Anchored-VWAP-indicator

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript72 
{
    public class MyStrategy : UserStrategyBase
    {   
        public override void Initialize(BarHistory bars)
        {
         DateTime startDateTime = new DateTime(2023, 11, 1, 13, 30, 0);
         TimeSeries myvwap = VWAP2(bars, startDateTime);
         PlotTimeSeries(myvwap, "VWAP2", "Price", WLColor.NeonYellow); 
        }

      TimeSeries VWAP2(BarHistory bars, DateTime startDateTime)
      {         
         TimeSeries vwap2 = new TimeSeries(bars.DateTimes, true);

         int startIdx = bars.IndexOf(startDateTime);
         if (startIdx > -1)
         {
            double d = 0, cvol = 0;

            for (int bar = startIdx; bar < bars.Count; bar++)
            {
               d += (bars.AveragePriceHLC[bar] * bars.Volume[bar]);
               cvol += bars.Volume[bar];
               vwap2[bar] = d / cvol;
            }
         }
         return vwap2;
      }
      
        public override void Execute(BarHistory bars, int idx)
        {  }
    }
}

QUOTE:
There should be a much easier way to accomplish something like this, IMO.

CODE:
using System;
using WealthLab.Core;
using WealthLab.Indicators;

namespace WLUtility.Indicators
{
    /// <summary>
    ///     Anchored VWAP indicator that allows anchoring VWAP by date/time or by an n-bar sliding window.
    /// </summary>
    public class AnchoredVwap : IndicatorBase
    {
        private const int ParamIndexSource = 0;
        private const int ParamIndexAnchorDate = 1;
        private const int ParamIndexUseLength = 2;
        private const int ParamIndexLength = 3;

        public AnchoredVwap()
        {
            // for WL 8 - do not remove
        }

        public AnchoredVwap(BarHistory source, DateTime anchorDate, bool useLength, int length)
        {
            Parameters[ParamIndexSource].Value = source;
            Parameters[ParamIndexAnchorDate].Value = anchorDate;
            Parameters[ParamIndexUseLength].Value = useLength;
            Parameters[ParamIndexLength].Value = length;
            Populate();
        }

        private BarHistory Source => Parameters[ParamIndexSource].AsBarHistory;
        private DateTime AnchorDateTime => Parameters[ParamIndexAnchorDate].AsDate;
        private bool UseLength => Parameters[ParamIndexUseLength].AsBoolean;
        private int Length => Parameters[ParamIndexLength].AsInt;

        public override string Name => "Anchored VWAP";
        public override string Abbreviation => "Anchored VWAP";
        public override string HelpDescription => "Anchored VWAP by date or bar count";
        public override string PaneTag => "Price";
        public override WLColor DefaultColor { get; } = WLColor.Purple;

        public override void Populate()
        {
            DateTimes = Source.DateTimes;
            double cumulativePriceVolume = 0, cumulativeVolume = 0;

            // be speedy
            var source = Source;
            var hlc = source.AveragePriceHLC;
            var volume = source.Volume;

            if (UseLength)
            {
                // sliding window...
                var length = Length;
                if (length < 1)
                {
                    // For an invalid length don't throw an exception because it will cause a problem when using building blocks
                    // as of WL 8 Build 54.
                    // When running a strategy or dragged to a chart, all values will be NaN.
                    // So, dont' use an invalid length.
                    return;
                }

                for (var idx = 0; idx < length - 1; idx++)
                {
                    cumulativePriceVolume += hlc[idx] * volume[idx];
                    cumulativeVolume += volume[idx];
                }

                var removeIdx = 0;
                for (var idx = length - 1; idx < source.Count; idx++)
                {
                    cumulativePriceVolume += hlc[idx] * volume[idx];
                    cumulativeVolume += volume[idx];
                    Values[idx] = cumulativePriceVolume / cumulativeVolume;

                    // remove oldest from accumulators
                    cumulativePriceVolume -= hlc[removeIdx] * volume[removeIdx];
                    cumulativeVolume -= volume[removeIdx];
                    removeIdx++;
                }
            }
            else
            {
                // fixed date/time...
                var startIdx = Source.IndexOf(AnchorDateTime);
                if (startIdx > -1)
                {
                    for (var idx = startIdx; idx < source.Count; idx++)
                    {
                        cumulativePriceVolume += hlc[idx] * volume[idx];
                        cumulativeVolume += volume[idx];
                        Values[idx] = cumulativePriceVolume / cumulativeVolume;
                    }
                }
            }
        }

        public static AnchoredVwap Series(BarHistory source, DateTime anchorDate, bool useLength, int length)
        {
            var key = CacheKey("AnchoredVWAP", anchorDate, useLength, length);
            if (source.Cache.TryGetValue(key, out var vwap))
            {
                return (AnchoredVwap) vwap;
            }

            var result = new AnchoredVwap(source, anchorDate, useLength, length);
            source.Cache[key] = result;
            return result;
        }

        protected override void GenerateParameters()
        {
            AddParameter("Source", ParameterType.BarHistory, null);
            AddParameter("Anchor Date", ParameterType.Date, DateTime.Now.Date);
            AddParameter("Use length instead of anchor date?", ParameterType.Boolean, false);
            AddParameter("Length", ParameterType.Int32, 20);
        }
    }
}

CODE:
         


AVWAP = new AnchoredVwap(bars, bars.AveragePriceOHLC, new DateTime(2024, 9, 20), true, Parameters[22].AsInt);
         PlotIndicator(AVWAP, WLColor.Purple);
         _startIndexList.Add(AVWAP);

CODE:
WriteToDebugLog("Parameters.Count is " + Parameters.Count);

CODE:
using System;
using WealthLab.Backtest;
using WealthLab.Core;
using WLUtility.Indicators;

namespace WealthLabStrategies.Test
{
    public class TestAnchoredVwap : UserStrategyBase
    {
        public TestAnchoredVwap()
        {
            ParamLength = AddParameter("Length", ParameterType.Int32, 5, 5, 200, 5);
        }

        private Parameter ParamLength { get; }
        private int Length { get; set; }

        private AnchoredVwap Avwap { get; set; }

        public override void Initialize(BarHistory bars)
        {
            Length = ParamLength.AsInt;
            Avwap = AnchoredVwap.Series(bars, bars.AveragePriceOHLC, new DateTime(2024, 9, 20), true, Length);
            PlotIndicator(Avwap);
        }

        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}