Twap-Vwap Difference

[germanburrito]

Hello! I haven’t been here in a while, but here’s the idea:

I have two indicators, TWAP (Time-Weighted Average Price) and VWAP (Volume-Weighted Average Price). I’m trying to create a cumulative indicator to track whether VWAP is too far away from TWAP over time.

• TWAP calculates the price across time.
• VWAP calculates the price with volume considered across time.

What I want to do is create an indicator that will add or subtract the difference between TWAP and VWAP at the end of each day. This will help me determine if VWAP is too high or too far from the time-based TWAP, which would signal market imbalance. By doing so, I can better understand if there’s too much deviation in the price relative to volume.

here is the starting code

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

# Define the period index for the selected timeframe
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;
}

# Detect new day
def newDay = CompoundValue(1, periodIndx != periodIndx[1], yes);
def isCloseTime = SecondsTillTime(1600) == 0;

# TWAP Calculation
def cumePrice = if newDay then price else price + cumePrice[1];
def cumeBarNumber = if newDay then 1 else 1 + cumeBarNumber[1];
def TWAP_Price = Round(cumePrice / cumeBarNumber, 4);
plot TWAP = TWAP_Price;

# VWAP Calculation
def isPeriodRolled = CompoundValue(1, periodIndx != periodIndx[1], yes);
def volumeSum;
def volumeVWAPSum;

if (isPeriodRolled) {
    volumeSum = volume;
    volumeVWAPSum = volume * vwap;
} else {
    volumeSum = CompoundValue(1, volumeSum[1] + volume, volume);
    volumeVWAPSum = CompoundValue(1, volumeVWAPSum[1] + volume * vwap, volume * vwap);
}
def VWAP = volumeVWAPSum / volumeSum;
plot VWAP_Plot = VWAP;

# Difference Calculation (VWAP - TWAP) at the close
def dailyDifference = if isCloseTime then VWAP - TWAP else Double.NaN;
def lastValidDifference = if !IsNaN(dailyDifference) then dailyDifference else lastValidDifference[1];

# Accumulated Total Difference
def totalDifference = CompoundValue(1, if newDay then totalDifference[1] + lastValidDifference else totalDifference[1], 0);

# Debugging Labels
AddLabel(yes, "Daily Difference (VWAP - TWAP): " + AsText(lastValidDifference), if lastValidDifference >= 0 then Color.GREEN else Color.RED);
AddLabel(yes, "Accumulated Total: " + AsText(totalDifference), if totalDifference >= 0 then Color.GREEN else Color.RED);

# Debugging Plots (Temporary for Verification)
plot DebugDailyDiff = if !IsNaN(dailyDifference) then dailyDifference else Double.NaN;
DebugDailyDiff.SetDefaultColor(Color.MAGENTA);
DebugDailyDiff.SetLineWeight(2);

plot DebugTotalDiff = totalDifference;
DebugTotalDiff.SetDefaultColor(Color.YELLOW);
DebugTotalDiff.SetLineWeight(2);

# Styling
VWAP_Plot.SetDefaultColor(Color.BLUE);
TWAP.SetDefaultColor(Color.ORANGE);

AddCloud(VWAP, TWAP, Color.GREEN, Color.RED);
VWAP_Plot.SetLineWeight(2);
TWAP.SetLineWeight(2);

 

[germanburrito]

its not working basically. its not calculating the difference at 4pm closing correctly!