technical-analysis 0.1.1 → 0.2.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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data/lib/technical_analysis/indicators/indicator.rb

@@ -49,6 +49,7 @@ module TechnicalAnalysis
         TechnicalAnalysis::Uo,
         TechnicalAnalysis::Vi,
         TechnicalAnalysis::Vpt,
+        TechnicalAnalysis::Vwap,
         TechnicalAnalysis::Wr,
       ]
     end

data/lib/technical_analysis/indicators/vwap.rb

@@ -0,0 +1,97 @@
+module TechnicalAnalysis
+  # Volume Weighted Average Price
+  class Vwap < Indicator
+
+    # Returns the symbol of the technical indicator
+    #
+    # @return [String] A string of the symbol of the technical indicator
+    def self.indicator_symbol
+      "vwap"
+    end
+
+    # Returns the name of the technical indicator
+    #
+    # @return [String] A string of the name of the technical indicator
+    def self.indicator_name
+      "Volume Weighted Average Price"
+    end
+
+    # Returns an array of valid keys for options for this technical indicator
+    #
+    # @return [Array] An array of keys as symbols for valid options for this technical indicator
+    def self.valid_options
+      []
+    end
+
+    # Validates the provided options for this technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator to be validated
+    #
+    # @return [Boolean] Returns true if options are valid or raises a ValidationError if they're not
+    def self.validate_options(options)
+      return true if options == {}
+      raise Validation::ValidationError.new "This indicator doesn't accept any options."
+    end
+
+    # Calculates the minimum number of observations needed to calculate the technical indicator
+    #
+    # @param options [Hash] The options for the technical indicator
+    #
+    # @return [Integer] Returns the minimum number of observations needed to calculate the technical
+    #    indicator based on the options provided
+    def self.min_data_size(**params)
+      1
+    end
+
+    # Calculates the volume weighted average price (VWAP) for the data
+    # https://en.wikipedia.org/wiki/Volume-weighted_average_price
+    #
+    # @param data [Array] Array of hashes with keys (:date_time, :high, :low, :close, :volume)
+    #
+    # @return [Array<VwapValue>] An array of VwapValue instances
+    def self.calculate(data)
+      Validation.validate_numeric_data(data, :high, :low, :close, :volume)
+      Validation.validate_length(data, min_data_size)
+      Validation.validate_date_time_key(data)
+
+      data = data.sort_by { |row| row[:date_time] }
+
+      output = []
+      cumm_volume = 0
+      cumm_volume_x_typical_price = 0
+
+      data.each do |v|
+        typical_price = StockCalculation.typical_price(v)
+        cumm_volume_x_typical_price += v[:volume] * typical_price
+        cumm_volume += v[:volume]
+        vwap = cumm_volume_x_typical_price.to_f / cumm_volume.to_f
+
+        output << VwapValue.new(date_time: v[:date_time], vwap: vwap)
+      end
+
+      output.sort_by(&:date_time).reverse
+    end
+
+  end
+
+  # The value class to be returned by calculations
+  class VwapValue
+
+    # @return [String] the date_time of the obversation as it was provided
+    attr_accessor :date_time
+
+    # @return [Float] the vwap calculation value
+    attr_accessor :vwap
+
+    def initialize(date_time: nil, vwap: nil)
+      @date_time = date_time
+      @vwap = vwap
+    end
+
+    # @return [Hash] the attributes as a hash
+    def to_hash
+      { date_time: @date_time, vwap: @vwap }
+    end
+
+  end
+end

data/lib/technical_analysis.rb

@@ -38,4 +38,5 @@ require 'technical_analysis/indicators/tsi'
 require 'technical_analysis/indicators/uo'
 require 'technical_analysis/indicators/vi'
 require 'technical_analysis/indicators/vpt'
+require 'technical_analysis/indicators/vwap'
 require 'technical_analysis/indicators/wr'

