Time Weighted Average Price (TWAP) Indicator for ThinkorSwim

Ok, upon further research I have learned that there are multiple uses of TWAP just as there are for VWAP... There is the standard TWAP and then some traders also use an anchored TWAP of one day and three days... This is all something I've been wanting to research for a while now and I'm glad I took the time to do so today... The bog standard TWAP is as simple as the following code...

Ruby: 
input length = 21;
plot twap = Average(ohlc4, length);

That's pretty simple, eh...??? It's when you start adding in anchoring that more code is required... I'm going to monitor a trade strategy this coming week that is based on TWAP/VWAP crossover... Didn't you refer to that strategy @germanburrito...??? The strategy I saw uses standard TWAP/VWAP rather than anchored...
 
I have been having success with the 9ema crossing over TWAP followed by VWAP crossing TWAP. both the 9EMA and VWAP has to be trading above TWAP. Backtest it on the 5m timeframe
 
Can someone please build an intraday scanner for when VWAP crosses TWAP on MTF ..with alerts..in a watchlist column within 2 bars...

Code: 
######################################################################
input showlabels = yes;
######################################################################
# VWAP
input timeFrame = {default DAY, WEEK, MONTH};

def cap = getAggregationPeriod();
def errorInAggregation =
    timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or
    timeFrame == timeFrame.WEEK and cap >= AggregationPeriod.MONTH;
assert(!errorInAggregation, "timeFrame should be not less than current chart aggregation period");

def yyyyMmDd = getYyyyMmDd();
def periodIndx;
switch (timeFrame) {
case DAY:
    periodIndx = yyyyMmDd;
case WEEK:
    periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 7);
case MONTH:
    periodIndx = roundDown(yyyyMmDd / 100, 0);
}
def isPeriodRolled = compoundValue(1, periodIndx != periodIndx[1], yes);

def volumeSum;
def volumeVwapSum;
def volumeVwap2Sum;

if (isPeriodRolled) {
    volumeSum = volume;
    volumeVwapSum = volume * vwap;
    volumeVwap2Sum = volume * Sqr(vwap);
} else {
    volumeSum = compoundValue(1, volumeSum[1] + volume, volume);
    volumeVwapSum = compoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap);
    volumeVwap2Sum = compoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}
def price_VWAP = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price_VWAP), 0));

plot VWAP = price_VWAP;
VWAP.setDefaultColor(getColor(0));
AddLabel(Showlabels, " VWAP = " + Round(VWAP, 2), if close >= VWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
#TWAP
input price = FundamentalType.HLC3;
script TimeWAP {

    input price = hlc3;
    input timeFrame = {default Day, Week, Month, Chart};
  

    def yyyyMmDd = GetYYYYMMDD();
    def periodIndx;
    switch (timeFrame) {
    case Day:
        periodIndx = yyyyMmDd;
    case Week:
        periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
    case Month:
        periodIndx = RoundDown(yyyyMmDd / 100, 0);
    case Chart:
        periodIndx = 0;
}

    def newday = CompoundValue(1, periodIndx != periodIndx[1], yes);
    rec cumeprice = if newday then price else price + cumeprice[1];
    rec cumebarnumber = if newday then 1 else 1 + cumebarnumber[1];

    plot TWAP = Round(cumeprice / cumebarnumber, 4);

}

plot TWAP = TimeWAP(Fundamental(price));
TWAP.AssignValueColor(if TWAP > TWAP[1] then Color.LIGHT_GREEN else if TWAP is equal to TWAP[1] then Color.GRAY else Color.RED);
TWAP.SetStyle(Curve.SHORT_DASH);
TWAP.SetLineWeight(2);
TWAP.HideBubble();
AddLabel(Showlabels, " TWAP = " + Round(TWAP, 2), if close >= TWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
Addlabel(showlabels, if VWAP >= TWAP then "Above" else "Below", if VWAP >= TWAP then color.WHITE else color.DARK_GRAY);
######################################################################
 
Last edited:
germanburrito said:
@iZaTrader How to you intend to use it multi time frame, it doesn't really work well multi time frame I notice it works best on the daily no?
Click to expand...
What I have noticed, is the cross intraday tends to trend the 9ema as long as VWAP is above TWAP... 1m, 5m and 15m.. if its not lined up sequentially . I don't take the trade.. I am developing my discipline using it. I have not used it with the standard deviation as of yet, just the midline..
 
iZaTrader said:
What I have noticed, is the cross intraday tends to trend the 9ema as long as VWAP is above TWAP... 1m, 5m and 15m.. if its not lined up sequentially . I don't take the trade.. I am developing my discipline using it. I have not used it with the standard deviation as of yet, just the midline..
Click to expand...
try this this i added a cud between them that turns red or green, i use it everyday to trade.
 
