VWAP library [Sam4Cok] for ThinkOrSwim

samer800

samer800

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Multiple VWAP options can select from. (Traditional, smoothed and preVWAP).

CODE:
CSS: 
#// VWAP library
# Created by Sam3Cok@Samer800     - 03/2023

input VWAP_src = close;#
input VWAP_smoothing = 6;
input timeFrame = {default DAY, WEEK, MONTH};
input VwapType = {default "Traditional VWAP" , "Smoothed VWAP", "Pre Vwap", "Cloud VWAP"};
input showStdvBand_1  = yes;    # "Show Standard Deviation Bands #1"
input stdevMult_1     = 1.0;    # "Bands Multiplier #1"
input showStdvBand_2  = no;     # "Show Standard Deviation Bands #2"
input stdevMult_2     = 2.0;    # "Bands Multiplier #2"
input showStdvBand_3  = no;     # "Show Standard Deviation Bands #3"
input stdevMult_3     = 3.0;    # "Bands Multiplier #3"


def na = Double.NaN;
#--- Color
DefineGlobalColor("green1" , CreateColor(0, 216,08));
DefineGlobalColor("green2" , CreateColor(0, 196,08));
DefineGlobalColor("green3" , CreateColor(0, 177,07));
DefineGlobalColor("green4" , CreateColor(0, 137,05));
DefineGlobalColor("green5" , CreateColor(0, 118,05));
DefineGlobalColor("green6" , CreateColor(0, 98,04));
DefineGlobalColor("green7" , CreateColor(0, 78,03));

DefineGlobalColor("red1" , CreateColor(255,17,0));
DefineGlobalColor("red2" , CreateColor(216,14,0));
DefineGlobalColor("red3" , CreateColor(196,13,0));
DefineGlobalColor("red4" , CreateColor(177,12,0));
DefineGlobalColor("red5" , CreateColor(137,9,0));
DefineGlobalColor("red6" , CreateColor(118,8,0));
DefineGlobalColor("red7" , CreateColor(98,7,0));


def TradVwap = VwapType == VwapType."Traditional VWAP";
def SmooVwap = VwapType == VwapType."Smoothed VWAP";
def PrevVwap = VwapType == VwapType."Pre Vwap";
def AllVwap  = VwapType == VwapType."Cloud VWAP";
def last = TradVwap or SmooVwap or AllVwap or isNaN(close);
def day = GetDay();
def week = GetWeek();
def month =  GetMonth();
def VWAP_TF; def prevClose;
switch (timeFrame) {
case DAY:
    VWAP_TF = day;
    prevClose = close(Period=AggregationPeriod.DAY);
case WEEK:
    VWAP_TF = week;
    prevClose = close(Period=AggregationPeriod.WEEK);
case MONTH:
    VWAP_TF = month;
    prevClose = close(Period=AggregationPeriod.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");

#export f_Vwap(simple string tf, float src, float src_v) =>
script f_Vwap {
    input tf = close;
    input src = close;
    def src_v = Volume;
    def start0 = tf - tf[1];
    def sumSrc0 = src * src_v;
    def sumVol0 = src_v;
    def sumSrc2 = src_v * Sqr(src);
    def sumSrc1 = CompoundValue(1, if start0 then sumSrc0 else sumSrc0 + sumSrc1[1], sumSrc0);
    def sumVol1 = CompoundValue(1, if start0 then sumVol0 else sumVol0 + sumVol1[1], sumVol0);
    def sumVol2 = CompoundValue(1, if start0 then sumSrc2 else sumSrc2 + sumVol2[1], sumSrc2);
    def Vwap = sumSrc1 / sumVol1;
    def deviation = Sqrt(Max(sumVol2 / sumVol1 - Sqr(Vwap), 0));
    plot wap = Vwap;
    plot dev = deviation;
}
def Vwap    = f_Vwap(VWAP_TF, VWAP_src).wap;
def devVwap = f_Vwap(VWAP_TF, VWAP_src).dev;
    
#export f_smoothed_Vwap(simple string tf, float src, float src_v, simple int smoothing) =>
script f_smoothed_Vwap {
    input tf = close;
    input src = close;
    input smoothing = 6;
    def src_v = Volume;
    def start0 = tf - tf[1];
    def sumSrc0 = src * src_v;
    def sumVol0 = src_v;
    def sumSrc2 = src_v * Sqr(src);
    def sumSrc1 = if start0 then sumSrc0 else sumSrc0 + sumSrc1[1];
    def sumVol1 = if start0 then sumVol0 else sumVol0 + sumVol1[1];
    def sumVol2 = CompoundValue(1, if start0 then sumSrc2 else sumSrc2 + sumVol2[1], sumSrc2);
    def Vwap = sumSrc1 / sumVol1;
    def Vwap_smoothed = Average(Vwap, smoothing);
    def deviation = Average(Sqrt(Max(sumVol2 / sumVol1 - Sqr(Vwap), 0)), smoothing);
    plot wap = Vwap_smoothed;
    plot dev = deviation;
}
def Vwap_smoothed = f_smoothed_Vwap(VWAP_TF, VWAP_src, VWAP_smoothing).wap;
def Vwap_smooDev = f_smoothed_Vwap(VWAP_TF, VWAP_src, VWAP_smoothing).dev;

