[pshaiCmd] Volume Weighted Average Price (VWAP)

DefineCommand('VWAP', 'Volume Weighted Average Price')

local interval = DefineParameter(NumberType, 'interval', 'Interval for the price data. Set this to zero to use [Main Interval] setting.', false, 0, 'InputInterval, Number')
local resetInterval = DefineParameter(NumberType, 'resetInterval', 'Interval in minutes for resetting the cumulative values. If this value is zero, reset function is ignored.', false, 0, 'InputInterval, Input, Number')

DefineIntervalOptimization(interval)

local roundTime = function(time, span)
    return time - (time % (span * 60))
end

local checkReset = function(isInit, ttime)
    local time = roundTime(not ttime and Time() or ttime, resetInterval)
    
    if isInit then
        Save('rt', time)
    elseif time > Load('rt', time) then
        Save('rt', time)
        return true
    end
    return false
end

local dataLimit = 250
local hlc = HLCPrices(interval)
local v = GetVolume(interval)

local cumTyp = Load('ct', 0)
local cumVol = Load('cv', 0)
local result = Load('r', {})

if Load('init') == nil then
    LogWarning('Running a warmup for VWAP...')
    
    local len = #hlc
    local time_step = CurrentInterval() * 60
    local time = Time() - (len * time_step)
    local res = 0

    checkReset(true) -- initialize
    
    for i=len, 1, -1 do
        local p = ArrayGet(hlc, i)
        local vol = ArrayGet(v, i)
        
        if checkReset(false, time) then
            cumTyp = 0
            cumVol = 0
        else
            cumTyp = cumTyp + p * vol
            cumVol = cumVol + vol
        end

        if cumVol > 0 then
            res = ArrayUnshift(result, cumTyp / cumVol)
        else
            res = ArrayUnshift(result, p)
        end

        result = res
        time = time + time_step
    end

    
    Save('init', false)
else
    local p = ArrayGet(hlc, 1)
    local vol = ArrayGet(v, 1)

    if checkReset() then
        cumTyp = 0
        cumVol = 0
    end
    
    cumTyp = cumTyp + p * vol
    cumVol = cumVol + vol

    if cumVol > 0 then
        result = ArrayUnshift(result, cumTyp / cumVol)
    else
        result = ArrayUnshift(result, p)
    end
end

if #result > dataLimit then
    result = Grab(result, 0, dataLimit)
end


Save('ct', cumTyp)
Save('cv', cumVol)
Save('r', result)

DefineOutput(ListNumberType, result, 'Array containing VWAP values.', 'Plot')