VWAP — Volume Weighted Average Price¶
The average price weighted by trading volume over the entire input window; commonly used as a benchmark to evaluate execution quality — prices above VWAP are considered bullish, below bearish.
Inputs: [high, low, close, volume] | Options: [] | Outputs: [vwap] | Optional: [typprice]
Basic¶
use tulip_rs::indicators::vwap::indicator;
let high = vec![82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00,
85.90, 86.58, 86.98, 88.00, 87.87, 88.20, 88.70, 89.10, 88.50, 89.00,
89.60, 89.90, 89.30, 90.10, 90.50, 91.00, 90.30, 91.00, 91.60, 92.00,
91.30, 92.00, 92.60, 93.00, 92.30, 93.00, 93.60, 94.00, 93.30, 94.10_f64];
let low = vec![81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11,
84.03, 85.39, 85.76, 87.17, 87.01, 87.20, 87.80, 88.20, 87.60, 88.00,
88.60, 88.90, 88.30, 89.00, 89.40, 89.80, 89.20, 89.90, 90.50, 90.80,
90.20, 90.90, 91.50, 91.80, 91.20, 91.90, 92.50, 92.80, 92.20, 93.00_f64];
let close = vec![81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36,
85.53, 86.54, 86.89, 87.77, 87.29, 87.50, 88.10, 88.50, 87.90, 88.20,
88.80, 89.10, 88.70, 89.30, 89.70, 90.10, 89.50, 90.20, 90.80, 91.10,
90.50, 91.20, 91.80, 92.10, 91.50, 92.20, 92.80, 93.10, 92.50, 93.20_f64];
let volume = vec![1500.0, 2000.0, 1800.0, 2200.0, 1700.0, 2500.0, 2100.0, 1900.0, 2300.0, 1600.0,
2800.0, 2400.0, 2100.0, 1800.0, 2600.0, 2200.0, 1900.0, 2400.0, 2000.0, 2100.0,
2300.0, 1700.0, 2500.0, 1800.0, 2000.0, 2100.0, 1600.0, 2200.0, 2400.0, 1900.0,
2300.0, 1800.0, 2100.0, 2500.0, 1700.0, 2000.0, 2200.0, 1900.0, 2400.0, 2100.0_f64];
let inputs = [high.as_slice(), low.as_slice(), close.as_slice(), volume.as_slice()];
let (outputs, _state) = indicator(&inputs, &[], None).unwrap();
println!("VWAP: {:?}", outputs[0]);
// State continuation
let n = high.len() - 5;
let partial_inputs = [&high[..n], &low[..n], &close[..n], &volume[..n]];
let (outputs2, mut state) = indicator(&partial_inputs, &[], None).unwrap();
println!("Partial VWAP: {:?}", outputs2[0]);
let rest_inputs = [&high[n..], &low[n..], &close[n..], &volume[n..]];
let continued = state.batch_indicator(&rest_inputs, None).unwrap();
println!("Continued VWAP: {:?}", continued[0]);
import numpy as np
import tulip_rs
high = np.array([82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00,
85.90, 86.58, 86.98, 88.00, 87.87, 88.20, 88.70, 89.10, 88.50, 89.00,
89.60, 89.90, 89.30, 90.10, 90.50, 91.00, 90.30, 91.00, 91.60, 92.00,
91.30, 92.00, 92.60, 93.00, 92.30, 93.00, 93.60, 94.00, 93.30, 94.10], dtype=np.float64)
low = np.array([81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11,
84.03, 85.39, 85.76, 87.17, 87.01, 87.20, 87.80, 88.20, 87.60, 88.00,
88.60, 88.90, 88.30, 89.00, 89.40, 89.80, 89.20, 89.90, 90.50, 90.80,
90.20, 90.90, 91.50, 91.80, 91.20, 91.90, 92.50, 92.80, 92.20, 93.00], dtype=np.float64)
close = np.array([81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36,
85.53, 86.54, 86.89, 87.77, 87.29, 87.50, 88.10, 88.50, 87.90, 88.20,
88.80, 89.10, 88.70, 89.30, 89.70, 90.10, 89.50, 90.20, 90.80, 91.10,
90.50, 91.20, 91.80, 92.10, 91.50, 92.20, 92.80, 93.10, 92.50, 93.20], dtype=np.float64)
volume = np.array([1500, 2000, 1800, 2200, 1700, 2500, 2100, 1900, 2300, 1600,
2800, 2400, 2100, 1800, 2600, 2200, 1900, 2400, 2000, 2100,
2300, 1700, 2500, 1800, 2000, 2100, 1600, 2200, 2400, 1900,
2300, 1800, 2100, 2500, 1700, 2000, 2200, 1900, 2400, 2100], dtype=np.float64)
outputs, state = tulip_rs.indicators.vwap.indicator([high, low, close, volume], [])
print("VWAP:", outputs[0])
# State continuation
n = len(high) - 5
outputs2, state = tulip_rs.indicators.vwap.indicator(
[high[:n], low[:n], close[:n], volume[:n]], []
)
print("Partial VWAP:", outputs2[0])
