Struct SessionVwap 

pub struct SessionVwap { /* private fields */ }

Volume-weighted average price reset at each local day boundary.

Each bar contributes its typical price (high + low + close) / 3 weighted by volume. The running VWAP is Σ(typical · volume) / Σ volume over the current session; if the session’s volume is still zero the indicator falls back to the latest typical price so the output is always finite. The session boundary is the wall-clock day of Candle::timestamp shifted by utc_offset_minutes.

Where crate::RollingVwap averages over a fixed bar window and crate::AnchoredVwap anchors at a caller-chosen bar, Session VWAP anchors at the automatically detected day open.

Example

use wickra_core::{Candle, Indicator, SessionVwap};

let hour = 3_600_000;
let mut vwap = SessionVwap::new(0);
// typical = 100, volume 10.
vwap.update(Candle::new(100.0, 100.0, 100.0, 100.0, 10.0, 0).unwrap());
// typical = 110, volume 30 -> VWAP = (100*10 + 110*30) / 40 = 107.5.
let v = vwap.update(Candle::new(110.0, 110.0, 110.0, 110.0, 30.0, hour).unwrap()).unwrap();
assert!((v - 107.5).abs() < 1e-9);

Implementations

impl SessionVwap

pub const fn new(utc_offset_minutes: i32) -> Self

The offset is a constant and does not follow daylight saving: for a venue that observes it, one value is correct for part of the year and an hour out for the rest, which shifts every session boundary by an hour. Either pass the offset in force for the span being analysed and keep spans that cross a transition apart, or convert the timestamps to the venue’s wall clock upstream and pass 0. Construct a Session VWAP indicator with the given UTC offset (minutes).

pub const fn utc_offset_minutes(&self) -> i32

Configured UTC offset in minutes.

pub const fn value(&self) -> Option<f64>

Most recent VWAP if at least one bar has been seen.

Trait Implementations

impl Clone for SessionVwap

fn clone(&self) -> SessionVwap

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SessionVwap

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Indicator for SessionVwap

type Input = Candle

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, candle: Candle) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if there is no value for this input.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.