contango.stream.indicators.state.vwap_state

contango.stream.indicators.state.vwap_state

VWAPState

Bases: Enum

The current price location relative to VWAP.

Attributes:

Name	Type	Description
BELOW_LOWER		The price is below the lower band.
BETWEEN_LOWER_AND_MIDDLE		The price is between the lower & VWAP band.
ABOVE_MIDDLE		The price is above the VWAP band.

get_state classmethod

get_state(price: float, snapshot: VWAPSnapshot) -> VWAPState

Returns the zone of the price relative to the VWAP bands.

Parameters:

Name	Type	Description	Default
price	float	The close price for the current bar.	required
snapshot	VWAPSnapshot	The VWAP snapshot for the current bar.	required

Returns:

Name	Type	Description
VWAPState	VWAPState	The price relative to the VWAP snapshot.

Source code in src\contango\stream\indicators\state\vwap_state.py

@classmethod
def get_state(cls, price: float, snapshot: VWAPSnapshot) -> VWAPState:
    """
    Returns the zone of the price relative to the VWAP bands.

    Args:
        price: The close price for the current bar.
        snapshot: The VWAP snapshot for the current bar.

    Returns:
        VWAPState: The price relative to the VWAP snapshot.
    """
    if price < snapshot.lower:
        return VWAPState.BELOW_LOWER
    if price < snapshot.vwap:
        return VWAPState.BETWEEN_LOWER_AND_VWAP
    return VWAPState.ABOVE_VWAP