Calculate the session vwap

ioannispapadakis · 2023-10-15T10:45:16+00:00

Hey everyone, I am trying to calculate the US session vwap. I want the calculation to start when the US session starts, i.e. 16:30 in Greece. I am using this code but I am not geting the right result: if OpenTime=163000 then OpenBarIndex=intradaybarindex SumVol=0 SumVol2=0 for i=OpenBarIndex to intradaybarindex do SumVol=volume+SumVol SumVol2=volume*typicalprice+SumVol2 next VWAP2 = SumVol2/SumVol endif return vwap2 Can you help me fix this code please? John

Viewing 4 posts - 1 through 4 (of 4 total)

Author

Posts
10/15/2023 at 11:45 AM #222467 quote
ioannispapadakis
Participant

New
Hey everyone,

I am trying to calculate the US session vwap. I want the calculation to start when the US session starts, i.e. 16:30 in Greece. I am using this code but I am not geting the right result:
```
if OpenTime=163000 then
OpenBarIndex=intradaybarindex
SumVol=0
SumVol2=0
for i=OpenBarIndex to intradaybarindex do
SumVol=volume+SumVol
SumVol2=volume*typicalprice+SumVol2
next
VWAP2 = SumVol2/SumVol
endif

return vwap2
```
Can you help me fix this code please?

John
10/15/2023 at 2:06 PM #222473 quote
robertogozzi
Moderator

Legend
Try this version:
```
if OpenTime=163000 then
   SumVol=0
   SumVol2=0
Endig
SumVol=volume+SumVol
SumVol2=volume*typicalprice+SumVol2
VWAP2 = SumVol2/SumVol
return vwap2
```
ioannispapadakis thanked this post
10/15/2023 at 4:13 PM #222481 quote

ioannispapadakis
Participant

New

Thank you once again! I just realized that the code updates each time a new M15 bar starts. That’s why I don’t need that for loop.

John

robertogozzi thanked this post

10/17/2023 at 4:23 PM #222556 quote

KumoNoJuzza
Participant

New

Hi,

Just for information, Nicolas proposed the indicator there: https://www.prorealcode.com/topic/time-anchored-vwap/

ioannispapadakis and robertogozzi thanked this post
Author

Posts