continued = state.batch_indicator([high[n:], low[n:], close[n:], volume[n:]])
print("Continued VWAP:", continued[0])
import * as ti from 'tulip-rs-node';
const high = Float64Array.from([82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00,
85.90, 86.58, 86.98, 88.00, 87.87, 88.20, 88.70, 89.10, 88.50, 89.00,
89.60, 89.90, 89.30, 90.10, 90.50, 91.00, 90.30, 91.00, 91.60, 92.00,
91.30, 92.00, 92.60, 93.00, 92.30, 93.00, 93.60, 94.00, 93.30, 94.10]);
const low = Float64Array.from([81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11,
84.03, 85.39, 85.76, 87.17, 87.01, 87.20, 87.80, 88.20, 87.60, 88.00,
88.60, 88.90, 88.30, 89.00, 89.40, 89.80, 89.20, 89.90, 90.50, 90.80,
90.20, 90.90, 91.50, 91.80, 91.20, 91.90, 92.50, 92.80, 92.20, 93.00]);
const close = Float64Array.from([81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36,
85.53, 86.54, 86.89, 87.77, 87.29, 87.50, 88.10, 88.50, 87.90, 88.20,
88.80, 89.10, 88.70, 89.30, 89.70, 90.10, 89.50, 90.20, 90.80, 91.10,
90.50, 91.20, 91.80, 92.10, 91.50, 92.20, 92.80, 93.10, 92.50, 93.20]);
const volume = Float64Array.from([1500, 2000, 1800, 2200, 1700, 2500, 2100, 1900, 2300, 1600,
2800, 2400, 2100, 1800, 2600, 2200, 1900, 2400, 2000, 2100,
2300, 1700, 2500, 1800, 2000, 2100, 1600, 2200, 2400, 1900,
2300, 1800, 2100, 2500, 1700, 2000, 2200, 1900, 2400, 2100]);
const [outputs, state] = ti.vwap.indicator([high, low, close, volume], []);
console.log('VWAP:', outputs[0]);
// State continuation
const n = high.length - 5;
const [, state2] = ti.vwap.indicator([high.slice(0, n), low.slice(0, n), close.slice(0, n), volume.slice(0, n)], []);
const continued = state2.batchIndicator([high.slice(n), low.slice(n), close.slice(n), volume.slice(n)]);
console.log('Continued VWAP:', continued[0]);
import { init } from 'tulip-rs-wasm';
import * as ti from 'tulip-rs-wasm';
await init(); // bundler resolves the WASM asset automatically
const high = [82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00,
85.90, 86.58, 86.98, 88.00, 87.87, 88.20, 88.70, 89.10, 88.50, 89.00,
89.60, 89.90, 89.30, 90.10, 90.50, 91.00, 90.30, 91.00, 91.60, 92.00,
91.30, 92.00, 92.60, 93.00, 92.30, 93.00, 93.60, 94.00, 93.30, 94.10];
const low = [81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11,
84.03, 85.39, 85.76, 87.17, 87.01, 87.20, 87.80, 88.20, 87.60, 88.00,
88.60, 88.90, 88.30, 89.00, 89.40, 89.80, 89.20, 89.90, 90.50, 90.80,
90.20, 90.90, 91.50, 91.80, 91.20, 91.90, 92.50, 92.80, 92.20, 93.00];
const close = [81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36,
85.53, 86.54, 86.89, 87.77, 87.29, 87.50, 88.10, 88.50, 87.90, 88.20,
88.80, 89.10, 88.70, 89.30, 89.70, 90.10, 89.50, 90.20, 90.80, 91.10,
90.50, 91.20, 91.80, 92.10, 91.50, 92.20, 92.80, 93.10, 92.50, 93.20];
const volume = [1500, 2000, 1800, 2200, 1700, 2500, 2100, 1900, 2300, 1600,
2800, 2400, 2100, 1800, 2600, 2200, 1900, 2400, 2000, 2100,
2300, 1700, 2500, 1800, 2000, 2100, 1600, 2200, 2400, 1900,
2300, 1800, 2100, 2500, 1700, 2000, 2200, 1900, 2400, 2100];
const [outputs, state] = ti.vwap.indicator([high, low, close, volume], []);
console.log('VWAP:', outputs[0]);
// State continuation
const n = high.length - 5;
const [, state2] = ti.vwap.indicator([high.slice(0, n), low.slice(0, n), close.slice(0, n), volume.slice(0, n)], []);
const continued = state2.batchIndicator([high.slice(n), low.slice(n), close.slice(n), volume.slice(n)]);
console.log('Continued VWAP:', continued[0]);
Optional Outputs¶
vwap exposes 1 optional output: typprice. The typical price (high + low + close) / 3 is the per-bar price used internally when computing the weighted average. Pass a boolean mask as the third argument — one bool per optional output, in order.
