vwap
*/
/**
* @extends series.sma.data
* @product highstock
* @apioption series.vwap.data
*/
}(Highcharts));
return (function () {
}());
}));