Quickly calculate moving volume-weighted average prices [aka VWAP or MVWAP] from a stream of OHLCV candles. Uses prefix sums and static 'rolling' arrays for efficiency.
Quickly calculate moving volume-weighted average prices [aka VWAP or MVWAP] from a stream of OHLCV candles. Uses prefix sums in static "rolling" arrays for efficiency.
I haven't tested this much so use at your own risk.
``sh`
npm i vwap-fast
`javascript
//example candle -- can use {o h l c v} or {open high low close volume}
// var candle = {
// o: 1,
// h: 1,
// l: 1,
// c: 1,
// v: 1000
// };
var Vwap = require('vwap-fast');
var maximumPeriods = 20000; //default 20000
var vwap = new Vwap(maximumPeriods); //note - 'new' keyword is optional, works either way
//first we generate 1,000,000 candles
for(var i=0;i<1000000;i++){
var candle = vwap.generateFakeCandle(); //generate random candle around price $150 {o h l c v}
//submitCandle(candle, useTypicalPrice=true, doAutoShift=true)
// -- typical price is (l+h+c)/3 -- otherwise use closing price
// -- doAutoShift resets the zero-th prefix sum to zero every
// time the array "rolls over" to increase numeric stability
// [for very large runs where the prefix sums may overflow or lose precision]
vwap.submitCandle(candle);
}
//or submit bulk with vwap.submitCandles(candles)
//get mvwap for 1000 periods
var vwap1k = vwap.getVwap(1000) //getVwap(nPeriods >= 1)
//see also getVwapNPeriodsAgo(nPeriodsInVwap, nPeriodsAgo)
//see also lastPriceIsBelowVwaps(listOfPeriods) ==> true if most recent price below all vwap periods in input
//see also submitAndTestCandles = function(_candles, listOfPeriods, useTypicalPrice=true, doAutoShift=true){
// _this.submitCandles(_candles, useTypicalPrice, doAutoShift);
// return lastPriceIsBelowVwaps(listOfPeriods);
// }
console.log(vwap1k);
//150.01489792240628
//more fields:
//vwap.totalCandles //total number of candles ever submitted to this vwap [including any that have been purged etc]
//vwap.prefixSums_PriceTimesVolume //rolling array of prefix sums for price x volume
//vwap.prefixSums_Volume //rolling array of prefix sums for volume
//vwap.currentArrayIndex //current index for "rolling" arrays. loops from 0...maximumPeriods
//apply to candles arr as indicator
//vwap.applyVwapsToCandles(candles, [arrOfPeriods])
//candle each get new fields like
// vwap20: 15261.205067920584,
// vwap60: 15261.205067920584,
// vwap180: 15261.205067920584,
// vwap240: 15261.205067920584,
// belowAllVwaps: false,
// aboveAllVwaps: true
``
