VWAP

What it computes

The volume-weighted mean of typical price, cumulative from the first loaded bar.

It describes bars that have already printed. QuantZ does not claim this indicator has predictive value, and it is not a recommendation to do anything.

Inputs and lookback

No parameters. The construction is fixed.

Reads open, high, low, close and volume from the loaded bars. The first value appears once the longest lookback its parameters name has elapsed; earlier bars are left empty rather than padded.

What it assumes about the series

• Bars arrive oldest to newest at one interval, each with a finite open, high, low and close. The input is the chart’s loaded series, whatever its length.
• The function is given bars, not sessions: it does not know the timeframe, where a session opens, or that a gap in the tape is a gap.
• Warm-up bars are omitted rather than padded. The first value appears once the arithmetic has enough history, and nothing is drawn before it.
• The newest bar is the forming bar. Its value uses the live close and settles when the bar closes.
• Each bar carries a volume field. A feed that reports no volume produces no line at all rather than an invented one.
• Anchored at the first loaded bar rather than at a session open: the function is given bars, not sessions.
• Cumulative from the first loaded bar: the level is relative to where the loaded history starts, so only its changes carry meaning, and loading more history moves the whole line.

Whether a drawn value can change

forming-bar · Moves only on the forming bar. The newest bar’s value moves with its live close until that bar closes. A closed bar’s value is final and is not redrawn when later bars arrive.

This class is read from the registry entry and checked by a test against the function itself: for a class that says closed bars are final, appending a bar must leave every earlier point unchanged, and for a class that says they are not, it must not.

Outside its inputs

• Nothing outside the loaded bars: no longer history than the chart has loaded, and no other interval.
• Nothing inside a bar: no individual trades, no order book, no bid or ask.
• No other symbol, no benchmark, no news, no fundamentals, no earnings dates.
• Volume is the bar’s total. Which side of the book it traded on is not in the data.