added volume weighted average price

GHTaarn · Sep 17, 2020 · bc3d57a · bc3d57a
1 parent 37c65a3
commit bc3d57a
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Showing 2 changed files with 20 additions and 0 deletions.
diff --git a/src/ma.jl b/src/ma.jl
@@ -395,3 +395,20 @@ function vwma(cv::Matrix{T}, n::Int64=10)::Array{Float64} where {T<:Real}
     end
     return out
 end
+
+
+"""
+```
+vwap(cv::Matrix{T})::Array{T}
+```
+
+volume weighted average price (VWAP)
+"""
+function vwap(cv::Matrix{T})::Array{Float64} where {T<:Real}
+    out = zeros(size(cv))[1]
+    close_price = cv[:,1]
+    volume = cv[:,2]
+    out = cumsum(close_price .* volume) ./ cumsum(volume)
+    end
+    return out
+end
diff --git a/test/ma.jl b/test/ma.jl
@@ -101,6 +101,9 @@
         @test size(tmp, 2) == 1
         tmp = vwma(X)
         @test size(tmp, 1) == N
+        @test size(tmp, 2) == 1  
+        tmp = vwap(X)
+        @test size(tmp, 1) == N
         @test size(tmp, 2) == 1        
     end
 end