multiple instances of same indicator

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SuperDriveGuy
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multiple instances of same indicator

Post by SuperDriveGuy » Tue Jun 04, 2019 9:23 am

How can I go about getting multiple instances of the same indicator?

e.g. I need the VWAP which resets every 30 mins AND I also need a VWAP which resets every day  say at 09:00
PS: I can one but NOT both as of now from the studies configuration of VWAP

any ideas?

AndreyR
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Re: multiple instances of same indicator

Post by AndreyR » Tue Jun 04, 2019 10:19 am

Hi SuperDriveGuy,
are you asking about the indicator you have developed? Inherit one indicator from another and give it a different name (this is for your convenience only) so you'll have two.
For built-in indicators this is impossible.

SuperDriveGuy
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Re: multiple instances of same indicator

Post by SuperDriveGuy » Tue Jun 04, 2019 10:54 am

Thanks AndreyR!

I was referring to the built in VWAP indicator, so look like that it is not possible to get multiple VWAPs.

As an alternative maybe I can use one of the indicators provided as an example and just create copies as you suggested, so one for 10 mins, 30 mins etc etc

I have one question about the provided "sampleMovingVWAP" and "Moving Average Price", do they actually include the volume data in tgeir calculation i.e. is it a VWAP? I only seem to find reference to price and none to volume, maybe I am missing something? Thanks in advance


---------------------------------------------------------
package com.bookmap.api.simple.demo.indicators;

import java.awt.Color;

import com.bookmap.api.simple.demo.utils.data.MovingAverage;

import velox.api.layer1.data.InstrumentInfo;
import velox.api.layer1.messages.indicators.Layer1ApiUserMessageModifyIndicator.GraphType;
import velox.api.layer1.simplified.Api;
import velox.api.layer1.simplified.Indicator;
import velox.api.layer1.simplified.InitialState;

public class MovingVWAP extends MovingAveragePrice {
    Indicator indicatorVwap;
    MovingAverage maVwap;
    @Override
    public void initialize(String alias, InstrumentInfo info, Api api, InitialState initialState) {
        super.initialize(alias, info, api, initialState);
        indicatorVwap = api.registerIndicator("Moving VWAP", GraphType.PRIMARY);
        indicatorVwap.setColor(Color.PINK);
    }

}
---------------------------------------------------------

---------------------------------------------------------
@Layer1SimpleAttachable
@Layer1StrategyName("Moving Average Price")
@Layer1ApiVersion(Layer1ApiVersionValue.VERSION1)
public class MovingAveragePrice
        implements CustomModule, TradeDataListener, IntervalListener, CustomSettingsPanelProvider {

    private double lastTradePrice = Double.NaN;
    private Indicator indicator;

    private final long defaultPeriodSeconds = 30;
    private long periodSeconds = defaultPeriodSeconds;


    private final long interval = Intervals.INTERVAL_50_MILLISECONDS;
    private MovingAverage ma;
    private Api api;

    @Override
    public void initialize(String alias, InstrumentInfo info, Api api, InitialState initialState) {
        indicator = api.registerIndicator("Moving Average", GraphType.PRIMARY);
        indicator.setColor(Color.LIGHT_GRAY);
        this.lastTradePrice = initialState.getLastTradePrice();
        this.api = api;
        ma = new MovingAverage(getNumPeriods());
    }

    @Override
    public void onTrade(double price, int size, TradeInfo tradeInfo) {
        lastTradePrice = price;
    }

    @Override
    public long getInterval() {
        return Intervals.INTERVAL_100_MILLISECONDS;
    }

    @Override
    public void onInterval() {
        double price = ma.update(lastTradePrice);
        indicator.addPoint(price);
    }

    @Override
    public void stop() {
    }
-------------------------------------------------------


Thanks
 

AndreyR
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Re: multiple instances of same indicator

Post by AndreyR » Tue Jun 04, 2019 12:07 pm

Looks like they don't (i.e. they aren't volume weighted)
But you've got an onTrade method in your MovingAveragePrice (or any class that implements the TradeDataListener interface) which gets sizes of each trade. So you can adjust those demo indicators to your needs. This is just an approach idea:

Code: Select all

double cumulativeTotal;
double cumulativeVolume;
double vwap;

@Override
public void onTrade(double price, int size, TradeInfo tradeInfo) {
    double individualTotal = price*size;
    cumulativeTotal += individualTotal;
    cumulativeVolume += size;
    vwap = cumulativeTotal/cumulativeVolume;
}

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