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Details:

Formula name:	VWAP versus Average Price
Author/Uploader:	Edward Pottasch - empottasch [at] skynet.be
Date/Time added:	2010-03-06 07:20:13
Origin:	bits and pieces here and there
Keywords:
Level:	medium
Flags:	indicator

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Description:

you need intraday data for this code to display, for instance intraday ES data. The chart will show the VWAP and the Average price inside the price chart. I started calculating this to be able to use the result to adjust daily pivot lines (which are calculated using price only). This is test code I thought might be interesting.

Formula:

starttime = 093000; 
endtime = 160000; 

timearray = TimeNum() >= starttime AND TimeNum() <= endtime;
firstBarOfDay = TimeNum() >= starttime ;
firstBarOfDay = firstBarOfDay - Ref(firstBarOfDay,-1);

vv = V * C * timearray;
cc = C * timearray;

BarsInDay = (1 + BarsSince(firstBarOfDay)) * timearray;
CumVolumeInDay = Sum(V,BarsInDay);
VWAP = Sum(vv, BarsInDay ) / CumVolumeInDay;
AVP = Sum(cc, BarsInDay ) / BarsInDay;

SetChartBkColor( ParamColor("ColorBG", ColorRGB( 0, 0, 0 ) ) );
SetChartOptions(0, chartShowDates); 
Plot(C,"\nClose",colorWhite,64);
Plot(IIf(VWAP,VWAP,Null),"\nVWAP",ParamColor("ColorVWAP",ColorRGB(12,255,62)),styleLine);

Plot(IIf(AVP,AVP,Null),"\nAVP",ParamColor("ColorAVP",ColorRGB(120,25,62)),styleLine);
Plot(timearray, "",ParamColor("ColorBK",ColorRGB(40,40,40)),
styleArea|styleOwnScale,0,1);

SetBarsRequired(sbrAll,sbrAll);

Comments:

