Bonjour,

j’aimerais savoir s’il est possible de créer un vwap débutant à l’ouverture du marché de Londres et à l’ouverture du marché US.

Je copie le code de l’indicateur “Sessions” de Luxalgo. Dans celui-ci on peut modifier les heures des différentes sessions et faire appaître un vwap propre à chaque session.

C’est ce VWAP que je chercher à réproduire sur mon graphique.

Ci-dessous l’indiquer Sessions :

// This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-nc-sa/4.0/

// © LuxAlgo

//@version=5

indicator(“Sessions [LuxAlgo]”, “LuxAlgo – Sessions”, overlay = true, max_bars_back = 500, max_lines_count = 500, max_boxes_count = 500, max_labels_count = 500)

//——————————————————————————

//Settings

//—————————————————————————–{

//Session A

show_sesa = input(true, ”, inline = ‘sesa’, group = ‘Session A’)

sesa_txt = input(‘New York’, ”, inline = ‘sesa’, group = ‘Session A’)

sesa_ses = input.session(‘1300-2200’, ”, inline = ‘sesa’, group = ‘Session A’)

sesa_css = input.color(#ff5d00, ”, inline = ‘sesa’, group = ‘Session A’)

sesa_range = input(true, ‘Range’, inline = ‘sesa_overlays’, group = ‘Session A’)

sesa_tl = input(false, ‘Trendline’, inline = ‘sesa_overlays’, group = ‘Session A’)

sesa_avg = input(false, ‘Mean’, inline = ‘sesa_overlays’, group = ‘Session A’)

sesa_vwap = input(false, ‘VWAP’, inline = ‘sesa_overlays’, group = ‘Session A’)

sesa_maxmin = input(false, ‘Max/Min’, inline = ‘sesa_overlays’, group = ‘Session A’)

//Session B

show_sesb = input(true, ”, inline = ‘sesb’, group = ‘Session B’)

sesb_txt = input(‘London’, ”, inline = ‘sesb’, group = ‘Session B’)

sesb_ses = input.session(‘0700-1600’, ”, inline = ‘sesb’, group = ‘Session B’)

sesb_css = input.color(#2157f3, ”, inline = ‘sesb’, group = ‘Session B’)

sesb_range = input(true, ‘Range’, inline = ‘sesb_overlays’, group = ‘Session B’)

sesb_tl = input(false, ‘Trendline’, inline = ‘sesb_overlays’, group = ‘Session B’)

sesb_avg = input(false, ‘Mean’, inline = ‘sesb_overlays’, group = ‘Session B’)

sesb_vwap = input(false, ‘VWAP’, inline = ‘sesb_overlays’, group = ‘Session B’)

sesb_maxmin = input(false, ‘Max/Min’, inline = ‘sesb_overlays’, group = ‘Session B’)

//Session C

show_sesc = input(true, ”, inline = ‘sesc’, group = ‘Session C’)

sesc_txt = input(‘Tokyo’, ”, inline = ‘sesc’, group = ‘Session C’)

sesc_ses = input.session(‘0000-0900’, ”, inline = ‘sesc’, group = ‘Session C’)

sesc_css = input.color(#e91e63, ”, inline = ‘sesc’, group = ‘Session C’)

sesc_range = input(true, ‘Range’, inline = ‘sesc_overlays’, group = ‘Session C’)

sesc_tl = input(false, ‘Trendline’, inline = ‘sesc_overlays’, group = ‘Session C’)

sesc_avg = input(false, ‘Mean’, inline = ‘sesc_overlays’, group = ‘Session C’)

sesc_vwap = input(false, ‘VWAP’, inline = ‘sesc_overlays’, group = ‘Session C’)

sesc_maxmin = input(false, ‘Max/Min’, inline = ‘sesc_overlays’, group = ‘Session C’)

//Session D

show_sesd = input(true, ”, inline = ‘sesd’, group = ‘Session D’)

sesd_txt = input(‘Sydney’, ”, inline = ‘sesd’, group = ‘Session D’)

sesd_ses = input.session(‘2100-0600’, ”, inline = ‘sesd’, group = ‘Session D’)

sesd_css = input.color(#ffeb3b, ”, inline = ‘sesd’, group = ‘Session D’)

sesd_range = input(true, ‘Range’, inline = ‘sesd_overlays’, group = ‘Session D’)

sesd_tl = input(false, ‘Trendline’, inline = ‘sesd_overlays’, group = ‘Session D’)

sesd_avg = input(false, ‘Mean’, inline = ‘sesd_overlays’, group = ‘Session D’)

sesd_vwap = input(false, ‘VWAP’, inline = ‘sesd_overlays’, group = ‘Session D’)

sesd_maxmin = input(false, ‘Max/Min’, inline = ‘sesd_overlays’, group = ‘Session D’)

