vwap

ta_lib/overlap/Cargo.toml

@@ -6,3 +6,4 @@ edition = "2021"
 # See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
 
 [dependencies]
+price = { path = "../price" }

ta_lib/overlap/src/lib.rs

@@ -1,3 +1,4 @@
 pub mod ema;
 pub mod sma;
 pub mod smma;
+pub mod vwap;

ta_lib/overlap/src/vwap.rs

@@ -0,0 +1,58 @@
+use price::typical::typical_price;
+
+pub fn vwap(high: &[f64], low: &[f64], close: &[f64], volume: &[f64]) -> Vec<Option<f64>> {
+    let typical_price = typical_price(high, low, close);
+
+    let len = typical_price.len();
+
+    if len != volume.len() {
+        return vec![None; len];
+    }
+
+    let mut vwap = vec![None; len];
+    let mut sum_volume = 0.0;
+    let mut vwap_numerator = 0.0;
+
+    for i in 0..len {
+        match typical_price[i] {
+            Some(p) => {
+                sum_volume += volume[i];
+                vwap_numerator += p * volume[i];
+                vwap[i] = Some(vwap_numerator / sum_volume);
+            }
+            None => return vec![None; len],
+        }
+    }
+
+    vwap
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn test_vwap() {
+        let high = vec![2.0, 4.0, 6.0];
+        let low = vec![1.0, 2.0, 3.0];
+        let close = vec![1.5, 3.0, 4.5];
+        let volume = vec![100.0, 200.0, 300.0];
+
+        let expected = vec![Some(1.5), Some(2.5), Some(3.5)];
+        let result = vwap(&high, &low, &close, &volume);
+
+        assert_eq!(result, expected);
+    }
+
+    #[test]
+    fn test_vwap_some_missing_values() {
+        let high = vec![2.0, 4.0, 6.0];
+        let low = vec![1.0, 2.0];
+        let close = vec![1.5, 3.0, 4.5];
+        let volume = vec![100.0, 200.0, 300.0];
+
+        let result = vwap(&high, &low, &close, &volume);
+
+        assert!(result.iter().any(|r| r.is_none()));
+    }
+}