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::{Vwap, Indicator, TIndicatorState};
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) = Vwap::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]);
#include "tulip_rs_ffi.h"
double 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};
double 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};
double 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};
double 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};
/* VWAP has no options (VWAP_OPTIONS=0); the inputs are [high, low, close, volume] */
const double *inputs[VWAP_INPUTS] = {high, low, close, volume};
/* Full computation (check r.error == C_INDICATOR_ERROR_OK in real code) */
CIndicatorResult r = vwap_indicator(inputs, 40, NULL, NULL, 0);
/* r.outputs[0] -> the VWAP series, length r.output_lens[0] */
tulip_ffi_result_free(r);
vwap_state_free(r.state);
/* Partial computation + state continuation */
CIndicatorResult p = vwap_indicator(inputs, 35, NULL, NULL, 0);
double new_high[] = {91.30, 92.00, 92.60, 93.00, 92.30};
double new_low[] = {90.20, 90.90, 91.50, 91.80, 91.20};
double new_close[] = {90.50, 91.20, 91.80, 92.10, 91.50};
double new_volume[] = {2300, 1800, 2100, 2500, 1700};
const double *new_inputs[VWAP_INPUTS] = {new_high, new_low, new_close, new_volume};
CBatchResult b = vwap_batch(p.state, new_inputs, 5, NULL, 0);
/* b.outputs[0] -> VWAP values for just the five new bars */
tulip_ffi_batch_result_free(b);
tulip_ffi_result_free(p);
vwap_state_free(p.state);
import "github.com/me60732/tulip_rs_go/indicators"
high := []float64{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}
low := []float64{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}
close := []float64{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}
volume := []float64{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}
options := []float64{} // no options
// Full computation — Rows are zero-copy views, valid until Close.
res, st, _ := indicators.Vwap.Indicator(high, low, close, volume, options, nil)
fmt.Println("VWAP:", res.Rows[0])
res.Close()
st.Close()
// Partial computation + state continuation.
n := len(high) - 5
res2, st2, _ := indicators.Vwap.Indicator(high[:n], low[:n], close[:n], volume[:n], options, nil)
res2.Close() // outputs consumed or closed; state stays live
batch, _ := st2.Batch(high[n:], low[n:], close[n:], volume[n:], nil)
fmt.Println("Continued VWAP:", batch.Rows[0])
batch.Close()
st2.Close()
import org.tuliprs.*;
import org.tuliprs.indicators.Vwap;
double[] 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};
double[] 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};
double[] 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};
double[] 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};
double[] options = {}; // no options
// Full computation — output rows are zero-copy views, valid until close().
Outcome oc = Vwap.indicator(new double[][] {high, low, close, volume}, options);
try (Result res = oc.result(); State st = oc.state()) {
System.out.println(java.util.Arrays.toString(res.toDoubleArray(0))); // VWAP
}
// Partial computation + state continuation.
int n = 35;
Outcome p = Vwap.indicator(new double[][] {
java.util.Arrays.copyOfRange(high, 0, n),
java.util.Arrays.copyOfRange(low, 0, n),
java.util.Arrays.copyOfRange(close, 0, n),
java.util.Arrays.copyOfRange(volume, 0, n)}, options);
try (Result pr = p.result(); State st = p.state()) {
Result br = st.batch(new double[][] {
java.util.Arrays.copyOfRange(high, n, 40),
java.util.Arrays.copyOfRange(low, n, 40),
java.util.Arrays.copyOfRange(close, n, 40),
java.util.Arrays.copyOfRange(volume, n, 40)});
try (br) {
System.out.println(java.util.Arrays.toString(br.toDoubleArray(0))); // continued VWAP
}
}
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::{Vwap, Indicator, TIndicatorState};
// ... (same high, low, close, volume data as above)
let mask = [true];
let (outputs, _state) = Vwap::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. Pass a boolean mask as the third argument.
vwap exposes 1 optional output: typprice. This indicator has no options, so the options array is NULL (or empty).
