WAP support on tickfilter bars

ib_async/ticker.py

@@ -8,8 +8,8 @@
 
 from ib_async.contract import Contract
 from ib_async.objects import (
-    DOMLevel,
     Dividends,
+    DOMLevel,
     FundamentalRatios,
     MktDepthData,
     OptionComputation,
@@ -23,7 +23,7 @@
 nan = float("nan")
 
 
-@dataclass
+@dataclass(slots=True)
 class Ticker:
     """
     Current market data such as bid, ask, last price, etc. for a contract.
@@ -123,6 +123,7 @@ class Ticker:
     regulatoryImbalance: float = nan
     bboExchange: str = ""
     snapshotPermissions: int = 0
+    updateEvent: Event = field(init=False)
 
     def __post_init__(self):
         self.updateEvent = TickerUpdateEvent("updateEvent")
@@ -258,14 +259,15 @@ def on_source(self, ticker):
             self.emit(ticker.time, ticker.midpoint(), 0)
 
 
-@dataclass
+@dataclass(slots=True)
 class Bar:
     time: Optional[datetime]
     open: float = nan
     high: float = nan
     low: float = nan
     close: float = nan
     volume: int = 0
+    wap: float = nan
     count: int = 0
 
 
@@ -302,6 +304,11 @@ def on_source(self, time, price, size):
         bar.high = max(bar.high, price)
         bar.low = min(bar.low, price)
         bar.close = price
+        # wap
+        if (bar.volume + size) != 0:  # Prevent division by zero on empty bar
+            bar.wap = (
+                ((bar.wap if not isNan(bar.wap) else 0) * bar.volume) + (price * size)
+            ) / (bar.volume + size)
         bar.volume += size
         bar.count += 1
         self.bars.updateEvent.emit(self.bars, False)
@@ -310,7 +317,9 @@ def _on_timer(self, time):
         if self.bars:
             bar = self.bars[-1]
             if isNan(bar.close) and len(self.bars) > 1:
-                bar.open = bar.high = bar.low = bar.close = self.bars[-2].close
+                bar.open = bar.high = bar.low = bar.close = bar.wap = self.bars[
+                    -2
+                ].close
             self.bars.updateEvent.emit(self.bars, True)
             self.emit(bar)
         self.bars.append(Bar(time))
@@ -333,18 +342,30 @@ def __init__(self, count, source=None):
 
     def on_source(self, time, price, size):
         if not self.bars or self.bars[-1].count == self._count:
-            bar = Bar(time, price, price, price, price, size, 1)
+            bar = Bar(time, price, price, price, price, size, price, 1)
             self.bars.append(bar)
         else:
             bar = self.bars[-1]
             bar.high = max(bar.high, price)
             bar.low = min(bar.low, price)
             bar.close = price
+            # wap
+            if (bar.volume + size) != 0:  # Prevent division by zero on empty bar
+                bar.wap = (
+                    ((bar.wap if not isNan(bar.wap) else 0) * bar.volume)
+                    + (price * size)
+                ) / (bar.volume + size)
             bar.volume += size
             bar.count += 1
-        if bar.count == self._count:
+        if bar.count == self._count:  # full bar
+            if isNan(bar.wap):
+                bar.wap = bar.close
             self.bars.updateEvent.emit(self.bars, True)
             self.emit(self.bars)
+        else:  # partial bar
+            if isNan(bar.wap):
+                bar.wap = bar.close
+            self.bars.updateEvent.emit(self.bars, False)
 
 
 class VolumeBars(Op):
@@ -360,15 +381,26 @@ def __init__(self, volume, source=None):
 
     def on_source(self, time, price, size):
         if not self.bars or self.bars[-1].volume >= self._volume:
-            bar = Bar(time, price, price, price, price, size, 1)
+            bar = Bar(time, price, price, price, price, size, price, 1)
             self.bars.append(bar)
         else:
             bar = self.bars[-1]
             bar.high = max(bar.high, price)
             bar.low = min(bar.low, price)
-            bar.close = price
+            # wap
+            if (bar.volume + size) != 0:  # Prevent division by zero on empty bar
+                bar.wap = (
+                    ((bar.wap if not isNan(bar.wap) else 0) * bar.volume)
+                    + (price * size)
+                ) / (bar.volume + size)
             bar.volume += size
             bar.count += 1
-        if bar.volume >= self._volume:
+        if bar.volume >= self._volume:  # full bar
+            if isNan(bar.wap):
+                bar.wap = bar.close
             self.bars.updateEvent.emit(self.bars, True)
             self.emit(self.bars)
+        else:  # partial bar
+            if isNan(bar.wap):
+                bar.wap = bar.close
+            self.bars.updateEvent.emit(self.bars, False)