//@version=4
study("TWAP Trend", "TWAP", true)
smoothing = input(14)
resolution = input("0", "Timeframe") //240 D
src = input(ohlc4)
res = resolution != "0" ? resolution : timeframe.period
weight = barssince(change(security(syminfo.tickerid, res, time, lookahead=barmerge.lookahead_on)))
price = 0.
price:= weight == 0 ? src : src + nz(price[1])
twap = price / (weight + 1)
ma = smoothing < 2 ? twap : sma(twap, smoothing)
bullish = iff(smoothing < 2, src >= ma, src > ma)
disposition = bullish ? color.lime : color.red
basis = plot(src, "OHLC4", disposition, linewidth=1, transp=100)
work = plot(ma, "TWAP", disposition, linewidth=2, transp=20)
fill(basis, work, disposition, transp=65)

showcross = input(false, title="Show Buy/Sell")
crossup = ma[1] < src[1] and ma > src
crossdn = ma[1] > src[1] and ma < src
plotshape(showcross and crossup and not crossup[1] ? src : na, location=location.absolute, style=shape.labeldown, color=color.red, size=size.tiny, text="Sell", textcolor=#ffffff, transp=0, offset=-1)
plotshape(showcross and crossdn and not crossdn[1] ? src : na, location=location.absolute, style=shape.labelup, color=color.lime, size=size.tiny, text="Buy", textcolor=#ffffff, transp=0, offset=-1)

In finance, time-weighted average price (TWAP) is the average price of a security over a specified time. Below are some contrasting differences between TWAP and VWAP:-

1. TWAP is weighted based on time, VWAP is weighted based on time and volume.
2. Small volume trades do not impact TWAP but it does impact VWAP
3. TWAP calculation is fairly simple while VWAP calculation is complex
4. VWAP trade will buy or sell 40% of a trade in the first half of the day and then the other 60% in the second half of the day. A TWAP trade would most likely execute an even 50/50 volume in the first and second half of the day.