data/spec/technical_analysis/indicators/vwap_spec.rb

@@ -0,0 +1,119 @@
+require 'technical-analysis'
+require 'spec_helper'
+
+describe 'Indicators' do
+  describe "VWAP" do
+    input_data = SpecHelper.get_test_data(:volume, :high, :low, :close)
+    indicator = TechnicalAnalysis::Vwap
+
+    describe 'Volume Weighted Average Price' do
+      it 'Calculates VWAP' do
+        output = indicator.calculate(input_data)
+        normalized_output = output.map(&:to_hash)
+
+        expected_output = [
+          {:date_time=>"2019-01-09T00:00:00.000Z", :vwap=>183.55426863053765},
+          {:date_time=>"2019-01-08T00:00:00.000Z", :vwap=>184.06635227887782},
+          {:date_time=>"2019-01-07T00:00:00.000Z", :vwap=>184.57507590747517},
+          {:date_time=>"2019-01-04T00:00:00.000Z", :vwap=>185.3413093796368},
+          {:date_time=>"2019-01-03T00:00:00.000Z", :vwap=>186.19781421865375},
+          {:date_time=>"2019-01-02T00:00:00.000Z", :vwap=>187.76843731172002},
+          {:date_time=>"2018-12-31T00:00:00.000Z", :vwap=>188.21552447966795},
+          {:date_time=>"2018-12-28T00:00:00.000Z", :vwap=>188.64862275471472},
+          {:date_time=>"2018-12-27T00:00:00.000Z", :vwap=>189.2144975598256},
+          {:date_time=>"2018-12-26T00:00:00.000Z", :vwap=>189.9889456493791},
+          {:date_time=>"2018-12-24T00:00:00.000Z", :vwap=>190.91953458787302},
+          {:date_time=>"2018-12-21T00:00:00.000Z", :vwap=>191.6297166885398},
+          {:date_time=>"2018-12-20T00:00:00.000Z", :vwap=>193.36567531270202},
+          {:date_time=>"2018-12-19T00:00:00.000Z", :vwap=>194.463693818502},
+          {:date_time=>"2018-12-18T00:00:00.000Z", :vwap=>195.21670632642397},
+          {:date_time=>"2018-12-17T00:00:00.000Z", :vwap=>195.7127882800064},
+          {:date_time=>"2018-12-14T00:00:00.000Z", :vwap=>196.3956319251192},
+          {:date_time=>"2018-12-13T00:00:00.000Z", :vwap=>197.03092567150182},
+          {:date_time=>"2018-12-12T00:00:00.000Z", :vwap=>197.47196479514173},
+          {:date_time=>"2018-12-11T00:00:00.000Z", :vwap=>198.00221355940155},
+          {:date_time=>"2018-12-10T00:00:00.000Z", :vwap=>198.7429667210245},
+          {:date_time=>"2018-12-07T00:00:00.000Z", :vwap=>199.85255982037654},
+          {:date_time=>"2018-12-06T00:00:00.000Z", :vwap=>200.57927838438474},
+          {:date_time=>"2018-12-04T00:00:00.000Z", :vwap=>201.28731920049952},
+          {:date_time=>"2018-12-03T00:00:00.000Z", :vwap=>201.8731568533139},
+          {:date_time=>"2018-11-30T00:00:00.000Z", :vwap=>202.34554208942396},
+          {:date_time=>"2018-11-29T00:00:00.000Z", :vwap=>202.95867828112358},
+          {:date_time=>"2018-11-28T00:00:00.000Z", :vwap=>203.60135199869035},
+          {:date_time=>"2018-11-27T00:00:00.000Z", :vwap=>204.38651817163168},
+          {:date_time=>"2018-11-26T00:00:00.000Z", :vwap=>205.30361785858756},
+          {:date_time=>"2018-11-23T00:00:00.000Z", :vwap=>206.36274937523916},
+          {:date_time=>"2018-11-21T00:00:00.000Z", :vwap=>206.94494917055295},
+          {:date_time=>"2018-11-20T00:00:00.000Z", :vwap=>207.6427516507437},
+          {:date_time=>"2018-11-19T00:00:00.000Z", :vwap=>209.27699957144853},
+          {:date_time=>"2018-11-16T00:00:00.000Z", :vwap=>210.05211892678065},
+          {:date_time=>"2018-11-15T00:00:00.000Z", :vwap=>210.59952347188045},
+          {:date_time=>"2018-11-14T00:00:00.000Z", :vwap=>211.4589551886514},
+          {:date_time=>"2018-11-13T00:00:00.000Z", :vwap=>212.75803369499064},
+          {:date_time=>"2018-11-12T00:00:00.000Z", :vwap=>213.6551619737374},
+          {:date_time=>"2018-11-09T00:00:00.000Z", :vwap=>214.61043573066618},
+          {:date_time=>"2018-11-08T00:00:00.000Z", :vwap=>215.00076838969952},
+          {:date_time=>"2018-11-07T00:00:00.000Z", :vwap=>215.18761540540189},
+          {:date_time=>"2018-11-06T00:00:00.000Z", :vwap=>215.4663555747261},
