Anchored VWAP (Pine Script)

Marketpunk · 2024-01-23T18:50:52+00:00

Hello, Please might it be possible to convert the following Pine Script for an Anchored VWAP indicator to PRT code. Thank you //@version=5 indicator(“Rolling VWAP”, “RVWAP”, true) // Rolling VWAP // v3, 2022.07.24 // This code was written using the recommendations from the Pine Script™ User Manual’s Style Guide: // https://www.tradingview.com/pine-script-docs/en/v5/writing/Style_guide.html import PineCoders/ConditionalAverages/1 as pc // ———————————————————— Constants and Inputs { // ————— Constants int MS_IN_MIN = 60 * 1000 int MS_IN_HOUR = MS_IN_MIN * 60 int MS_IN_DAY = MS_IN_HOUR * 24 string TT_SRC = “The source used to calculate the VWAP. The default is the average of the high, low and close prices.” string TT_WINDOW = “By default, the time period used to calculate the RVWAP automatically adjusts with the chart’s timeframe. Check this to use a fixed-size time period instead, which you define with the following three values.” string TT_MINBARS = “The minimum number of last values to keep in the moving window, even if these values are outside the time period. This avoids situations where a large time gap between two bars would cause the time window to be empty.” string TT_STDEV = “The multiplier for the standard deviation bands offset above and below the RVWAP. Example: 1.0 is 100% of the offset value. \n\nNOTE: A value of 0.0 will hide the bands.” string TT_TABLE = “Displays the time period of the rolling window.” // ————— Inputs float srcInput = input.source(hlc3, “Source”, tooltip = TT_SRC) string GRP2 = ‘═══════════ Time Period ═══════════’ bool fixedTfInput = input.bool(false, “Use a fixed time period”, group = GRP2, tooltip = TT_WINDOW) int daysInput = input.int(1, “Days”, group = GRP2, minval = 0, maxval = 90) * MS_IN_DAY int hoursInput = input.int(0, “Hours”, group = GRP2, minval = 0, maxval = 23) * MS_IN_HOUR int minsInput = input.int(0, “Minutes”, group = GRP2, minval = 0, maxval = 59) * MS_IN_MIN bool showInfoBoxInput = input.bool(true, “Show time period”, group = GRP2) string infoBoxSizeInput = input.string(“small”, “Size ”, inline = “21”, group = GRP2, options = [“tiny”, “small”, “normal”, “large”, “huge”, “auto”]) string infoBoxYPosInput = input.string(“bottom”, “↕”, inline = “21”, group = GRP2, options = [“top”, “middle”, “bottom”]) string infoBoxXPosInput = input.string(“left”, “↔”, inline = “21”, group = GRP2, options = [“left”, “center”, “right”]) color infoBoxColorInput = input.color(color.gray, “”, inline = “21”, group = GRP2) color infoBoxTxtColorInput = input.color(color.white, “T”, inline = “21”, group = GRP2) string GRP3 = ‘═════════ Deviation Bands ═════════’ float stdevMult1 = input.float(0.0, “Bands Multiplier 1”, group = GRP3, inline = “31”, minval = 0.0, step = 0.5, tooltip = TT_STDEV) float stdevMult2 = input.float(0.0, “Bands Multiplier 2”, group = GRP3, inline = “32”, minval = 0.0, step = 0.5, tooltip = TT_STDEV) float stdevMult3 = input.float(0.0, “Bands Multiplier 3”, group = GRP3, inline = “33”, minval = 0.0, step = 0.5, tooltip = TT_STDEV) color stdevColor1 = input.color(color.green, “”, group = GRP3, inline = “31”) color stdevColor2 = input.color(color.yellow, “”, group = GRP3, inline = “32”) color stdevColor3 = input.color(color.red, “”, group = GRP3, inline = “33”) string GRP4 = ‘════════ Minimum Window Size ════════’ int minBarsInput = input.int(10, “Bars”, group = GRP4, tooltip = TT_MINBARS) // } // ———————————————————— Functions { // @function Determines a time period from the chart’s timeframe. // @returns (int) A value of time in milliseconds that is appropriate for the current chart timeframe. To be used in the RVWAP calculation. timeStep() => int tfInMs = timeframe.in_seconds() * 1000 float step = switch tfInMs MS_IN_HOUR tfInMs MS_IN_HOUR * 4 tfInMs MS_IN_DAY * 1 tfInMs MS_IN_DAY * 3 tfInMs MS_IN_DAY * 7 tfInMs MS_IN_DAY * 30.4375 tfInMs MS_IN_DAY * 90 => MS_IN_DAY * 365 int result = int(step) // @function Produces a string corresponding to the input time in days, hours, and minutes. // @param (series int) A time value in milliseconds to be converted to a string variable. // @returns (string) A string variable reflecting the amount of time from the input time. tfString(int timeInMs) => int s = timeInMs / 1000 int m = s / 60 int h = m / 60 int tm = math.floor(m % 60) int th = math.floor(h % 24) int d = math.floor(h / 24) string result = switch d == 30 and th == 10 and tm == 30 => “1M” d == 7 and th == 0 and tm == 0 => “1W” => string dStr = d ? str.tostring(d) + “D ” : “” string hStr = th ? str.tostring(th) + “H ” : “” string mStr = tm ? str.tostring(tm) + “min” : “” dStr + hStr + mStr // } // ———————————————————— Calculations and Plots { // Stop the indicator on charts with no volume. if barstate.islast and ta.cum(nz(volume)) == 0 runtime.error(“No volume is provided by the data vendor.”) // RVWAP + stdev bands int timeInMs = fixedTfInput ? minsInput + hoursInput + daysInput : timeStep() float sumSrcVol = pc.totalForTimeWhen(srcInput * volume, timeInMs, true, minBarsInput) float sumVol = pc.totalForTimeWhen(volume, timeInMs, true, minBarsInput) float sumSrcSrcVol = pc.totalForTimeWhen(volume * math.pow(srcInput, 2), timeInMs, true, minBarsInput) float rollingVWAP = sumSrcVol / sumVol float variance = sumSrcSrcVol / sumVol – math.pow(rollingVWAP, 2) variance := math.max(0, variance) float stDev = math.sqrt(variance) float upperBand1 = rollingVWAP + stDev * stdevMult1 float lowerBand1 = rollingVWAP – stDev * stdevMult1 float upperBand2 = rollingVWAP + stDev * stdevMult2 float lowerBand2 = rollingVWAP – stDev * stdevMult2 float upperBand3 = rollingVWAP + stDev * stdevMult3 float lowerBand3 = rollingVWAP – stDev * stdevMult3 plot(rollingVWAP, “Rolling VWAP”, color.orange) p1 = plot(stdevMult1 != 0 ? upperBand1 : na, “Upper Band 1”, stdevColor1) p2 = plot(stdevMult1 != 0 ? lowerBand1 : na, “Lower Band 1”, stdevColor1) p3 = plot(stdevMult2 != 0 ? upperBand2 : na, “Upper Band 2”, stdevColor2) p4 = plot(stdevMult2 != 0 ? lowerBand2 : na, “Lower Band 2”, stdevColor2) p5 = plot(stdevMult3 != 0 ? upperBand3 : na, “Upper Band 3”, stdevColor3) p6 = plot(stdevMult3 != 0 ? lowerBand3 : na, “Lower Band 3”, stdevColor3) fill(p1, p2, color.new(color.green, 95), “Bands Fill”) fill(p3, p4, color.new(color.green, 95), “Bands Fill”) fill(p5, p6, color.new(color.green, 95), “Bands Fill”) // Display of time period. var table tfDisplay = table.new(infoBoxYPosInput + “_” + infoBoxXPosInput, 1, 1) if showInfoBoxInput and barstate.islastconfirmedhistory table.cell(tfDisplay, 0, 0, tfString(timeInMs), bgcolor = infoBoxColorInput, text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput) // }