Edward Pottasch empottasch [at] skynet.be 2010-03-07 04:00:29	adding to this more general VWAP code. Don\\\'t ask me what it can be used for :) If you want it to calculate over the entrire day use e.g. startime = 000500; endtime = 235500; in a 5-min chart. Also code will not plot because when posting here this software adds /// inside the plot statements. These need to me removed manually. starttime = 093000; endtime = 160000; timeWindow = TimeNum() >= starttime AND TimeNum() <= endtime; firstBarOfDay = TimeNum() >= starttime ; firstBarOfDay = firstBarOfDay - Ref(firstBarOfDay,-1); P = (H + L)/2; vv = V * P * timeWindow; BarsInDay = (1 + BarsSince(firstBarOfDay)) * timeWindow; CumVolumeInDay = Sum(V,BarsInDay); VWAP = Sum(vv, BarsInDay ) / CumVolumeInDay; SV = Sum((P - VWAP)^2,BarsInDay) / BarsInDay; // sample variance SD = sqrt(SV); // standard deviation // chart SetChartBkColor( ParamColor(\\\"ColorBG\\\", ColorRGB( 0, 0, 0 ) ) ); SetChartOptions(0, chartShowDates); Plot(C,\\\"\\\\nClose\\\",colorWhite,64); Plot(IIf(VWAP,VWAP,Null),\\\"\\\\nVWAP\\\",ParamColor(\\\"ColorVWAP\\\",ColorRGB(255,20,147)),styleThick); Plot(IIf(VWAP,VWAP + SD,Null), \\\"\\\\n+1SD\\\", ParamColor(\\\"ColorSDP\\\",ColorRGB(238,174,238)),styleDashed); Plot(IIf(VWAP,VWAP - SD,Null), \\\"\\\\n-1SD\\\", ParamColor(\\\"ColorSDM\\\",ColorRGB(210,180,140)),styleDashed); Plot(IIf(VWAP,VWAP + 2SD,Null), \\\"\\\\n+2SD\\\", ParamColor(\\\"ColorSDPP\\\",ColorRGB(153,102,204)),styleDashed); Plot(IIf(VWAP,VWAP - 2SD,Null), \\\"\\\\n-2SD\\\", ParamColor(\\\"ColorSDMM\\\",ColorRGB(238,154,73)),styleDashed); Plot(IIf(VWAP,VWAP + 3SD,Null), \\\"\\\\n+3SD\\\", ParamColor(\\\"ColorSDPPP\\\",ColorRGB(128,0,128)),styleDashed); Plot(IIf(VWAP,VWAP - 3SD,Null), \\\"\\\\n-3SD\\\", ParamColor(\\\"ColorSDMMM\\\",ColorRGB(238,118,33)),styleDashed); Plot(timeWindow, \\\"\\\",ParamColor(\\\"ColorBK\\\",ColorRGB(20,20,20)), styleArea\|styleOwnScale,0,1);
reinsley 2010-05-14 05:16:29	To plot something, as said in the comment : open market hour + 5 min close market hour - min Nota : VWAP means Volume Weighted Average Price
reinsley 2010-05-14 05:17:23	To plot something, as said in the comment : open market hour + 5 min close market hour - 5 min Nota : VWAP means Volume Weighted Average Price
soni67c 2010-07-23 04:02:31	Hello Edward , this is just modification from your VWAP code to ATP and added Y\\\'days Last values.. on current day to identify zones [ like.. R1,R2 , S1,S2 ] //Coded by Edward Pottasch SetBarsRequired(sbrAll,sbrAll); starttime = 090100; endtime = 153100; SetChartBkColor( ParamColor(\\\"ColorBG\\\", ColorRGB( 0, 0, 0 ) ) ); SetChartOptions(0, chartShowDates); Plot(C,\\\"\\\\nClose\\\",colorWhite,64); timearray = TimeNum() >= starttime AND TimeNum() <= endtime; firstBarOfDay = TimeNum() >= starttime ; firstBarOfDay = firstBarOfDay - Ref(firstBarOfDay,-1); cc = C * timearray; BarsInDay = (1 + BarsSince(firstBarOfDay)) * timearray; AVP = Sum(cc, BarsInDay ) / BarsInDay; SV = Sum((Cc - AvP)^2,BarsInDay) / BarsInDay; SD = sqrt(SV); EndSeesion = Day() != Ref(Day(), 1) ; Plot(ValueWhen(EndSeesion,AvP + 3SD), \\\"\\\\n+3R\\\", colorGreen,128+16); Plot(ValueWhen(EndSeesion,AvP + 2SD), \\\"\\\\n+2R\\\", colorSeaGreen,128+16); Plot(ValueWhen(EndSeesion,AvP + SD), \\\"\\\\n+1R\\\", colorPaleGreen,128+16); Plot(ValueWhen(EndSeesion, AvP),\\\"\\\\nY\\\'AVP\\\",7,128+16); Plot(ValueWhen(EndSeesion,AvP - SD), \\\"\\\\n-1S\\\", colorLightOrange,128+16); Plot(ValueWhen(EndSeesion,AvP - 2SD),\\\"\\\\n-2S\\\", colorOrange,128+16); Plot(ValueWhen(EndSeesion,AvP - 3SD),\\\"\\\\n-3S\\\", colorRed,128+16); Plot(IIf(avp,AVP,Null),\\\"\\\\nAVP\\\",ParamColor(\\\"ColorAVP\\\",ColorRGB(120,25,62)),styleLine); Kindly confirm , weather coding is correct or not ! Thank you .
