This code snippet demonstrates how to calculate the Volume Weighted Average Price (VWAP) and its standard deviation bands for intraday trading using the ProBuilder language. The VWAP is a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price. It is important for traders to understand the price trend and trading range of the stock.

//PRC_VWAP Bands v11 intraday
//04/07/2022
//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
  p1 = SUMMATION[d](volume*typicalprice)
  p2 = SUMMATION[d](volume)
  p3 = SUMMATION[d](volume*typicalprice*typicalprice)
  ma = p1/p2
  ma2 = p3/p2
  sd = sqrt(abs(ma2 - ma * ma))
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
//yesterday vwap
if intradaybarindex=0 then
  yVWAP = VWAP[1]
endif
RETURN VWAP coloured by color as "VWAP", SDup1 coloured(102,102,102) as "upper 1 STD", SDlw1 coloured(102,102,102) as "lower 1 STD", SDup2 coloured(102,102,102) as "upper 2 STD", SDlw2 coloured(102,102,102) as "lower 2 STD", SDup3 coloured(102,102,102) as "upper 3 STD", SDlw3 coloured(102,102,102) as "lower 3 STD", yVWAP as "yesterday VWAP"

Explanation of the Code:

• Initialization: The variable d is set to the maximum of 1 or the current intraday bar index, ensuring there is no division by zero in calculations.
• VWAP Calculation: VWAP is calculated using the formula where the numerator is the summation of product of volume and typical price over d bars, and the denominator is the summation of volume over d bars.
• Standard Deviation Calculation: If it’s the first bar of the day (intradaybarindex=0), standard deviation (sd) is set to 0. Otherwise, it calculates the mean (ma) and mean squared (ma2) prices weighted by volume, and then computes the standard deviation.
• Standard Deviation Bands: These are calculated by adding or subtracting multiples of the standard deviation from the VWAP to create bands around the VWAP.
• Color Coding: The VWAP line is colored based on whether the current VWAP is greater than the previous bar’s VWAP.
• Yesterday’s VWAP: At the start of each day, the previous day’s VWAP is stored in yVWAP.

This code is a practical example of how to implement VWAP and its standard deviation bands for intraday trading analysis in ProBuilder, providing insights into market trends and volatility.