#include "tulip_rs_ffi.h"
/* ... (same high, low, close, volume data as above) */
const double *inputs[VWAP_INPUTS] = {high, low, close, volume};
/* Request the typprice optional output (mask has one bool per optional output) */
bool mask[] = {true};
CIndicatorResult r = vwap_indicator(inputs, 40, NULL, mask, 1);
/* r.outputs[0] -> vwap (primary), r.outputs[1] -> typprice (optional) */
tulip_ffi_result_free(r);
vwap_state_free(r.state);
import "github.com/me60732/tulip_rs_go/indicators"
high := []float64{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}
low := []float64{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}
close := []float64{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}
volume := []float64{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}
options := []float64{} // no options
mask := []bool{true} // typprice
res, st, _ := indicators.Vwap.Indicator(high, low, close, volume, options, mask)
fmt.Println(res.Rows[0]) // vwap (primary)
fmt.Println(res.Rows[1]) // typprice (optional — requested)
res.Close()
st.Close()
import org.tuliprs.*;
import org.tuliprs.indicators.Vwap;
double[] 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};
double[] 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};
double[] 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};
double[] 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};
double[] options = {}; // no options
boolean[] mask = {true}; // typprice
Outcome oc = Vwap.indicator(new double[][] {high, low, close, volume}, options, mask);
try (Result res = oc.result()) {
System.out.println(java.util.Arrays.toString(res.toDoubleArray(0))); // vwap (primary)
System.out.println(java.util.Arrays.toString(res.toDoubleArray(1))); // typprice (optional — requested)
}
oc.state().close();
vwap exposes 1 optional output: typprice.
SIMD¶
By assets — same options, N assets in parallel:
use tulip_rs::indicators::vwap::{Vwap, Indicator};
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 = Vwap::indicator_by_assets::<4>(&inputs, &[], None).unwrap();
for (i, asset_outputs) in results.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 applied to 4 assets in one call (N must be 2/4/8/16): By assets — same option applied to 4 assets in one call (N must be 2/4/8/16). This indicator has no options.
double h1[] = {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};
double l1[] = {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};
double c1[] = {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};
double v1[] = {1500, 2000, 1800, 2200, 1700, 2500, 2100, 1900, 2300, 1600,
2800, 2400, 2100, 1800, 2600};
const double *const asset1[VWAP_INPUTS] = {h1, l1, c1, v1};
/* Asset 2 with slightly different prices */
double h2[] = {82.25, 81.99, 83.13, 83.40, 83.95, 84.00, 83.43, 84.40, 84.94, 85.10,
86.00, 86.68, 87.08, 88.10, 87.97};
double l2[] = {81.39, 80.74, 81.41, 82.75, 83.17, 83.21, 82.59, 82.40, 84.25, 84.21,
84.13, 85.49, 85.86, 87.27, 87.11};
double c2[] = {81.69, 81.16, 82.97, 83.10, 83.71, 83.25, 82.94, 84.09, 84.65, 84.46,
85.63, 86.64, 86.99, 87.87, 87.39};
double v2[] = {1600, 2100, 1900, 2300, 1800, 2600, 2200, 2000, 2400, 1700,
2900, 2500, 2200, 1900, 2700};
const double *const asset2[VWAP_INPUTS] = {h2, l2, c2, v2};
/* Asset 3 */
double h3[] = {81.95, 81.69, 82.83, 83.10, 83.65, 83.70, 83.13, 84.10, 84.64, 84.80,
85.70, 86.38, 86.78, 87.80, 87.67};
double l3[] = {81.09, 80.44, 81.11, 82.45, 82.87, 82.91, 82.29, 82.10, 83.95, 83.91,