+          {:date_time=>"2018-11-05T00:00:00.000Z", :vwap=>215.93354729003553},
+          {:date_time=>"2018-11-02T00:00:00.000Z", :vwap=>217.20680955786048},
+          {:date_time=>"2018-11-01T00:00:00.000Z", :vwap=>218.35223508156088},
+          {:date_time=>"2018-10-31T00:00:00.000Z", :vwap=>218.1692825392702},
+          {:date_time=>"2018-10-30T00:00:00.000Z", :vwap=>218.13783195840017},
+          {:date_time=>"2018-10-29T00:00:00.000Z", :vwap=>218.5155747290589},
+          {:date_time=>"2018-10-26T00:00:00.000Z", :vwap=>219.05970452474796},
+          {:date_time=>"2018-10-25T00:00:00.000Z", :vwap=>219.3440526461074},
+          {:date_time=>"2018-10-24T00:00:00.000Z", :vwap=>219.34643675779574},
+          {:date_time=>"2018-10-23T00:00:00.000Z", :vwap=>219.4951598586493},
+          {:date_time=>"2018-10-22T00:00:00.000Z", :vwap=>219.41092910048724},
+          {:date_time=>"2018-10-19T00:00:00.000Z", :vwap=>219.26375336145847},
+          {:date_time=>"2018-10-18T00:00:00.000Z", :vwap=>219.25541442468506},
+          {:date_time=>"2018-10-17T00:00:00.000Z", :vwap=>219.65735634491844},
+          {:date_time=>"2018-10-16T00:00:00.000Z", :vwap=>219.5125052055069},
+          {:date_time=>"2018-10-15T00:00:00.000Z", :vwap=>219.34283327445593},
+          {:date_time=>"2018-10-12T00:00:00.000Z", :vwap=>219.44169580294155},
+          {:date_time=>"2018-10-11T00:00:00.000Z", :vwap=>219.0592293697168},
+          {:date_time=>"2018-10-10T00:00:00.000Z", :vwap=>221.89869420553177},
+          {:date_time=>"2018-10-09T00:00:00.000Z", :vwap=>225.4620666666667}
+        ]
+
+        expect(normalized_output).to eq(expected_output)
+      end
+
+      it "Throws exception if not enough data" do
+        expect {indicator.calculate([])}.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Returns the symbol' do
+        indicator_symbol = indicator.indicator_symbol
+        expect(indicator_symbol).to eq('vwap')
+      end
+
+      it 'Returns the name' do
+        indicator_name = indicator.indicator_name
+        expect(indicator_name).to eq('Volume Weighted Average Price')
+      end
+
+      it 'Returns the valid options' do
+        valid_options = indicator.valid_options
+        expect(valid_options).to eq([])
+      end
+
+      it 'Validates options' do
+        valid_options = {}
+        options_validated = indicator.validate_options(valid_options)
+        expect(options_validated).to eq(true)
+      end
+
+      it 'Throws exception for invalid options' do
+        invalid_options = { test: 10 }
+        expect { indicator.validate_options(invalid_options) }.to raise_exception(TechnicalAnalysis::Validation::ValidationError)
+      end
+
+      it 'Calculates minimum data size' do
+        options = {}
+        expect(indicator.min_data_size(options)).to eq(1)
+      end
+    end
+  end
+end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: technical-analysis
 version: !ruby/object:Gem::Version
-  version: 0.1.1
+  version: 0.2.0
 platform: ruby
 authors:
 - Intrinio
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2019-03-06 00:00:00.000000000 Z
+date: 2019-03-19 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -112,6 +112,7 @@ files:
 - lib/technical_analysis/indicators/uo.rb
 - lib/technical_analysis/indicators/vi.rb
 - lib/technical_analysis/indicators/vpt.rb
+- lib/technical_analysis/indicators/vwap.rb
 - lib/technical_analysis/indicators/wr.rb
 - spec/helpers/array_helper_spec.rb
 - spec/helpers/validaton_spec.rb
@@ -150,6 +151,7 @@ files:
 - spec/technical_analysis/indicators/uo_spec.rb
 - spec/technical_analysis/indicators/vi_spec.rb
 - spec/technical_analysis/indicators/vpt_spec.rb
+- spec/technical_analysis/indicators/vwap_spec.rb
 - spec/technical_analysis/indicators/wr_spec.rb
 homepage: https://github.com/intrinio/technical-analysis
 licenses: []