Can someone please build an intraday scanner for when VWAP crosses TWAP ..with an alerts..in a watchlist column within 2 bars...
and create a label when the cross do occur.. here is the code below

sy5wKYl.png


Code: 
######################################################################
input showlabels = yes;
######################################################################
# VWAP
input timeFrame = {default DAY, WEEK, MONTH};

def cap = getAggregationPeriod();
def errorInAggregation =
timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or
timeFrame == timeFrame.WEEK and cap >= AggregationPeriod.MONTH;
assert(!errorInAggregation, "timeFrame should be not less than current chart aggregation period");

def yyyyMmDd = getYyyyMmDd();
def periodIndx;
switch (timeFrame) {
case DAY:
periodIndx = yyyyMmDd;
case WEEK:
periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 7);
case MONTH:
periodIndx = roundDown(yyyyMmDd / 100, 0);
}
def isPeriodRolled = compoundValue(1, periodIndx != periodIndx[1], yes);

def volumeSum;
def volumeVwapSum;
def volumeVwap2Sum;

if (isPeriodRolled) {
volumeSum = volume;
volumeVwapSum = volume * vwap;
volumeVwap2Sum = volume * Sqr(vwap);
} else {
volumeSum = compoundValue(1, volumeSum[1] + volume, volume);
volumeVwapSum = compoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap);
volumeVwap2Sum = compoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}
def price_VWAP = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price_VWAP), 0));

plot VWAP = price_VWAP;
VWAP.setDefaultColor(getColor(0));
AddLabel(Showlabels, " VWAP = " + Round(VWAP, 2), if close >= VWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
#TWAP
input price = FundamentalType.HLC3;
script TimeWAP {

input price = hlc3;
input timeFrame = {default Day, Week, Month, Chart};


def yyyyMmDd = GetYYYYMMDD();
def periodIndx;
switch (timeFrame) {
case Day:
periodIndx = yyyyMmDd;
case Week:
periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
case Month:
periodIndx = RoundDown(yyyyMmDd / 100, 0);
case Chart:
periodIndx = 0;
}

def newday = CompoundValue(1, periodIndx != periodIndx[1], yes);
rec cumeprice = if newday then price else price + cumeprice[1];
rec cumebarnumber = if newday then 1 else 1 + cumebarnumber[1];

plot TWAP = Round(cumeprice / cumebarnumber, 4);

}

plot TWAP = TimeWAP(Fundamental(price));
TWAP.AssignValueColor(if TWAP > TWAP[1] then Color.LIGHT_GREEN else if TWAP is equal to TWAP[1] then Color.GRAY else Color.RED);
TWAP.SetStyle(Curve.SHORT_DASH);
TWAP.SetLineWeight(2);
TWAP.HideBubble();
AddLabel(Showlabels, " TWAP = " + Round(TWAP, 2), if close >= TWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
Addlabel(showlabels, if VWAP >= TWAP then "Above" else "Below", if VWAP >= TWAP then color.WHITE else color.DARK_GRAY);
######################################################################
 
finally figured out way to implement twap to expand like vwap, its awesome

Code: 
#German Burrito twap

declare upper;
input price = ohlc4;
input timeFrame = { Day, Week, Month,default Chart};

def yyyyMmDd = GetYYYYMMDD();
def periodIndx;
switch (timeFrame) {
case Day:
    periodIndx = yyyyMmDd;
case Week:
    periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
case Month:
    periodIndx = RoundDown(yyyyMmDd / 100, 0);
case Chart:
    periodIndx = 0;
}

def newday = CompoundValue(1, periodIndx != periodIndx[1], yes);
def cumeprice = if newday then price else price + cumeprice[1];
def cumebarnumber = if newday then 1 else 1 + cumebarnumber[1];
#def cumebarnumber2 = if newday then

def TWAP_price = Round(cumeprice / cumebarnumber, 4);
plot TWAP = TWAP_price;
def sDev = stdevAll(data = TWAP_price);

#
# TD Ameritrade IP Company, Inc. (c) 2011-2020
#





def RTH = timeframe;
def n = if RTH and !RTH[1]
           then 1
           else if RTH
           then n[1] + 1
           else n[1];
def Avg = (fold i = 0 to n
           with s
           do s + getValue(close, i)) / n;
def VWAP_ = (fold ii = 0 to n
            with ss
            do ss + getValue(twap, ii)) / n;
def StDev = Sqrt((fold iii = 0 to n
                  with sss = 0
                  do sss + Sqr(Avg - getValue(close, iii))) / n);

plot "0" = twap+ stdev*2;
plot "1" = twap- stdev*2;


# End Code
 
Hi Everyone , Appreciate if Any one share the Anchored VWAP TWAP combined strategy indicator with a scan TOS links or code.
 
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