Adjust VWAP indicator

• 12/23/2019 at 7:36 PM #115427
  Marcel van Vliet

  Hi team,

  The big advantage with the regular VWAP indicator is that the price generated is the same on every time frame. However, this is not the case with the VWAP indicator of PRT. Is it possible to adjust the code below to show the same price on every time frame, or to write a new code for this indicator?

  Thank you

  PRT VWAP indicator

  //VWAP d = 20 vw = volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) vwap = vwsum/volsum /////////////////////// cc = customclose RETURN vwap AS "VWAP" , cc as " customclose "

  1 2 3 4 5 6 7 8 9 10 11 12 13

  //VWAP d = 20   vw = volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) vwap = vwsum/volsum   ///////////////////////   cc = customclose   RETURN vwap AS "VWAP" , cc as " customclose "

   

  

  Marcel van Vliet

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  12/28/2019 at 12:43 PM #115518
  Marcel van Vliet

  Anybody? …….

  All the guys who helped me multiple times before: #Grahal, #Nicolas, #robertogozzi, #Vonasi

  

  Marcel van Vliet

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  12/28/2019 at 2:42 PM #115521
  GraHal

  I think they are all hungover Marcel !? 🙂

  Might you be able to show screen shots of what you mean?

  I copied and pasted the above indicator and from what I deduct the Price that shows for a respective Timeframe is the mid price for that Timeframe? Is that not what you would expect to get anyway??

  • If you are on 1 min TF then over a 5 min period you would see 5 x mid prices?
  • If you are on 5 min TF then over a 5 min period you would see 1 x mid price?

   

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  GraHal

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  12/28/2019 at 2:53 PM #115522
  GraHal

  Correction to above post:

  • For ‘mid’ price read ‘VWA’ price

  

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  12/28/2019 at 3:12 PM #115523
  GraHal

  Is attached what you mean?

  1st image is 5 min TF and 2nd image is 1 min TF.

  They are different by 0.001 ??

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  GraHal

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  12/28/2019 at 4:40 PM #115529
  Vonasi

  The built in PRT indicator takes tick by tick data and calculates a moving average of price taking into account the volume of each tick. It does this either day by day or on a sliding period of x minutes.

  As we cannot currently use multiple time frames in ProBuilder it is not possible to replicate the same thing.

  

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  12/28/2019 at 4:47 PM #115530
  Vonasi

  I coded something a long time ago that detected what time frame chart we were using (I think Roberto has also coded something similar) so it might be possible to use that code and then set a period of x candles based on what time frame it detects. It probably wouldn’t match the built in VWAP exactly as on faster time frames missing candles will mess up the calculation as ProBuilder will still count missing candles as a candle!

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  12/29/2019 at 12:55 PM #115563
  Marcel van Vliet

  Thanks for your help.

  What I mean with the VWAP is that the price shows the same on every time frame the same as it does with the Tradestation code in the article included.

  When I switch from the D1 to the H1 or H4 timeframe, Tradestation shows (almost) the same price for VWAP.

  

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  12/31/2019 at 11:57 AM #115648
  Marcel van Vliet

  Hi Vonasi,

  Will you please sent me your code, so I can adjust and build further on from that. If you don’t want it displayed in public, you can sent it to me in an email.

  *******@gmail.com  (Moderators edit: email address deleted)

  Thank you.

  

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  12/31/2019 at 2:14 PM #115652
  Vonasi

  You can find the chart time detection code here:

  https://www.prorealcode.com/topic/determine-the-charts-time-frame-in-a-program/#post-105538

  It is not advised to post your email address in the forums – I will delete it from your post.

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