vwap module¶

Module with VWAP.

substitute_anchor function¶

substitute_anchor(
    wrapper,
    anchor
)

Substitute reset frequency by group lens.

VWAP class¶

VWAP(
    wrapper,
    input_list,
    input_mapper,
    in_output_list,
    output_list,
    param_list,
    mapper_list,
    short_name,
    **kwargs
)

Volume-Weighted Average Price (VWAP).

VWAP is a technical analysis indicator used on intraday charts that resets at the start of every new trading session.

See Volume-Weighted Average Price (VWAP).

Superclasses

• Analyzable
• AttrResolverMixin
• Cacheable
• Chainable
• Comparable
• Configured
• ExtPandasIndexer
• HasSettings
• IndexApplier
• IndexingBase
• IndicatorBase
• Itemable
• PandasIndexer
• Paramable
• Pickleable
• PlotsBuilderMixin
• Prettified
• StatsBuilderMixin
• Wrapping
• vectorbtpro.indicators.custom.vwap.ParamIndexer

Inherited members

• AttrResolverMixin.deep_getattr()
• AttrResolverMixin.post_resolve_attr()
• AttrResolverMixin.pre_resolve_attr()
• AttrResolverMixin.resolve_attr()
• AttrResolverMixin.resolve_shortcut_attr()
• Cacheable.get_ca_setup()
• Chainable.pipe()
• Configured.copy()
• Configured.equals()
• Configured.get_writeable_attrs()
• Configured.prettify()
• Configured.replace()
• Configured.resolve_merge_kwargs()
• Configured.update_config()
• HasSettings.get_path_setting()
• HasSettings.get_path_settings()
• HasSettings.get_setting()
• HasSettings.get_settings()
• HasSettings.has_path_setting()
• HasSettings.has_path_settings()
• HasSettings.has_setting()
• HasSettings.has_settings()
• HasSettings.reset_settings()
• HasSettings.resolve_setting()
• HasSettings.resolve_settings_paths()
• HasSettings.set_settings()
• IndexApplier.add_levels()
• IndexApplier.drop_duplicate_levels()
• IndexApplier.drop_levels()
• IndexApplier.drop_redundant_levels()
• IndexApplier.select_levels()
• IndexingBase.indexing_setter_func()
• IndicatorBase.cls_dir
• IndicatorBase.column_only_select
• IndicatorBase.column_stack()
• IndicatorBase.config
• IndicatorBase.dropna()
• IndicatorBase.group_select
• IndicatorBase.iloc
• IndicatorBase.in_output_names
• IndicatorBase.indexing_func()
• IndicatorBase.indexing_kwargs
• IndicatorBase.input_names
• IndicatorBase.items()
• IndicatorBase.lazy_output_names
• IndicatorBase.level_names
• IndicatorBase.loc
• IndicatorBase.main_output
• IndicatorBase.output_flags
• IndicatorBase.output_names
• IndicatorBase.param_names
• IndicatorBase.plots_defaults
• IndicatorBase.range_only_select
• IndicatorBase.rec_state
• IndicatorBase.rename()
• IndicatorBase.rename_levels()
• IndicatorBase.row_stack()
• IndicatorBase.run_pipeline()
• IndicatorBase.self_aliases
• IndicatorBase.short_name
• IndicatorBase.stats_defaults
• IndicatorBase.to_dict()
• IndicatorBase.to_frame()
• IndicatorBase.unpack()
• IndicatorBase.wrapper
• IndicatorBase.xloc
• PandasIndexer.xs()
• Pickleable.decode_config()
• Pickleable.decode_config_node()
• Pickleable.dumps()
• Pickleable.encode_config()
• Pickleable.encode_config_node()
• Pickleable.file_exists()
• Pickleable.getsize()
• Pickleable.load()
• Pickleable.loads()
• Pickleable.modify_state()
• Pickleable.resolve_file_path()
• Pickleable.save()
• PlotsBuilderMixin.build_subplots_doc()
• PlotsBuilderMixin.override_subplots_doc()
• PlotsBuilderMixin.plots()
• StatsBuilderMixin.build_metrics_doc()
• StatsBuilderMixin.override_metrics_doc()
• StatsBuilderMixin.stats()
• Wrapping.apply_to_index()
• Wrapping.as_param()
• Wrapping.regroup()
• Wrapping.resample()
• Wrapping.resolve_column_stack_kwargs()
• Wrapping.resolve_row_stack_kwargs()
• Wrapping.resolve_self()
• Wrapping.resolve_stack_kwargs()
• Wrapping.select_col()
• Wrapping.select_col_from_obj()
• Wrapping.split()
• Wrapping.split_apply()

Subclasses

• vectorbtpro.indicators.custom.vwap._VWAP

anchor_list property¶

List of anchor values.

apply_func method¶

VWAP.apply_func(
    high,
    low,
    close,
    volume,
    group_lens
)

2-dim version of vwap_1d_nb.

cache_func class variable¶

close property¶

Input array.

close_above method¶

VWAP.close_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is above other.

See combine_objs().

close_below method¶

VWAP.close_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is below other.

See combine_objs().

close_crossed_above method¶

VWAP.close_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_above other.

See combine_objs().

close_crossed_below method¶

VWAP.close_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is crossed_below other.

See combine_objs().

close_equal method¶

VWAP.close_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where close is equal other.