//Timezones

tz_incr = input.int(0, ‘UTC (+/-)’, group = ‘Timezone’)

use_exchange = input(false, ‘Use Exchange Timezone’, group = ‘Timezone’)

//Ranges Options

bg_transp = input.float(90, ‘Range Area Transparency’, group = ‘Ranges Settings’)

show_outline = input(true, ‘Range Outline’, group = ‘Ranges Settings’)

show_txt = input(true, ‘Range Label’, group = ‘Ranges Settings’)

//Dashboard

show_dash = input(false, ‘Show Dashboard’, group   = ‘Dashboard’)

advanced_dash = input(false, ‘Advanced Dashboard’, group = ‘Dashboard’)

dash_loc = input.string(‘Top Right’, ‘Dashboard Location’, options = [‘Top Right’, ‘Bottom Right’, ‘Bottom Left’], group   = ‘Dashboard’)

text_size = input.string(‘Small’, ‘Dashboard Size’, options = [‘Tiny’, ‘Small’, ‘Normal’], group   = ‘Dashboard’)

//Divider

show_ses_div = input(false, ‘Show Sessions Divider’, group = ‘Dividers’)

show_day_div = input(true, ‘Show Daily Divider’, group = ‘Dividers’)

//—————————————————————————–}

//Functions

//—————————————————————————–{

n = bar_index

//Get session average

get_avg(session)=>

    var len = 1

    var float csma = na

    var float sma = na

    if session > session[1]

        len := 1

        csma := close

    if session and session == session[1]

        len += 1    

        csma += close

        sma := csma / len

    sma

//Get trendline coordinates

get_linreg(session)=>

    var len = 1

    var float cwma  = na

    var float csma  = na

    var float csma2 = na

    var float y1 = na

    var float y2 = na

    var float stdev = na

    var float r2    = na

    if session > session[1]

        len   := 1

        cwma  := close

        csma  := close

        csma2 := close * close

    if session and session == session[1]

        len   += 1    

        csma  += close

        csma2 += close * close

        cwma  += close * len

        sma = csma / len

        wma = cwma / (len * (len + 1) / 2)

        cov   = (wma – sma) * (len+1)/2

        stdev := math.sqrt(csma2 / len – sma * sma)

        r2    := cov / (stdev * (math.sqrt(len*len – 1) / (2 * math.sqrt(3))))

        y1 := 4 * sma – 3 * wma

        y2 := 3 * wma – 2 * sma

    [y1 , y2, stdev, r2]

//Session Vwap

get_vwap(session) =>

    var float num = na

    var float den = na

    if session > session[1]

        num := close * volume

        den := volume

    else if session and session == session[1]

        num += close * volume

        den += volume

    else

        num := na

    [num, den]

//Set line

set_line(session, y1, y2, session_css)=>

    var line tl = na

    if session > session[1]

        tl := line.new(n, close, n, close, color = session_css)

    if session and session == session[1]

        line.set_y1(tl, y1)

        line.set_xy2(tl, n, y2)

//Set session range

get_range(session, session_name, session_css)=>

    var t = 0

    var max = high

    var min = low

    var box bx = na

    var label lbl = na

    if session > session[1]

        t := time

        max := high

        min := low

        bx := box.new(n, max, n, min

          , bgcolor = color.new(session_css, bg_transp)

          , border_color = show_outline ? session_css : na

          , border_style = line.style_dotted)

        if show_txt

            lbl := label.new(t, max, session_name

              , xloc = xloc.bar_time

              , textcolor = session_css

              , style = label.style_label_down

              , color = color.new(color.white, 100)

              , size = size.tiny)

    if session and session == session[1]

        max := math.max(high, max)

        min := math.min(low, min)

        box.set_top(bx, max)

        box.set_rightbottom(bx, n, min)

        if show_txt

            label.set_xy(lbl, int(math.avg(t, time)), max)

