VWAP - Volume-Weighted Average Price in JavaScript

JavaScript

/**
 * Session VWAP.
 *
 * Running cumulative (typicalPrice * volume) / cumulative volume,
 * accumulated from the first bar. Typical price = (high + low + close) / 3.
 *
 * Bars with a missing high/low/close or zero/falsy volume do not advance
 * the accumulator; they carry forward the prior VWAP (or null until any
 * volume has accumulated).
 *
 * @param {Array<{high:number,low:number,close:number,volume:number}>} candles
 * @returns {Array<number|null>} VWAP per bar (null before any volume accumulates)
 */
export function vwap(candles) {
  const len = candles.length;
  const result = new Array(len).fill(null);
  if (!len) return result;

  let cumTPV = 0; // cumulative typical-price * volume
  let cumVol = 0; // cumulative volume

  for (let i = 0; i < len; i++) {
    const { high, low, close, volume } = candles[i];
    // Skip incomplete bars: carry forward the running VWAP.
    if (high == null || low == null || close == null || !volume) {
      result[i] = cumVol > 0 ? cumTPV / cumVol : null;
      continue;
    }
    const tp = (high + low + close) / 3; // typical price
    cumTPV += tp * volume;
    cumVol += volume;
    result[i] = cumVol > 0 ? cumTPV / cumVol : null;
  }
  return result;
}