See combine_objs().

close_stats method¶

VWAP.close_stats(
    *args,
    **kwargs
)

Stats of close as generic.

custom_func method¶

IndicatorFactory.with_apply_func.<locals>.custom_func(
    input_tuple,
    in_output_tuple,
    param_tuple,
    *_args,
    input_shape=None,
    per_column=False,
    split_columns=False,
    skipna=False,
    return_cache=False,
    use_cache=True,
    jitted_loop=False,
    jitted_warmup=False,
    param_index=None,
    final_index=None,
    single_comb=False,
    execute_kwargs=None,
    **_kwargs
)

Custom function that forwards inputs and parameters to apply_func.

high property¶

Input array.

high_above method¶

VWAP.high_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is above other.

See combine_objs().

high_below method¶

VWAP.high_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is below other.

See combine_objs().

high_crossed_above method¶

VWAP.high_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_above other.

See combine_objs().

high_crossed_below method¶

VWAP.high_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is crossed_below other.

See combine_objs().

high_equal method¶

VWAP.high_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where high is equal other.

See combine_objs().

high_stats method¶

VWAP.high_stats(
    *args,
    **kwargs
)

Stats of high as generic.

low property¶

Input array.

low_above method¶

VWAP.low_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is above other.

See combine_objs().

low_below method¶

VWAP.low_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is below other.

See combine_objs().

low_crossed_above method¶

VWAP.low_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_above other.

See combine_objs().

low_crossed_below method¶

VWAP.low_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is crossed_below other.

See combine_objs().

low_equal method¶

VWAP.low_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where low is equal other.

See combine_objs().

low_stats method¶

VWAP.low_stats(
    *args,
    **kwargs
)

Stats of low as generic.

param_select_func_nb method¶

VWAP.param_select_func_nb(
    i,
    args_before,
    high,
    low,
    close,
    volume,
    anchor,
    *args
)

plot method¶

_VWAP.plot(
    column=None,
    plot_close=True,
    close_trace_kwargs=None,
    vwap_trace_kwargs=None,
    add_trace_kwargs=None,
    fig=None,
    **layout_kwargs
)

Plot VWAP.vwap against VWAP.close.

Args

column : str

Name of the column to plot.

plot_close : bool

Whether to plot VWAP.close.

close_trace_kwargs : dict

Keyword arguments passed to plotly.graph_objects.Scatter for VWAP.close.

vwap_trace_kwargs : dict

Keyword arguments passed to plotly.graph_objects.Scatter for VWAP.vwap.

add_trace_kwargs : dict

Keyword arguments passed to fig.add_trace when adding each trace.

fig : Figure or FigureWidget

Figure to add traces to.

**layout_kwargs

Keyword arguments passed to fig.update_layout.

Usage

>>> vbt.VWAP.run(
...    ohlcv['High'],
...    ohlcv['Low'],
...    ohlcv['Close'],
...    ohlcv['Volume'],
...    anchor="W"
... ).plot().show()

run class method¶

VWAP.run(
    high,
    low,
    close,
    volume,
    anchor=Default(value='D'),
    short_name='vwap',
    hide_params=None,
    hide_default=True,
    **kwargs
)

Run VWAP indicator.

• Inputs: high, low, close, volume
• Parameters: anchor
• Outputs: vwap

Pass a list of parameter names as hide_params to hide their column levels, or True to hide all. Set hide_default to False to show the column levels of the parameters with a default value.

Other keyword arguments are passed to IndicatorBase.run_pipeline().

run_combs class method¶

VWAP.run_combs(
    high,
    low,
    close,
    volume,
    anchor=Default(value='D'),
    r=2,
    param_product=False,
    comb_func=itertools.combinations,
    run_unique=True,
    short_names=None,
    hide_params=None,
    hide_default=True,
    **kwargs
)

Create a combination of multiple VWAP indicators using function comb_func.

• Inputs: high, low, close, volume
• Parameters: anchor
• Outputs: vwap

comb_func must accept an iterable of parameter tuples and r. Also accepts all combinatoric iterators from itertools such as itertools.combinations. Pass r to specify how many indicators to run. Pass short_names to specify the short name for each indicator. Set run_unique to True to first compute raw outputs for all parameters, and then use them to build each indicator (faster).

Other keyword arguments are passed to VWAP.run().

volume property¶

Input array.

volume_above method¶

VWAP.volume_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where volume is above other.

See combine_objs().

volume_below method¶

VWAP.volume_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where volume is below other.

See combine_objs().

volume_crossed_above method¶

VWAP.volume_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where volume is crossed_above other.

See combine_objs().

volume_crossed_below method¶

VWAP.volume_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where volume is crossed_below other.

See combine_objs().

volume_equal method¶

VWAP.volume_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where volume is equal other.

See combine_objs().

volume_stats method¶

VWAP.volume_stats(
    *args,
    **kwargs
)

Stats of volume as generic.

vwap property¶

Output array.

vwap_above method¶

VWAP.vwap_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where vwap is above other.

See combine_objs().

vwap_below method¶

VWAP.vwap_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where vwap is below other.

See combine_objs().

vwap_crossed_above method¶

VWAP.vwap_crossed_above(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where vwap is crossed_above other.

See combine_objs().

vwap_crossed_below method¶

VWAP.vwap_crossed_below(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where vwap is crossed_below other.

See combine_objs().

vwap_equal method¶

VWAP.vwap_equal(
    other,
    level_name=None,
    allow_multiple=True,
    **kwargs
)

Return True for each element where vwap is equal other.

See combine_objs().

vwap_stats method¶

VWAP.vwap_stats(
    *args,
    **kwargs
)

Stats of vwap as generic.