RTH AVWAP

[woulf1004]

Hi Team,

My attempt to automatically plot a VWAP everyday which is only during regular trading hours failed multiple times and can not figure out what's missing here.
Could someone be kind enough to take a look and adjust it?

input aggregation = AggregationPeriod.DAY;
input anchorTime = 930;

def tradeStartEST = 0930;
def tradeEndEST = 1630;
def inPeriod = if SecondsTillTime(tradeStartEST) <= 0 and SecondsTillTime(tradeEndEST) > 0 then 1 else 0;

plot anchoredVWAP = TotalSum(if aggregation then ((high+low+close)/3)*(volume) else 0)/TotalSum(if aggregation then volume else 0);

anchoredVWAP.setStyle(Curve.Firm);
anchoredVWAP.SetLineWeight(3);
anchoredVWAP.SetDefaultColor(Color.Cyan);

 

[SleepyZ]

Hi Team,

My attempt to automatically plot a VWAP everyday which is only during regular trading hours failed multiple times and can not figure out what's missing here.
Could someone be kind enough to take a look and adjust it?

input aggregation = AggregationPeriod.DAY;
input anchorTime = 930;

def tradeStartEST = 0930;
def tradeEndEST = 1630;
def inPeriod = if SecondsTillTime(tradeStartEST) <= 0 and SecondsTillTime(tradeEndEST) > 0 then 1 else 0;

plot anchoredVWAP = TotalSum(if aggregation then ((high+low+close)/3)*(volume) else 0)/TotalSum(if aggregation then volume else 0);

anchoredVWAP.setStyle(Curve.Firm);
anchoredVWAP.SetLineWeight(3);
anchoredVWAP.SetDefaultColor(Color.Cyan);

This may do what you want and help if you want to adjust your methodology

input begin = 0930;
input end   = 1600;
input numDevDn = -2.0;
input numDevUp = 2.0;
def rth = SecondsFromTime(begin) >= 0 and SecondsTillTime(end) >= 0;
def volumeSum = if rth then CompoundValue(1, volumeSum[1] + volume, volume) else 0;
def volumeVwapSum = if rth then CompoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap) else 0;
def volumeVwap2Sum = if rth then CompoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap)) else 0;
def price = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

plot VWAP = price;
plot UpperBand = price + numDevUp * deviation;
plot LowerBand = price + numDevDn * deviation;

VWAP.SetDefaultColor(GetColor(0));
UpperBand.SetDefaultColor(GetColor(2));
LowerBand.SetDefaultColor(GetColor(4));

 

[woulf1004]

SleepyZ!!!! So glad to see you. I appreciate your great support as usual! This is perfect! Thanks!!!!!!