量化交易之One Piece篇 - signals - VWAP.h & VWAP.cc

// VWAP.h

#pragma once

#include 
#include 

class VWAP
{
public:
    VWAP() = delete;

    VWAP(unsigned int windows);

    ~VWAP();

    void UpdateTick(TickSPtr tickSPtr);

    double Value();

    bool Check();

private:
    unsigned int m_windows;

    double m_sumLastPriceValue;
    double m_sumSizeValue;

    queue m_ticks;

    bool m_isOk;
};

// VWAP.cc

#include 


VWAP::VWAP(unsigned int windows): m_windows(windows), m_sumLastPriceValue(0), m_sumSizeValue(0), m_isOk(false) {

}

VWAP::~VWAP() {
    while (!this->m_ticks.empty()) {
        this->m_ticks.pop();
    }
}

void VWAP::UpdateTick(TickSPtr tickSPtr) {
    if (this->m_ticks.size() < this->m_windows) {
        this->m_ticks.push(tickSPtr);
        this->m_sumLastPriceValue += (tickSPtr->LastPrice() * tickSPtr->Volume());
        this->m_sumSizeValue += tickSPtr->Volume();

        this->m_isOk = false;
        return;
    }

    this->m_ticks.push(tickSPtr);
    this->m_sumLastPriceValue += (tickSPtr->LastPrice() * tickSPtr->Volume());
    this->m_sumSizeValue += tickSPtr->Volume();

    TickSPtr firstTickSPtr = this->m_ticks.front();

    this->m_sumLastPriceValue -= (firstTickSPtr->LastPrice() * firstTickSPtr->Volume());
    this->m_sumSizeValue -= firstTickSPtr->Volume();
    this->m_ticks.pop();

    this->m_isOk = true;
}


double VWAP::Value() {
    return (0 == this->m_sumSizeValue) ? 0 : (this->m_sumLastPriceValue / this->m_sumSizeValue);
}

bool VWAP::Check() {
    return this->m_isOk;
}