use tulip_rs::indicators::vwap::indicator;
// ... (same high, low, close, volume data as above)
let mask = [true];
let (outputs, _state) = indicator(
&[high.as_slice(), low.as_slice(), close.as_slice(), volume.as_slice()],
&[],
Some(&mask),
).unwrap();
let vwap = &outputs[0]; // vwap (primary)
let typprice = &outputs[1]; // typprice (optional — requested)
vwap exposes 1 optional output: typprice.
SIMD¶
By assets — same options, N assets in parallel:
use tulip_rs::indicators::vwap::indicator_by_assets;
let h1 = high.clone(); let l1 = low.clone();
let c1 = close.clone(); let v1 = volume.clone();
let h2 = h1.clone(); let l2 = l1.clone();
let c2 = c1.clone(); let v2 = v1.clone();
let h3 = h1.clone(); let l3 = l1.clone();
let c3 = c1.clone(); let v3 = v1.clone();
let h4 = h1.clone(); let l4 = l1.clone();
let c4 = c1.clone(); let v4 = v1.clone();
let inputs: [&[&[f64]; 4]; 4] = [
&[h1.as_slice(), l1.as_slice(), c1.as_slice(), v1.as_slice()],
&[h2.as_slice(), l2.as_slice(), c2.as_slice(), v2.as_slice()],
&[h3.as_slice(), l3.as_slice(), c3.as_slice(), v3.as_slice()],
&[h4.as_slice(), l4.as_slice(), c4.as_slice(), v4.as_slice()],
];
let results = indicator_by_assets::<4>(&inputs, &[], None).unwrap();
for (i, asset_outputs) in results.0.iter().enumerate() {
println!("Asset {}: {:?}", i + 1, asset_outputs[0]);
}
This indicator has no options, so by-options SIMD does not apply.
By assets — same options, N assets in parallel (must be 2, 4, 8, or 16):
import numpy as np
import tulip_rs
simd_inputs = [
[high, low, close, volume],
[high + 0.5, low + 0.5, close + 0.5, volume * 1.1],
[high - 0.5, low - 0.5, close - 0.5, volume * 0.9],
[high * 1.01, low * 1.01, close * 1.01, volume * 1.05],
]
outputs_list, states = tulip_rs.indicators.vwap.simd_by_assets(simd_inputs, [])
for i, out in enumerate(outputs_list):
print(f"Asset {i + 1}: {out[0]}")
This indicator has no options, so by-options SIMD does not apply.
By assets — applied to 4 assets in parallel:
const simdInputs = [
[high.slice(), low.slice(), close.slice(), volume.slice()],
[high.map(v => v * 1.1), low.map(v => v * 1.1), close.map(v => v * 1.1), volume.map(v => v * 1.1)],
[high.map(v => v * 0.9), low.map(v => v * 0.9), close.map(v => v * 0.9), volume.map(v => v * 0.9)],
[high.map(v => v * 1.02), low.map(v => v * 1.02), close.map(v => v * 1.02), volume.map(v => v * 1.02)],
];
const [results] = ti.vwap.simdByAssets(simdInputs, []);
results.forEach((out, i) => console.log(`Asset ${i + 1}:`, out[0]));
This indicator has no options, so by-options SIMD does not apply.