# Copyright 2008, 2009, 2010 Kevin Ryde
# This file is part of Chart.
#
# Chart is free software; you can redistribute it and/or modify it under the
# terms of the GNU General Public License as published by the Free Software
# Foundation; either version 3, or (at your option) any later version.
#
# Chart is distributed in the hope that it will be useful, but WITHOUT ANY
# WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
# FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
# details.
#
# You should have received a copy of the GNU General Public License along
# with Chart. If not, see <http://www.gnu.org/licenses/>.
package App::Chart::Series::Derived::VWMA;
use 5.010;
use strict;
use warnings;
use Carp;
use List::Util qw(min max);
use Locale::TextDomain ('App-Chart');
use Math::Trig ();
use base 'App::Chart::Series::Indicator';
use constant DEBUG => 0;
sub longname { __('VWMA - Volume Weighted') }
sub shortname { __('VWMA') }
sub manual { __p('manual-node','Volume Weighted Moving Average') }
use constant
{ type => 'average',
parameter_info => [ { name => __('Days'),
key => 'vwma_days',
type => 'integer',
minimum => 1,
default => 20 } ],
};
sub new {
if (DEBUG >= 2) { require Data::Dumper;
print "VWMA->new ",Data::Dumper::Dumper(\@_); }
my ($class, $parent, $N) = @_;
$parent->array('volumes')
or croak "No volumes in series '",$parent->name,"'";
$N //= parameter_info()->[0]->{'default'};
($N > 0) || croak "VWMA bad N: $N";
return $class->SUPER::new
(parent => $parent,
N => $N,
parameters => [ $N ],
arrays => { values => [] },
array_aliases => { });
}
sub fill_part {
my ($self, $lo, $hi) = @_;
my $parent = $self->{'parent'};
my $N = $self->{'N'};
my $start = $parent->find_before ($lo, $N-1);
$parent->fill ($start, $hi);
my $s = $self->values_array;
my $pp = $parent->values_array;
my $pv = $parent->array('volumes');
$hi = min ($hi, $#$pp);
if ($#$s < $hi) { $#$s = $hi; } # pre-extend
# $a[0] is the newest point, $a[1] the prev, through to $a[$N-1]
my @a;
my @v;
my $total_volume = 0;
my $total_prod = 0;
my $pos = 0;
foreach my $i ($start .. $lo-1) {
my $value = $pp->[$i] // next;
my $volume = $pv->[$i] // 0;
$total_volume += ($v[$pos] = $volume);
$total_prod += ($a[$pos++] = $value * $volume);
}
my $count = $pos;
if (DEBUG) { print " warmed to total_volume=$total_volume count=$count\n";
require Data::Dumper;
print Data::Dumper->Dump([\@v,\@a],['v','a']); }
foreach my $i ($lo .. $hi) {
my $value = $pp->[$i] // next;
my $volume = $pv->[$i] // 0;
if ($count < $N) {
$count++;
} else {
# drop old
$total_volume -= $v[$pos];
$total_prod -= $a[$pos];
}
# add new
$total_volume += ($v[$pos] = $volume);
$total_prod += ($a[$pos++] = $value * $volume);
if ($pos >= $N) { $pos = 0; }
if ($total_volume != 0) {
$s->[$i] = $total_prod / $total_volume;
}
}
}
1;
__END__
# =head1 NAME
#
# App::Chart::Series::Derived::VWMA -- volume weighted moving average
#
# =head1 SYNOPSIS
#
# my $series = $parent->VWMA($N);
#
# =head1 DESCRIPTION
#
# ...
#
# =head1 SEE ALSO
#
# L<App::Chart::Series>, L<App::Chart::Series::Derived::Volume>
#
# =cut