83.83, 85.19, 85.56, 86.87, 86.71};
double c3[] = {81.39, 80.86, 82.67, 82.80, 83.41, 83.05, 82.64, 83.79, 84.35, 84.16,
85.33, 86.34, 86.69, 87.57, 87.09};
double v3[] = {1400, 1900, 1700, 2100, 1600, 2400, 2000, 1800, 2200, 1500,
2700, 2300, 2000, 1700, 2500};
const double *const asset3[VWAP_INPUTS] = {h3, l3, c3, v3};
/* Asset 4 */
double h4[] = {82.35, 82.09, 83.23, 83.50, 84.05, 84.10, 83.53, 84.50, 85.04, 85.20,
86.10, 86.78, 87.18, 88.20, 88.07};
double l4[] = {81.49, 80.84, 81.51, 82.85, 83.27, 83.31, 82.69, 82.50, 84.35, 84.31,
84.23, 85.59, 85.96, 87.37, 87.21};
double c4[] = {81.79, 81.26, 83.07, 83.20, 83.81, 83.35, 83.04, 84.19, 84.75, 84.56,
85.73, 86.74, 87.09, 87.97, 87.49};
double v4[] = {1700, 2200, 2000, 2400, 1900, 2700, 2300, 2100, 2500, 1800,
3000, 2600, 2300, 2000, 2800};
const double *const asset4[VWAP_INPUTS] = {h4, l4, c4, v4};
/* simd_inputs is indexed by asset (the N=4 SIMD lanes) */
const double *const *const simd_inputs[4] = {asset1, asset2, asset3, asset4};
CSimdResult r = vwap_simd_by_assets(simd_inputs, 4, 15, NULL, NULL, 0);
for (uintptr_t i = 0; i < r.num_results; i++) {
/* r.outputs[i][0] -> asset i's VWAP series */
vwap_state_free(r.states[i]);
}
tulip_ffi_simd_result_free(r);
By assets — same options applied to 4 assets in parallel (lane counts 2/4/8/16):
h1 := []float64{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}
l1 := []float64{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}
c1 := []float64{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}
v1 := []float64{1500, 2000, 1800, 2200, 1700, 2500, 2100, 1900, 2300, 1600,
2800, 2400, 2100, 1800, 2600}
// Reuse the same data for assets 2–4 in this example
h2, l2, c2, v2 := h1, l1, c1, v1
h3, l3, c3, v3 := h1, l1, c1, v1
h4, l4, c4, v4 := h1, l1, c1, v1
assets := [][indicators.VwapInputs][]float64{
{h1, l1, c1, v1},
{h2, l2, c2, v2},
{h3, l3, c3, v3},
{h4, l4, c4, v4},
}
sim, _ := indicators.Vwap.SimdByAssets(assets, []float64{}, nil)
for i, lanes := range sim.Results {
fmt.Printf("Asset %d: %v\n", i+1, lanes[0])
}
sim.Close() // frees every lane state, then the SIMD buffers
This indicator has no options, so by-options SIMD does not apply.
By assets — same options applied to 4 assets in parallel (N must be 2, 4, 8, or 16):
import org.tuliprs.*;
import org.tuliprs.indicators.Vwap;
double[] h1 = {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};
double[] l1 = {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};
double[] c1 = {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};
double[] v1 = {1500, 2000, 1800, 2200, 1700, 2500, 2100, 1900, 2300, 1600,
2800, 2400, 2100, 1800, 2600};
// Reuse the same data for assets 2–4 in this example
double[] h2 = h1;
double[] l2 = l1;
double[] c2 = c1;
double[] v2 = v1;
double[] h3 = h1;
double[] l3 = l1;
double[] c3 = c1;
double[] v3 = v1;
double[] h4 = h1;
double[] l4 = l1;
double[] c4 = c1;
double[] v4 = v1;
// One entry per asset; each asset lists its INPUTS series.
double[][][] assets = {{h1, l1, c1, v1}, {h2, l2, c2, v2}, {h3, l3, c3, v3}, {h4, l4, c4, v4}};
try (SimdResult sim = Vwap.simdByAssets(assets, new double[] {}, null)) {
for (int i = 0; i < sim.numResults(); i++) {
System.out.printf("Asset %d: %s%n", i + 1,
java.util.Arrays.toString(sim.toDoubleArray(i, 0)));
}
} // frees every lane state, then the SIMD buffers (contractual order)
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.