VWAP indicator - session/day based
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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 in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. That they contact me for shipping information for the purpose of sending a local delicacy of their choice native to whatever region they are domiciled. 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 LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 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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@rajanprabu Hi, I think you could keep all the logic inside the indicator and just reset vwap_period when current date of the day is different from date of previous candle.
Something like this:def next(self): if self.data.datetime.date(0) != self.data.datetime.date(-1): self._vwap_period = 1 self.l.typprice[0] = ((self.data.close + self.data.high + self.data.low)/3) * self.data.volume -
Thanks @arrabyte yes thats possible instead of using the timers. For my strategy day open was crucial and I wanted to skip days that didnt have the opening tick, hence used the timers.
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Thanks for looking in to it. Very much appreciate it. I hope it was useful.
