Package Exports

vwap-fast
vwap-fast/index.js

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Readme

vwap-fast

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.

Installation

npm i vwap-fast

Usage

//example candle
// 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
    //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);
}

//get mvwap for 1000 periods
var vwap1k = vwap.getVwap(1000) //getVwap(nPeriods >= 1)
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