vwap

vwap(high, low, close, volume, anchor=None, offset=None, **kwargs)

Volume Weighted Average Price (VWAP)

The Volume Weighted Average Price that measures the average typical price by volume. It is typically used with intraday charts to identify general direction.

Sources:

https://www.tradingview.com/wiki/Volume_Weighted_Average_Price_(VWAP) https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/volume-weighted-average-price-vwap/ https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:vwap_intraday

Calculation:

tp = typical_price = hlc3(high, low, close) tpv = tp * volume VWAP = tpv.cumsum() / volume.cumsum()

Args:

high (pd.Series): Series of ‘high’s low (pd.Series): Series of ‘low’s close (pd.Series): Series of ‘close’s volume (pd.Series): Series of ‘volume’s anchor (str): How to anchor VWAP. Depending on the index values, it will

implement various Timeseries Offset Aliases as listed here: https://pandas.pydata.org/pandas-docs/stable/user_guide/timeseries.html#timeseries-offset-aliases Default: “D”.

offset (int): How many periods to offset the result. Default: 0

Kwargs:

fillna (value, optional): pd.DataFrame.fillna(value) fill_method (value, optional): Type of fill method

Returns:

pd.Series: New feature generated.