3. VWAP indicator - session/day based
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VWAP indicator - session/day based

  • R

    Hello Everyone,

    Backtrader is a wonderful platform, I'm am very grateful to the author and the community.

    I was looking for vwap indicator and some implementations are already posted in this forum by @bigdavediode. Its a nice and crisp four line code, which calculates the Volume weighted average price for a given period.

    Problem

    I wanted to have a vwap which was specific to particular session ( I believe this is what al charting platforms are using ). Meaning when the session starts in the morning vwap period has to be 1 and increased there after for every new candle. ( For example 15 minutes candle data

    Time period
    9:00 1
    9:15 2
    9:30 3
    ..

    and so on.. and when next day/session starts period is reset and starts with 1 again. One need to calculate cumulative and volume and price.

    Approach

    First we need a flag to reset the period every session. This can be done using Timers. We also need to change the period within the indicator so that its dynamic. Luckily backtrader already had a framework dynamic indicators. We have to use renounce=False in cerebro otherwise it wont work.

    Working Code
    Im very new to Backtrader, please be kind if I made mistakes and Im sure code can be improved so much better

    '''
Author: B. Bradford 
Dynamic vwap: Rajan Prabu

MIT License

Copyright (c) B. Bradford

Permission is hereby granted, free of charge, to any person obtaining a copy
of this software and associated documentation files (the "Software"), to deal
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The above copyright notice and this permission notice shall be included in all
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
SOFTWARE.


from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import datetime  # For datetime objects
import pandas as pd  # for reading data
import backtrader as bt
import backtrader.indicators as btind

class vwap(bt.Indicator):

    ''' This indicator needs a timer to reset the period to 1 at every session start
        also it needs a flag in next section of strategy to increment the self._vwap_period 
        run cerebro with runonce=False as we need dynamic indicator'''

    plotinfo = dict(subplot=False)

    alias = ('VWAP', 'VolumeWeightedAveragePrice','vwap',)
    lines = ('VWAP','typprice','cumprice', 'cumtypprice',)
    plotlines = dict(VWAP=dict(alpha=1.0, linestyle='-', linewidth=2.0, color = 'magenta'))

    def __init__(self):
        self._vwap_period = 1
        
    def vwap_period(self, period):
        self._vwap_period = period
        

    def next(self):
        
        self.l.typprice[0] = ((self.data.close + self.data.high + self.data.low)/3) * self.data.volume
        self.l.cumtypprice[0] = sum(self.l.typprice.get(size=self._vwap_period), self._vwap_period)
        self.cumvol = sum(self.data.volume.get(size=self._vwap_period), self._vwap_period)
        self.lines.VWAP[0] = self.l.cumtypprice[0] / self.cumvol

        #super(vwap, self).__init__()

# Create a Stratey
class strat(bt.Strategy):
    params = dict( 
        vwap_period = 1,
        when = bt.timer.SESSION_START,
    )

    def __init__(self):
    
        self.vwap = vwap(self.data) # get VWAP 

        self.add_timer(
                when=self.p.when,
            )

    def notify_timer(self, timer, when, *args, **kwargs):
        self.vwap_period = 1
        
    def next(self):
        
        ## Use the method insread of changing param
        self.vwap.vwap_period (self.vwap_period) 

        ##  print values for diagnostics
        txt = list()
        txt.append('{}'.format(len(self.data0)))
        txt.append('{}'.format(self.data.datetime.datetime(0)))
        txt.append('{}'.format(self.data.close[0]))
        txt.append('{}'.format(self.vwap[0]))
        txt.append('{}'.format(self.vwap_period))
        #print(', '.join(txt))  

        # Increment the Period
        self.vwap_period += 1
       
      
## Setup cerebro 
cerebro = bt.Cerebro() 

## Add a strat
cerebro.addstrategy (strat)

## input data file 
data_file = 'Nifty_combined_contracts_10_min.csv'

# Create a Data Feed and add to cerebro
df = pd.read_csv(data_file, header=0,  index_col=0, parse_dates=True)
data0 = bt.feeds.PandasData(dataname=df, \
    name = "nifty", \
    timeframe=bt.TimeFrame.Minutes, \
    compression=5, \
    sessionstart=datetime.time(9, 15), \
    sessionend=datetime.time(15, 30), \
    openinterest=-1, \
    fromdate=datetime.datetime(2020, 1, 1),\
    todate=datetime.datetime(2020, 1, 28)
    ) 

# add data
cerebro.adddata(data0)

## Run it with runonce=False 
cerebro.run(runonce=False)

# Plot the data
cerebro.plot(style="candlestick")

    I have used some from @bigdavediode and modified it for the purpose ( I have included his license agreement on top ). In case you like and use the code please buy me a beer ;-) ( @Munich-DE )

    It would be very helpful to get comments and improvements. Thanks

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