    [session ? na : max, session ? na : min]

//—————————————————————————–}

//Sessions

//—————————————————————————–{

tf = timeframe.period

var tz = use_exchange ? syminfo.timezone :

  str.format(‘UTC{0}{1}’, tz_incr >= 0 ? ‘+’ : ‘-‘, math.abs(tz_incr))

is_sesa = math.sign(nz(time(tf, sesa_ses, tz)))

is_sesb = math.sign(nz(time(tf, sesb_ses, tz)))

is_sesc = math.sign(nz(time(tf, sesc_ses, tz)))

is_sesd = math.sign(nz(time(tf, sesd_ses, tz)))

//—————————————————————————–}

//Dashboard

//—————————————————————————–{

var table_position = dash_loc == ‘Bottom Left’ ? position.bottom_left

  : dash_loc == ‘Top Right’ ? position.top_right

  : position.bottom_right

var table_size = text_size == ‘Tiny’ ? size.tiny

  : text_size == ‘Small’ ? size.small

  : size.normal

var tb = table.new(table_position, 5, 6

  , bgcolor = #1e222d

  , border_color = #373a46

  , border_width = 1

  , frame_color = #373a46

  , frame_width = 1)

if barstate.isfirst and show_dash

    table.cell(tb, 0, 0, ‘LuxAlgo’, text_color = color.white, text_size = table_size)

    table.merge_cells(tb, 0, 0, 4, 0)

    table.cell(tb, 0, 2, sesa_txt, text_color = sesa_css, text_size = table_size)

    table.cell(tb, 0, 3, sesb_txt, text_color = sesb_css, text_size = table_size)

    table.cell(tb, 0, 4, sesc_txt, text_color = sesc_css, text_size = table_size)

    table.cell(tb, 0, 5, sesd_txt, text_color = sesd_css, text_size = table_size)

    if advanced_dash

        table.cell(tb, 0, 1, ‘Session’, text_color = color.white

          , text_size = table_size)

        table.cell(tb, 1, 1, ‘Status’, text_color = color.white

          , text_size = table_size)

        table.cell(tb, 2, 1, ‘Trend’, text_color = color.white

          , text_size = table_size)

        table.cell(tb, 3, 1, ‘Volume’, text_color = color.white

          , text_size = table_size)

        table.cell(tb, 4, 1, ‘σ’, text_color = color.white

          , text_size = table_size)

if barstate.islast and show_dash

    table.cell(tb, 1, 2, is_sesa ? ‘Active’ : ‘Innactive’

      , bgcolor = is_sesa ? #089981 : #f23645

      , text_color = color.white

      , text_size = table_size)

    table.cell(tb, 1, 3, is_sesb ? ‘Active’ : ‘Innactive’

      , bgcolor = is_sesb ? #089981 : #f23645

      , text_color = color.white

      , text_size = table_size)

    table.cell(tb, 1, 4, is_sesc ? ‘Active’ : ‘Innactive’

      , bgcolor = is_sesc ? #089981 : #f23645

      , text_color = color.white

      , text_size = table_size)

    table.cell(tb, 1, 5, is_sesd ? ‘Active’ : ‘Innactive’

      , bgcolor = is_sesd ? #089981 : #f23645

      , text_color = color.white

      , text_size = table_size)

//—————————————————————————–}

//Overlays

//—————————————————————————–{

var float max_sesa = na

var float min_sesa = na

var float max_sesb = na

var float min_sesb = na

var float max_sesc = na

var float min_sesc = na

var float max_sesd = na

var float min_sesd = na

//Ranges

if show_sesa and sesa_range

    [max, min] = get_range(is_sesa, sesa_txt, sesa_css)

    max_sesa := max

    min_sesa := min

if show_sesb and sesb_range

    [max, min] = get_range(is_sesb, sesb_txt, sesb_css)

    max_sesb := max

    min_sesb := min

if show_sesc and sesc_range

    [max, min] = get_range(is_sesc, sesc_txt, sesc_css)

    max_sesc := max

    min_sesc := min

if show_sesd and sesd_range

    [max, min] = get_range(is_sesd, sesd_txt, sesd_css)

    max_sesd := max

    min_sesd := min

//Trendlines

if show_sesa and (sesa_tl or advanced_dash)

    [y1, y2, stdev, r2] = get_linreg(is_sesa)

    if advanced_dash

        table.cell(tb, 2, 2, str.tostring(r2, ‘#.##’)