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01/23/2024 at 7:50 PM #226798 quote

Marketpunk
Participant

New

Hello,

Please might it be possible to convert the following Pine Script for an Anchored VWAP indicator to PRT code.

Thank you

//@version=5
indicator(“Rolling VWAP”, “RVWAP”, true)

// Rolling VWAP
// v3, 2022.07.24

// This code was written using the recommendations from the Pine Script™ User Manual’s Style Guide:
// https://www.tradingview.com/pine-script-docs/en/v5/writing/Style_guide.html

import PineCoders/ConditionalAverages/1 as pc

// ———————————————————— Constants and Inputs {

// ————— Constants
int MS_IN_MIN = 60 * 1000
int MS_IN_HOUR = MS_IN_MIN * 60
int MS_IN_DAY = MS_IN_HOUR * 24

string TT_SRC = “The source used to calculate the VWAP. The default is the average of the high, low and close prices.”
string TT_WINDOW = “By default, the time period used to calculate the RVWAP automatically adjusts with the chart’s timeframe.
Check this to use a fixed-size time period instead, which you define with the following three values.”
string TT_MINBARS = “The minimum number of last values to keep in the moving window, even if these values are outside the time period.
This avoids situations where a large time gap between two bars would cause the time window to be empty.”
string TT_STDEV = “The multiplier for the standard deviation bands offset above and below the RVWAP. Example: 1.0 is 100% of the offset value.
\n\nNOTE: A value of 0.0 will hide the bands.”
string TT_TABLE = “Displays the time period of the rolling window.”