Edward Pottasch empottasch [at] skynet.be 2010-07-23 05:42:27	soni, one way to do it is coded below. If you get too many forward slashes please give your Email and I will send it to you. P = (H + L + C)/3; vv = V * P; BarsInDay = 1 + BarsSince( Day() != Ref(Day(), -1)); CumVolumeInDay = Sum(V,BarsInDay); VWAP = Sum(vv, BarsInDay ) / CumVolumeInDay; SV = Sum((P - VWAP)^2,BarsInDay) / BarsInDay; // sample variance SD = sqrt(SV); // standard deviation // VWAP VWAPp = TimeFrameCompress(VWAP, inDaily, compressLast); VWAPp = Ref(VWAPp,-1); VWAPp = TimeFrameExpand( VWAPp, inDaily, expandFirst ); // + SD VWAPpSD = TimeFrameCompress(VWAP + SD, inDaily, compressLast); VWAPpSD = Ref(VWAPpSD,-1); VWAPpSD = TimeFrameExpand( VWAPpSD, inDaily, expandFirst ); // - SD VWAPmSD = TimeFrameCompress(VWAP - SD, inDaily, compressLast); VWAPmSD = Ref(VWAPmSD,-1); VWAPmSD = TimeFrameExpand( VWAPmSD, inDaily, expandFirst ); // + 2SD VWAPp2SD = TimeFrameCompress(VWAP + 2 * SD, inDaily, compressLast); VWAPp2SD = Ref(VWAPp2SD,-1); VWAPp2SD = TimeFrameExpand( VWAPp2SD, inDaily, expandFirst ); // - 2SD VWAPm2SD = TimeFrameCompress(VWAP - 2 * SD, inDaily, compressLast); VWAPm2SD = Ref(VWAPm2SD,-1); VWAPm2SD = TimeFrameExpand( VWAPm2SD, inDaily, expandFirst ); // + 3SD VWAPp3SD = TimeFrameCompress(VWAP + 3 * SD, inDaily, compressLast); VWAPp3SD = Ref(VWAPp3SD,-1); VWAPp3SD = TimeFrameExpand( VWAPp3SD, inDaily, expandFirst ); // - 3SD VWAPm3SD = TimeFrameCompress(VWAP - 3 * SD, inDaily, compressLast); VWAPm3SD = Ref(VWAPm3SD,-1); VWAPm3SD = TimeFrameExpand( VWAPm3SD, inDaily, expandFirst ); // chart, 255-R, 255-G, 255-B SetChartBkColor( ParamColor(\\\"ColorBG\\\", ColorRGB( 0, 0, 0 ) ) ); SetChartOptions(0, chartShowDates); Plot(C,\\\"\\\\nClose\\\",colorWhite,64); //Plot(IIf(VWAP,VWAP,Null),\\\"\\\\nVWAP\\\",ParamColor(\\\"ColorVWAP\\\",ColorRGB(255,20,147)),styleThick); Plot(IIf(VWAPp,VWAPp,Null),\\\"\\\\nVWAP_y\\\",ParamColor(\\\"ColorVWAP\\\",ColorRGB(255,20,147)),styleThick); //Plot(IIf(VWAP,VWAP + SD,Null), \\\"\\\\n+1SD\\\", ParamColor(\\\"ColorSDP\\\",ColorRGB(238,174,238)),styleDashed); //Plot(IIf(VWAP,VWAP - SD,Null), \\\"\\\\n-1SD\\\", ParamColor(\\\"ColorSDM\\\",ColorRGB(255-238,255-174,255-238)),styleDashed); Plot(IIf(VWAP,VWAPpSD,Null), \\\"\\\\n+1SD_y\\\", ParamColor(\\\"ColorSDP\\\",ColorRGB(238,174,238)),styleLine); Plot(IIf(VWAP,VWAPmSD,Null), \\\"\\\\n-1SD_y\\\", ParamColor(\\\"ColorSDM\\\",ColorRGB(255-238,255-174,255-238)),styleLine); //Plot(IIf(VWAP,VWAP + 2SD,Null), \\\"\\\\n+2SD\\\", ParamColor(\\\"ColorSDPP\\\",ColorRGB(153,102,204)),styleDashed); //Plot(IIf(VWAP,VWAP - 2SD,Null), \\\"\\\\n-2SD\\\", ParamColor(\\\"ColorSDMM\\\",ColorRGB(255-153,255-102,255-204)),styleDashed); Plot(IIf(VWAP,VWAPp2SD,Null), \\\"\\\\n+2SD_y\\\", ParamColor(\\\"ColorSDPP\\\",ColorRGB(153,102,204)),styleLine); Plot(IIf(VWAP,VWAPm2SD,Null), \\\"\\\\n-2SD_y\\\", ParamColor(\\\"ColorSDMM\\\",ColorRGB(255-153,255-102,255-204)),styleLine); //Plot(IIf(VWAP,VWAP + 3SD,Null), \\\"\\\\n+3SD\\\", ParamColor(\\\"ColorSDPPP\\\",ColorRGB(128,0,128)),styleDashed); //Plot(IIf(VWAP,VWAP - 3SD,Null), \\\"\\\\n-3SD\\\", ParamColor(\\\"ColorSDMMM\\\",ColorRGB(255-128,255-0,255-128)),styleDashed); Plot(IIf(VWAP,VWAPp3SD,Null), \\\"\\\\n+3SD_y\\\", ParamColor(\\\"ColorSDPPP\\\",ColorRGB(128,0,128)),styleLine); Plot(IIf(VWAP,VWAPm3SD,Null), \\\"\\\\n-3SD_y\\\", ParamColor(\\\"ColorSDMMM\\\",ColorRGB(255-128,255-0,255-128)),styleLine);
soni67c soni67c[at]yahoo.co.in 2010-07-23 08:41:48	Dear Edward, Wow .. my mail id= soni67c@yahoo.co.in i am really grateful , Thank you