Volume Weighted Average Price is equal to the sum of the volume of every transaction multiplied by the price of every transaction divided by the total volume for the trading day.

This version is for intraday trading, the VWAP is resetting each day at the first intraday bar. I added the 3 standard deviation of the VWAP as upper and lower bands to expect reversal patterns. VWAP will be displayed only on instruments with volumes. This version is only compatible with Prorealtime 10.3.

The prorealtime v10.2 version of this VWAP indicator is now also available for download below this article, for everyone convenience 🙂

//PRC_VWAP intraday
//07.09.2016
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

d = max(1, intradaybarindex)

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
if(intradaybarindex=0) then
 sd = 0
else
 sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d
endif

SDup1 = vwap+sd
SDlw1 = vwap-sd
SDup2 = vwap+sd*2
SDlw2 = vwap-sd*2
SDup3 = vwap+sd*3
SDlw3 = vwap-sd*3

if vwap>vwap[1] then
 color = 1
else
 color = -1
endif

RETURN VWAP coloured by color STYLE(LINE,2) as "VWAP", SDup1 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "upper 1 STD", SDlw1 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "lower 1 STD", SDup2 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "upper 2 STD", SDlw2 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "lower 2 STD", SDup3 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "upper 3 STD", SDlw3 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "lower 3 STD"