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!

 

[8ix]

Have you made any improvements on the script?

Here is one change I thought of, credit minor adjustments mostly to Grok

input price = ohlc4;
input timeFrame = {default Day, Week, Month, Chart};
input anchorDays = 15;

# 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 period based on the anchorDays
def daysSinceStart = if GetDay() == GetDay()[1] then daysSinceStart[1] + 1 else 1;
def isAnchorStart = daysSinceStart == 1;

# TWAP Calculation with carry over
def cumePrice = if isAnchorStart then cumePrice[1] else CompoundValue(1, cumePrice[1] + price, price);
def cumeBarNumber = if isAnchorStart then cumeBarNumber[1] else CompoundValue(1, cumeBarNumber[1] + 1, 1);
def TWAP_Price = if !IsNaN(cumePrice) then Round(cumePrice / cumeBarNumber, 4) else Double.NaN;
plot TWAP = TWAP_Price;

# VWAP Calculation with carry over
def volumeSum = if isAnchorStart then volumeSum[1] else CompoundValue(1, volumeSum[1] + volume, volume);
def volumeVwapSum = if isAnchorStart then volumeVwapSum[1] else CompoundValue(1, volumeVwapSum[1] + volume * price, volume * price);
def VWAP = if !IsNaN(volumeSum) then volumeVwapSum / volumeSum else Double.NaN;
plot VWAP_Plot = VWAP;

# Difference Calculation (VWAP - TWAP) at the close
def isCloseTime = SecondsTillTime(1600) == 0;
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 isAnchorStart then 0 else totalDifference[1] + lastValidDifference, 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);

 

[CashMoney]

Have you made any improvements on the script?

Here is one change I thought of, credit minor adjustments mostly to Grok

input price = ohlc4;
input timeFrame = {default Day, Week, Month, Chart};
input anchorDays = 15;

# 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 period based on the anchorDays
def daysSinceStart = if GetDay() == GetDay()[1] then daysSinceStart[1] + 1 else 1;
def isAnchorStart = daysSinceStart == 1;

# TWAP Calculation with carry over
def cumePrice = if isAnchorStart then cumePrice[1] else CompoundValue(1, cumePrice[1] + price, price);
def cumeBarNumber = if isAnchorStart then cumeBarNumber[1] else CompoundValue(1, cumeBarNumber[1] + 1, 1);
def TWAP_Price = if !IsNaN(cumePrice) then Round(cumePrice / cumeBarNumber, 4) else Double.NaN;
plot TWAP = TWAP_Price;

# VWAP Calculation with carry over
def volumeSum = if isAnchorStart then volumeSum[1] else CompoundValue(1, volumeSum[1] + volume, volume);
def volumeVwapSum = if isAnchorStart then volumeVwapSum[1] else CompoundValue(1, volumeVwapSum[1] + volume * price, volume * price);
def VWAP = if !IsNaN(volumeSum) then volumeVwapSum / volumeSum else Double.NaN;
plot VWAP_Plot = VWAP;

# Difference Calculation (VWAP - TWAP) at the close
def isCloseTime = SecondsTillTime(1600) == 0;
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 isAnchorStart then 0 else totalDifference[1] + lastValidDifference, 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);

@samer800 might be able to help with this? Thank you

 

[samer800]

@samer800 might be able to help with this? Thank you

no sure if this what you wanted

input price = vwap;
#input timeFrame = {default Day, Week, Month};

def na = Double.NaN;
# Define the period index for the selected timeframe
def yyyyMmDd = GetYYYYMMDD();

# Detect new day
def time = GetTime();
def RTH = time >= RegularTradingStart(yyyyMmDd) and time <= RegularTradingEnd(yyyyMmDd);
def cntTH = if RTH!=RTH[1] then yes else cntTH[1];
def newDay = CompoundValue(1, yyyyMmDd != yyyyMmDd[1], yes);

def isCloseTime = if cntTH then (RTH and !RTH[-1]) else newDay[-1];


# VWAP/TWAP Calculation
def cumPrice;
def cumBarNumber;
def volumeSum;
def volumeVWAPSum;
if (newDay) {
    cumPrice = price;
    cumBarNumber = 1;
    volumeSum = volume;
    volumeVWAPSum = volume * price;
} else {
    cumPrice = CompoundValue(1, cumPrice[1] + price, price);
    cumBarNumber = CompoundValue(1, cumBarNumber[1] + 1, 1);
    volumeSum = CompoundValue(1, volumeSum[1] + volume, volume);
    volumeVWAPSum = CompoundValue(1, volumeVWAPSum[1] + volume * price, volume * price);
}
def TWAP = cumPrice / cumBarNumber;
def VWAP = volumeVWAPSum / volumeSum;

def TWAP_Plot = if TWAP then TWAP else na;
plot VWAP_Plot = if VWAP then VWAP else na;

VWAP_Plot.SetDefaultColor(GetColor(0));

AddCloud(TWAP_Plot, VWAP_Plot, Color.GREEN, Color.RED);

# Difference Calculation (VWAP - TWAP) at the close
def differance = TWAP_Plot - VWAP_Plot;
def dailyDifference = if isCloseTime then differance[1] else dailyDifference[1];
def lastValidDifference = if newDay then close + dailyDifference else lastValidDifference[1];

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

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

#

plot DebugTotalDiff = if lastValidDifference then lastValidDifference else na; #CompoundValue(1, totalDifference,  close(Period = "DAY"));
DebugTotalDiff.SetDefaultColor(Color.CYAN);
DebugTotalDiff.SetPaintingStrategy(PaintingStrategy.DASHES);
DebugTotalDiff.SetLineWeight(2);



#-- END of CODE

@germanburrito @8ix