trading-signals/dist/trend/VWAP/VWAP.js

Technical indicators to run technical analysis with JavaScript / TypeScript.

import { IndicatorSeries } from '../../base/Indicator.js';
import { getTypicalPrice } from '../../util/getTypicalPrice.js';
export class VWAP extends IndicatorSeries {
    #cumulativeTypicalPriceVolume = 0;
    #cumulativeVolume = 0;
    #lastCandle = null;
    constructor() {
        super();
    }
    #calculateTypicalPriceVolume(candle) {
        return getTypicalPrice(candle) * candle.volume;
    }
    getRequiredInputs() {
        return 2;
    }
    update(candle, replace) {
        if (candle.volume === 0) {
            return null;
        }
        if (replace && this.#lastCandle !== null) {
            const lastTypicalPriceVolume = this.#calculateTypicalPriceVolume(this.#lastCandle);
            this.#cumulativeTypicalPriceVolume = this.#cumulativeTypicalPriceVolume - lastTypicalPriceVolume;
            this.#cumulativeVolume = this.#cumulativeVolume - this.#lastCandle.volume;
        }
        this.#lastCandle = candle;
        const typicalPriceVolume = this.#calculateTypicalPriceVolume(candle);
        this.#cumulativeTypicalPriceVolume = this.#cumulativeTypicalPriceVolume + typicalPriceVolume;
        this.#cumulativeVolume = this.#cumulativeVolume + candle.volume;
        const vwap = this.#cumulativeTypicalPriceVolume / this.#cumulativeVolume;
        return this.setResult(vwap, replace);
    }
}
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