          , bgcolor = r2 > 0 ? #089981 : #f23645

          , text_color = color.white

          , text_size = table_size)

        table.cell(tb, 4, 2, str.tostring(stdev, ‘#.####’)

          , text_color = color.white

          , text_size = table_size)

    if sesa_tl

        set_line(is_sesa, y1, y2, sesa_css)

if show_sesb and (sesb_tl or advanced_dash)

    [y1, y2, stdev, r2] = get_linreg(is_sesb)

    if advanced_dash

        table.cell(tb, 2, 3, str.tostring(r2, ‘#.##’)

          , bgcolor = r2 > 0 ? #089981 : #f23645

          , text_color = color.white

          , text_size = table_size)

        table.cell(tb, 4, 3, str.tostring(stdev, ‘#.####’)

          , text_color = color.white

          , text_size = table_size)

    if sesb_tl

        set_line(is_sesb, y1, y2, sesb_css)

if show_sesc and (sesc_tl or advanced_dash)

    [y1, y2, stdev, r2] = get_linreg(is_sesc)

    if advanced_dash

        table.cell(tb, 2, 4, str.tostring(r2, ‘#.##’)

          , bgcolor = r2 > 0 ? #089981 : #f23645

          , text_color = color.white

          , text_size = table_size)

        table.cell(tb, 4, 4, str.tostring(stdev, ‘#.####’)

          , text_color = color.white

          , text_size = table_size)

    if sesc_tl

        set_line(is_sesc, y1, y2, sesc_css)

if show_sesd and (sesd_tl or advanced_dash)

    [y1, y2, stdev, r2] = get_linreg(is_sesd)

    if advanced_dash

        table.cell(tb, 2, 5, str.tostring(r2, ‘#.##’)

          , bgcolor = r2 > 0 ? #089981 : #f23645

          , text_color = color.white

          , text_size = table_size)

        table.cell(tb, 4, 5, str.tostring(stdev, ‘#.####’)

          , text_color = color.white

          , text_size = table_size)

    if sesd_tl

        set_line(is_sesd, y1, y2, sesd_css)

//Mean

if show_sesa and sesa_avg

    avg = get_avg(is_sesa)

    set_line(is_sesa, avg, avg, sesa_css)

if show_sesb and sesb_avg

    avg = get_avg(is_sesb)

    set_line(is_sesb, avg, avg, sesb_css)

if show_sesc and sesc_avg

    avg = get_avg(is_sesc)

    set_line(is_sesc, avg, avg, sesc_css)

if show_sesd and sesd_avg

    avg = get_avg(is_sesd)

    set_line(is_sesd, avg, avg, sesd_css)

//VWAP

var float vwap_a = na

var float vwap_b = na

var float vwap_c = na

var float vwap_d = na

if show_sesa and (sesa_vwap or advanced_dash)

    [num, den] = get_vwap(is_sesa)

    if sesa_vwap

        vwap_a := num / den

    if advanced_dash

        table.cell(tb, 3, 2, str.tostring(den, format.volume)

          , text_color = color.white

          , text_size = table_size)

if show_sesb and (sesb_vwap or advanced_dash)

    [num, den] = get_vwap(is_sesb)

    if sesb_vwap

        vwap_b := num / den

    if advanced_dash

        table.cell(tb, 3, 3, str.tostring(den, format.volume)

          , text_color = color.white

          , text_size = table_size)

if show_sesc and (sesc_vwap or advanced_dash)

    [num, den] = get_vwap(is_sesc)

    if sesc_vwap

        vwap_c := num / den

    if advanced_dash

        table.cell(tb, 3, 4, str.tostring(den, format.volume)

          , text_color = color.white

          , text_size = table_size)

if show_sesd and (sesd_vwap or advanced_dash)

    [num, den] = get_vwap(is_sesd)

    if sesd_vwap

        vwap_d := num / den

    if advanced_dash

        table.cell(tb, 3, 5, str.tostring(den, format.volume)

          , text_color = color.white

          , text_size = table_size)