// ————— Inputs
float srcInput = input.source(hlc3, “Source”, tooltip = TT_SRC)

string GRP2 = ‘═══════════ Time Period ═══════════’
bool fixedTfInput = input.bool(false, “Use a fixed time period”, group = GRP2, tooltip = TT_WINDOW)
int daysInput = input.int(1, “Days”, group = GRP2, minval = 0, maxval = 90) * MS_IN_DAY
int hoursInput = input.int(0, “Hours”, group = GRP2, minval = 0, maxval = 23) * MS_IN_HOUR
int minsInput = input.int(0, “Minutes”, group = GRP2, minval = 0, maxval = 59) * MS_IN_MIN
bool showInfoBoxInput = input.bool(true, “Show time period”, group = GRP2)
string infoBoxSizeInput = input.string(“small”, “Size ”, inline = “21”, group = GRP2, options = [“tiny”, “small”, “normal”, “large”, “huge”, “auto”])
string infoBoxYPosInput = input.string(“bottom”, “↕”, inline = “21”, group = GRP2, options = [“top”, “middle”, “bottom”])
string infoBoxXPosInput = input.string(“left”, “↔”, inline = “21”, group = GRP2, options = [“left”, “center”, “right”])
color infoBoxColorInput = input.color(color.gray, “”, inline = “21”, group = GRP2)
color infoBoxTxtColorInput = input.color(color.white, “T”, inline = “21”, group = GRP2)

string GRP3 = ‘═════════ Deviation Bands ═════════’
float stdevMult1 = input.float(0.0, “Bands Multiplier 1”, group = GRP3, inline = “31”, minval = 0.0, step = 0.5, tooltip = TT_STDEV)
float stdevMult2 = input.float(0.0, “Bands Multiplier 2”, group = GRP3, inline = “32”, minval = 0.0, step = 0.5, tooltip = TT_STDEV)
float stdevMult3 = input.float(0.0, “Bands Multiplier 3”, group = GRP3, inline = “33”, minval = 0.0, step = 0.5, tooltip = TT_STDEV)
color stdevColor1 = input.color(color.green, “”, group = GRP3, inline = “31”)
color stdevColor2 = input.color(color.yellow, “”, group = GRP3, inline = “32”)
color stdevColor3 = input.color(color.red, “”, group = GRP3, inline = “33”)

string GRP4 = ‘════════ Minimum Window Size ════════’
int minBarsInput = input.int(10, “Bars”, group = GRP4, tooltip = TT_MINBARS)
// }

// ———————————————————— Functions {

// @function Determines a time period from the chart’s timeframe.
// @returns (int) A value of time in milliseconds that is appropriate for the current chart timeframe. To be used in the RVWAP calculation.
timeStep() =>
int tfInMs = timeframe.in_seconds() * 1000
float step =
switch
tfInMs <= MS_IN_MIN => MS_IN_HOUR
tfInMs <= MS_IN_MIN * 5 => MS_IN_HOUR * 4
tfInMs <= MS_IN_HOUR => MS_IN_DAY * 1
tfInMs <= MS_IN_HOUR * 4 => MS_IN_DAY * 3
tfInMs <= MS_IN_HOUR * 12 => MS_IN_DAY * 7
tfInMs <= MS_IN_DAY => MS_IN_DAY * 30.4375
tfInMs <= MS_IN_DAY * 7 => MS_IN_DAY * 90
=> MS_IN_DAY * 365
int result = int(step)

// @function Produces a string corresponding to the input time in days, hours, and minutes.
// @param (series int) A time value in milliseconds to be converted to a string variable.
// @returns (string) A string variable reflecting the amount of time from the input time.
tfString(int timeInMs) =>
int s = timeInMs / 1000
int m = s / 60
int h = m / 60
int tm = math.floor(m % 60)
int th = math.floor(h % 24)
int d = math.floor(h / 24)
string result =
switch
d == 30 and th == 10 and tm == 30 => “1M”
d == 7 and th == 0 and tm == 0 => “1W”
=>
string dStr = d ? str.tostring(d) + “D ” : “”
string hStr = th ? str.tostring(th) + “H ” : “”
string mStr = tm ? str.tostring(tm) + “min” : “”
dStr + hStr + mStr
// }

// ———————————————————— Calculations and Plots {

// Stop the indicator on charts with no volume.
if barstate.islast and ta.cum(nz(volume)) == 0
runtime.error(“No volume is provided by the data vendor.”)

