Coding formula for VWAP – share price

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03/23/2019 at 1:27 AM #94455 quote
Pippa Carron
Participant

New
I am trying to create an indicator that will give me the difference between the current share price and VWAP as a percentage. I’m using the code shown below, but it has a syntax error in line 2 and I don’t know how to fix it. I can’t get ProBuilder to give me the correct code for VWAP as it doesn’t appear in the indicator list. Any suggestions gratefully received. Thanks
```
SP = Close[0]
VWAP = VWAP[0]
Difference = ((SP-VWAP)/SP)*100

Return Difference
```
Someone elsewhere has suggested the following code for VWAP but it comes up with a syntax error also.
```
VWAP = Sum (Close[0] x Volume[0]) / Sum(Volume[0])
```
Sorry, the instructions say to use the <> “insert PRT code” button but I can’t see where that is.

PRTcode.png
03/23/2019 at 8:01 AM #94467 quote

Vonasi
Moderator

Master

[attachment file=94468]

I tidied up your post for you. 🙂

Screenshot_1-2.png

03/23/2019 at 8:07 AM #94470 quote

Vonasi
Moderator

Master

Type VWAP in the search box (found top right by hovering over your profile picture) and several VWAP indicators are already in the library. You can use the VWAP calculations found in these to easily create your indicator.

Sum and VWAP are not code words used in PRT which is why you get the error.

03/23/2019 at 8:33 AM #94474 quote
Vonasi
Moderator

Master
You can try this. Not tested:
```
SP = Close
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
Difference = ((SP-VWAP)/SP)*100
 
Return Difference
```
03/23/2019 at 9:05 AM #94475 quote
Pippa Carron
Participant

New
Dear Vonasi,

Thank you so much for your quick reply. I realise in looking at it that I really only need an indicator which gives share price minus VWAP. However, when I tried this it didn’t work. I used the code:
```
SP = Close
VWAP = SUMMATION[1](volume*typicalprice)/SUMMATION[1](volume)
Difference = SP-VWAP
Return Difference
```
codevWAP.png
03/23/2019 at 9:30 AM #94477 quote

Pippa Carron
Participant

New

Sorry, sorry, it is % difference between share price and VWAP that I need. But the code still seems to be wrong. See my image.

Screen-Shot-2019-03-23-at-7.28.51-pm.png

03/23/2019 at 9:34 AM #94480 quote

Vonasi
Moderator

Master

I cut and pasted the VWAP code from an indicator and I notice now that it is showing VWAP for the close of the previous bar.

The VWAP calculation is on the previous bar but your on price VWAP indicator is the daily VWAP on a 5 minute chart hence the difference.

I tidied up your post again. Please see my previous post with the image of where the ‘Insert PRT Code’ button is and try to remember to use it. 🙂

03/23/2019 at 9:42 AM #94482 quote
Vonasi
Moderator

Master
Try this:
```
d = max(1, intradaybarindex)
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
difference = close - vwap

return difference
```
It starts measuring VWAP from the first candle of the day. If you just want a fixed number of bars for the calculation then try this:
```
d = 60 //set to whatever look back period in bars that you want.

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
difference = close - vwap

return difference
```
03/23/2019 at 9:57 AM #94483 quote
Vonasi
Moderator

Master
I just found a minor bug due to the lack of volume history which means that when switching time frames the indicator does not work.

Here is a fix:
```
d = 60
//d = max(1, intradaybarindex)

if volume > 0 then
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
difference = close - vwap
endif

return 0,difference
```
03/24/2019 at 9:20 AM #94531 quote
Pippa Carron
Participant

New
Hi Vonasi,

I’ve got your code working, so thanks very much. This is what I’ve ended up using:
```
d = max(1, intradaybarindex)
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
difference = ((close - vwap)/close)*100

return difference
```
One other question, is there any way that I can reduce the number of decimal places on the index readouts from 5 to 2 on the charts? (e.g. 0.25, rahter than 0.25467) See image.

With thanks, Pippa

Code3.png
03/24/2019 at 10:24 PM #94570 quote
Vonasi
Moderator

Master
Try this – not tested – it might only round it to two decimal places and not change the displayed number of digits:
```
d = max(1, intradaybarindex)
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
difference = (round(((close - vwap)/close)*100)*100)/100
 
return difference
```
03/25/2019 at 10:16 AM #94598 quote

Nicolas
Keymaster

Master

Seems similar to measure the normalized distance from the VWAP like this indicator of the library: Z-Score distance from VWAP

03/27/2019 at 8:27 AM #94758 quote

Pippa Carron
Participant

New

Thanks, no this is quite different from a Z-score concept. It is the difference between the trading price at any given time, and the VWAP number, expressed as a percent. Z-score is related to standard deviations. A completely different concept to VWAP. But thanks.
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