//—————————————————————————–}

//Plots

//—————————————————————————–{

//Plot max/min

plot(sesa_maxmin ? max_sesa : na, ‘Session A Maximum’, sesa_css, 1, plot.style_linebr)

plot(sesa_maxmin ? min_sesa : na, ‘Session A Minimum’, sesa_css, 1, plot.style_linebr)

plot(sesb_maxmin ? max_sesb : na, ‘Session B Maximum’, sesb_css, 1, plot.style_linebr)

plot(sesb_maxmin ? min_sesb : na, ‘Session B Minimum’, sesb_css, 1, plot.style_linebr)

plot(sesc_maxmin ? max_sesc : na, ‘Session C Maximum’, sesc_css, 1, plot.style_linebr)

plot(sesc_maxmin ? min_sesc : na, ‘Session C Minimum’, sesc_css, 1, plot.style_linebr)

plot(sesd_maxmin ? max_sesd : na, ‘Session D Maximum’, sesd_css, 1, plot.style_linebr)

plot(sesd_maxmin ? min_sesd : na, ‘Session D Minimum’, sesd_css, 1, plot.style_linebr)

//Plot vwaps

plot(vwap_a, ‘Session A VWAP’, sesa_css, 1, plot.style_linebr)

plot(vwap_b, ‘Session B VWAP’, sesb_css, 1, plot.style_linebr)

plot(vwap_c, ‘Session C VWAP’, sesc_css, 1, plot.style_linebr)

plot(vwap_d, ‘Session D VWAP’, sesd_css, 1, plot.style_linebr)

//Plot Divider A

plotshape(is_sesa and show_ses_div and show_sesa, “·”

  , shape.square

  , location.bottom

  , na

  , text = “.”

  , textcolor = sesa_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(is_sesa != is_sesa[1] and show_ses_div and show_sesa, “NYE”

  , shape.labelup

  , location.bottom

  , na

  , text = “❚”

  , textcolor = sesa_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

//Plot Divider B

plotshape(is_sesb and show_ses_div and show_sesb, “·”

  , shape.labelup

  , location.bottom

  , na

  , text = “.”

  , textcolor = sesb_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(is_sesb != is_sesb[1] and show_ses_div and show_sesb, “LDN”

  , shape.labelup

  , location.bottom

  , na

  , text = “❚”

  , textcolor = sesb_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

//Plot Divider C

plotshape(is_sesc and show_ses_div and show_sesc, “·”

  , shape.square

  , location.bottom

  , na

  , text = “.”

  , textcolor = sesc_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(is_sesc != is_sesc[1] and show_ses_div and show_sesc, “TYO”

  , shape.labelup

  , location.bottom

  , na

  , text = “❚”

  , textcolor = sesc_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

//Plot Divider D

plotshape(is_sesd and show_ses_div and show_sesd, “·”

  , shape.labelup

  , location.bottom

  , na

  , text = “.”

  , textcolor = sesd_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(is_sesd != is_sesd[1] and show_ses_div and show_sesd, “SYD”

  , shape.labelup

  , location.bottom

  , na

  , text = “❚”

  , textcolor = sesd_css

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

//—————————————————————————–}

//Plots daily dividers

//—————————————————————————–{

day = dayofweek

if day != day[1] and show_day_div

    line.new(n, close + syminfo.mintick, n, close – syminfo.mintick

      , color  = color.gray

      , extend = extend.both

      , style  = line.style_dashed)

plotshape(day != day[1] and day == 1 and show_day_div, “Sunday”

  , shape.labeldown

  , location.top

  , na

  , text = “Sunday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(day != day[1] and day == 2 and show_day_div, “Monday”

  , shape.labeldown

  , location.top

  , na

  , text = “Monday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(day != day[1] and day == 3 and show_day_div, “Tuesday”

  , shape.labeldown

  , location.top

  , na

  , text = “Tuesday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(day != day[1] and day == 4 and show_day_div, “Wednesay”

  , shape.labeldown

  , location.top

  , na

  , text = “Wednesday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(day != day[1] and day == 5 and show_day_div, “Thursday”

  , shape.labeldown

  , location.top

  , na

  , text = “Thursday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(day != day[1] and day == 6 and show_day_div, “Friday”

  , shape.labeldown

  , location.top

  , na

  , text = “Friday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

plotshape(day != day[1] and day == 7 and show_day_div, “Saturday”

  , shape.labeldown

  , location.top

  , na

  , text = “Saturday”

  , textcolor = color.gray

  , size = size.tiny

  , display = display.all – display.status_line

  , editable = false)

//—————————————————————————–}