VWAP in a custom Scan filter not returning TRUE

[jrandydavis]

Hello-- I've written a custom scan filter that includes the VWAP value, but something must not be correct, as the results (and corresponding scan Alerts) do not match the VWAP criterion in the filter. Everything else on the scanner seems to return TRUE. For example, on a 5 min Agg + EXT, I have in a custom scan filter-- open[1] > average(open, 7)[10] AND volume[1] > 150000 AND close[1] > VWAP()[1]. The filter and Alerts return results that are TRUE for the open[1] and volume[1] equations, but not for the VWAP equation (i.e. shows results where the close from the previous bar is both higher and lower that the VWAP value at that bar). I'm not sure what I'm doing wrong here, any help or insight would be much appreciated. First post here-- let me know if any add'l info is needed.
JRD

 

[Joshua]

Most likely, it's using the VWAP fundamental, rather than referencing the VWAP study. You can check this easily. If "VWAP" is turning green in the editor, it's wrong.

def x = reference vwap;
.... and close[1] > x[1]

 

[jrandydavis]

Most likely, it's using the VWAP fundamental, rather than referencing the VWAP study. You can check this easily. If "VWAP" is turning green in the editor, it's wrong.

def x = reference vwap;
.... and close[1] > x[1]

Thank you Joshua for the response. As per your reply, I tried--

def x = reference vwap;
close[1] > x[1]

as 2 separate lines of code, both in a custom scan filter, and in a (chart) custom study. TS Editor didn't like the second line in either instance.

Can you tell me more about the VWAP fundamental vs VWAP study data, or where to find more practical (i.e. scan filter-related) info on it? I did read the the ToS Tutorial on VWAP, and did not see mention of the difference. I thought this would be a straightforward data grab, but it's been a headache for a week now with no resolution in sight.
I'm just hoping to find the best/most accurate way to compare the VWAP value to the other $ values on a given chart (open, close, etc.) for use in a scan filter. Even when I make an entry, the Condition Wizard seems to like it format-wise, but clearly I'm not communicating thru code properly to call out the VWAP data/value that I'd like. Thanks for any other insight.
JRD

 

[Joshua]

def x = reference vwap;
plot scan = open[1] > average(open, 7)[10]
AND volume[1] > 150000
AND close[1] > x[1];

 

[Joshua]

I am a bit rusty, my only experience with VWAP is helping people here. I don't use it myself. Anyway, the formula for VWAP has an input known as "typical price." In every other platform that I know of, as well as every website that hosts the VWAP formula, I recall that the typical price is always HLC3.

TOS, on the other hand, has a VWAP fundamental. This is more akin to other basic price points like Open, Volume, High, Tick Count, and so forth. TOS uses this VWAP fundamental inside of its actual VWAP study in place of HLC3.

https://toslc.thinkorswim.com/center/reference/Tech-Indicators/studies-library/V-Z/VWAP

https://toslc.thinkorswim.com/center/reference/thinkScript/Functions/Fundamentals/vwap