Sell or buy at vwap?

Bankman · 2020-03-14T13:04:20+00:00

Hi, I’m new to ProRealTime and i hope my problem is easy to solve for some of you. I wonder if its possible to ad a sell condition to my long position when price crosses the daily vwap? Its easy to add the condition for MA for example, but i can’t get it to work with vwap, even though its possible to add the condition with an alarm.. Any help is greatly appreciated!

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03/14/2020 at 2:04 PM #122118 quote

Bankman
Participant

New

Hi,

I’m new to ProRealTime and i hope my problem is easy to solve for some of you.

I wonder if its possible to ad a sell condition to my long position when price crosses the daily vwap?

Its easy to add the condition for MA for example, but i can’t get it to work with vwap, even though its possible to add the condition with an alarm..

Any help is greatly appreciated!

03/14/2020 at 2:13 PM #122119 quote

GraHal
Participant

Legend

You talking manual trade or auto trade?

If auto trade then be loads easier all round if you post your code?

03/14/2020 at 2:34 PM #122120 quote
Bankman
Participant

New
Okey,
```
// conditions to exit long positions
indicatorl = Average[50](close)
c2 = (close CROSSES OVER indicatorl)

IF c2 THEN
SELL AT MARKET
ENDIF
```
so this is how it looks for MA50. I basically want the same thing, but with vwap daily. I tried to change it to vwap but it didn’t work.
03/14/2020 at 2:46 PM #122121 quote
fifi743
Participant

Master
```
moy = (high+low+close)/3
W = (moy*Volume)/Volume
return w
```
The vwap formula is just that.

GraHal thanked this post
03/14/2020 at 3:02 PM #122122 quote

GraHal
Participant

Legend

Bankman … remember there is no volume on Fx.

There is volume on Indexes and Shares.

03/14/2020 at 11:24 PM #122152 quote

Vonasi
Moderator

Master

Also bare in mind that VWAP resets at the start of a day and is very volatile until there is a decent sized data sample to calculate the average on so if you trade early in the day expect any VWAP based exit to be easily hit.

03/16/2020 at 11:07 AM #122230 quote
Nicolas
Keymaster

Legend
VWAP formula is:
```
d = max(1, intradaybarindex)
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
```
(reset on each new day).
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