Time Anchored VWAP

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Author

Posts

04/26/2020 at 10:13 AM #128162 quote

snow_onar

Participant

Senior

Hello
What are the settings for an intraday 1 min chart. I would like define 3 anchored vwap:

2 am, 7 am and 9:30 am.

Thanks a lot for your support.

04/27/2020 at 10:37 AM #128382 quote

Nicolas

Keymaster

Legend

I made this specific code to anchor the VWAP on a specific intraday time:

//time anchored VWAP
//SAME VERSION AS THE ORIGINAL VWAP FROM THE PLATFORM
//27.04.2020
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

timestart = 070000

if time=timestart then
d=0
drawtext("➤",barindex,typicalprice,dialog,bold,20)
else
d=d+1
if volume >0 then
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
endif
endif

if vwap>vwap[1] then
color = 1
else
color = -1
endif


RETURN VWAP coloured by color STYLE(LINE,1) as "VWAP"

The start of the VWAP is labelled with an arrow.

time-anchored-vwap.png

08/16/2023 at 12:04 PM #219178 quote

KumoNoJuzza

Participant

New

Hi,

I would like to compute the VWAP with a sliding interval as per the attached pic.

Should I amend the code as follow ?

//time anchored VWAP
//SAME VERSION AS THE ORIGINAL VWAP FROM THE PLATFORM
//27.04.2020
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

timestart = currenttime-010000

if time=timestart then
d=0
drawtext("➤",barindex,typicalprice,dialog,bold,20)
else
d=d+1
if volume >0 then
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
endif
endif

if vwap>vwap[1] then
color = 1
else
color = -1
endif


RETURN VWAP coloured by color STYLE(LINE,1) as "VWAP"