// RVWAP + stdev bands
int timeInMs = fixedTfInput ? minsInput + hoursInput + daysInput : timeStep()

float sumSrcVol = pc.totalForTimeWhen(srcInput * volume, timeInMs, true, minBarsInput)
float sumVol = pc.totalForTimeWhen(volume, timeInMs, true, minBarsInput)
float sumSrcSrcVol = pc.totalForTimeWhen(volume * math.pow(srcInput, 2), timeInMs, true, minBarsInput)

float rollingVWAP = sumSrcVol / sumVol

float variance = sumSrcSrcVol / sumVol – math.pow(rollingVWAP, 2)
variance := math.max(0, variance)

float stDev = math.sqrt(variance)

float upperBand1 = rollingVWAP + stDev * stdevMult1
float lowerBand1 = rollingVWAP – stDev * stdevMult1

float upperBand2 = rollingVWAP + stDev * stdevMult2
float lowerBand2 = rollingVWAP – stDev * stdevMult2

float upperBand3 = rollingVWAP + stDev * stdevMult3
float lowerBand3 = rollingVWAP – stDev * stdevMult3

plot(rollingVWAP, “Rolling VWAP”, color.orange)

p1 = plot(stdevMult1 != 0 ? upperBand1 : na, “Upper Band 1”, stdevColor1)
p2 = plot(stdevMult1 != 0 ? lowerBand1 : na, “Lower Band 1”, stdevColor1)

p3 = plot(stdevMult2 != 0 ? upperBand2 : na, “Upper Band 2”, stdevColor2)
p4 = plot(stdevMult2 != 0 ? lowerBand2 : na, “Lower Band 2”, stdevColor2)

p5 = plot(stdevMult3 != 0 ? upperBand3 : na, “Upper Band 3”, stdevColor3)
p6 = plot(stdevMult3 != 0 ? lowerBand3 : na, “Lower Band 3”, stdevColor3)

fill(p1, p2, color.new(color.green, 95), “Bands Fill”)
fill(p3, p4, color.new(color.green, 95), “Bands Fill”)
fill(p5, p6, color.new(color.green, 95), “Bands Fill”)

// Display of time period.
var table tfDisplay = table.new(infoBoxYPosInput + “_” + infoBoxXPosInput, 1, 1)
if showInfoBoxInput and barstate.islastconfirmedhistory
table.cell(tfDisplay, 0, 0, tfString(timeInMs), bgcolor = infoBoxColorInput, text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput)
// }

03/07/2024 at 1:16 PM #229391 quote
Iván González
Moderator

Legend
Here you have: https://www.prorealcode.com/prorealtime-indicators/rolling-vwap/
```
//PRC_Trend Lord
//version = 0
//06.03.24
//Iván González @ www.prorealcode.com
//Sharing ProRealTime knowledge
///inputs
src = customclose
minBarsInput = 10
stdevMult1 = 1
stdevMult2 = 1.5
stdevMult3 = 2.5
showbands = 0

//////BARS TO CALCULATE VWAP/////////
if gettimeframe < 86400 then
bars = minbarsinput
elsif gettimeframe >= 86400 and gettimeframe < 604800 then
bars = MAX(22,minbarsinput)
elsif gettimeframe = 604800 then
bars = MAX(round(90/5),minbarsinput)
else
bars = MAX(round(252/22),minbarsinput)
endif
//////////////////////////////////////

sumSrcVol = summation[bars](src*volume)
sumVol = summation[bars](volume)
sumSrcSrcVol = summation[bars](pow(src,2)*volume)

rollingvwap = sumSrcVol / SumVol

variance = sumSrcSrcVol / SumVol - pow(rollingvwap,2)
variance = max(0,variance)

stDev = sqrt(variance)

if showbands then
upperband1 = rollingVwap + stDev*stdevMult1
lowerband1 = rollingVwap - stDev*stdevMult1

upperband2 = rollingVwap + stDev*stdevMult2
lowerband2 = rollingVwap - stDev*stdevMult2

upperband3 = rollingVwap + stDev*stdevMult3
lowerband3 = rollingVwap - stDev*stdevMult3
else
upperband1 = undefined
lowerband1 = undefined
upperband2 = undefined
lowerband2 = undefined
upperband3 = undefined
lowerband3 = undefined
endif

return rollingvwap as "rollingVwap" coloured("orange"),upperband1 as "upperband1"coloured("red"),lowerband1 as "lowerband1"coloured("red"),upperband2 as "upperband2"coloured("yellow"),lowerband2 as "lowerband2"coloured("yellow"),upperband3 as "upperband3"coloured("green"),lowerband3 as "lowerband3"coloured("green")
```
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