#export f_Pre_Vwap(simple string tf, float Vwap, int occurrence) =>
script f_Pre_Vwap {
    input tf = close;
    input src = close;
    def src_v = Volume;
    def start0 = tf - tf[1];
    def sumSrc0 = src * src_v;
    def sumVol0 = src_v;
    def sumSrc2 = src_v * Sqr(src);
    def sumSrc1 = CompoundValue(1, if start0 then sumSrc0 else sumSrc0 + sumSrc1[1], sumSrc0);
    def sumVol1 = CompoundValue(1, if start0 then sumVol0 else sumVol0 + sumVol1[1], sumVol0);
    def sumVol2 = CompoundValue(1, if start0 then sumSrc2 else sumSrc2 + sumVol2[1], sumSrc2);
    def Vwap = sumSrc1 / sumVol1;
    def deviation = Sqrt(Max(sumVol2 / sumVol1 - Sqr(Vwap), 0));
    def Pre_Vwap = CompoundValue(1, if start0 then Vwap[1] else Pre_Vwap[1], Vwap);
    def Dev_Vwap = CompoundValue(1, if start0 then deviation[1] else Dev_Vwap[1], deviation);
    plot wap = Pre_Vwap;
    plot dev = Dev_Vwap;
}
def Pre_Vwap = f_Pre_Vwap(VWAP_TF, VWAP_src).wap;
def PredevVwap = f_Pre_Vwap(VWAP_TF, VWAP_src).dev;

#-- VWAP Dev Calc
def vwapDevUp1 = Vwap + devVwap * stdevMult_1;
def vwapDevUp2 = Vwap + devVwap * stdevMult_2;
def vwapDevUp3 = Vwap + devVwap * stdevMult_3;
def vwapDevLo1 = Vwap - devVwap * stdevMult_1;
def vwapDevLo2 = Vwap - devVwap * stdevMult_2;
def vwapDevLo3 = Vwap - devVwap * stdevMult_3;

def vwapSmooDevUp1 = Vwap_smoothed + Vwap_smooDev  * stdevMult_1;
def vwapSmooDevUp2 = Vwap_smoothed + Vwap_smooDev  * stdevMult_2;
def vwapSmooDevUp3 = Vwap_smoothed + Vwap_smooDev  * stdevMult_3;
def vwapSmooDevLo1 = Vwap_smoothed - Vwap_smooDev  * stdevMult_1;
def vwapSmooDevLo2 = Vwap_smoothed - Vwap_smooDev  * stdevMult_2;
def vwapSmooDevLo3 = Vwap_smoothed - Vwap_smooDev  * stdevMult_3;

#---- Plot
plot vwapLine = if AllVwap or TradVwap then Vwap else na;
vwapLine.SetHiding(AllVwap);

plot vwapUp1 = if showStdvBand_1 and vwapLine then vwapDevUp1 else na;
vwapUp1.SetHiding(AllVwap);
plot vwapLo1 = if showStdvBand_1 and vwapLine then vwapDevLo1 else na;
vwapLo1.SetHiding(AllVwap);
plot vwapUp2 = if showStdvBand_2 and vwapLine then vwapDevUp2 else na;
vwapUp2.SetHiding(AllVwap);
plot vwapLo2 = if showStdvBand_2 and vwapLine then vwapDevLo2 else na;
vwapLo2.SetHiding(AllVwap);
plot vwapUp3 = if showStdvBand_3 and vwapLine then vwapDevUp3 else na;
vwapUp3.SetHiding(AllVwap);
plot vwapLo3 = if showStdvBand_3 and vwapLine then vwapDevLo3 else na;
vwapLo3.SetHiding(AllVwap);

plot vwapSmoo = if AllVwap or SmooVwap then Vwap_smoothed else na;
vwapSmoo.SetHiding(AllVwap);

plot vwapSmooUp1 = if showStdvBand_1 and vwapSmoo then vwapSmooDevUp1 else na;
vwapSmooUp1.SetHiding(AllVwap);
plot vwapSmooLo1 = if showStdvBand_1 and vwapSmoo then vwapSmooDevLo1 else na;
vwapSmooLo1.SetHiding(AllVwap);
plot vwapSmooUp2 = if showStdvBand_2 and vwapSmoo then vwapSmooDevUp2 else na;
vwapSmooUp2.SetHiding(AllVwap);
plot vwapSmooLo2 = if showStdvBand_2 and vwapSmoo then vwapSmooDevLo2 else na;
vwapSmooLo2.SetHiding(AllVwap);
plot vwapSmooUp3 = if showStdvBand_3 and vwapSmoo then vwapSmooDevUp3 else na;
vwapSmooUp3.SetHiding(AllVwap);
plot vwapSmooLo3 = if showStdvBand_3 and vwapSmoo then vwapSmooDevLo3 else na;
vwapSmooLo3.SetHiding(AllVwap);

def dir = prevClose>Pre_Vwap;

plot Prevwap = if last then na else Pre_Vwap;
Prevwap.SetPaintingStrategy(PaintingStrategy.POINTS);
Prevwap.AssignValueColor(if Vwap> Pre_Vwap then GlobalColor("green1") else GlobalColor("red1"));

plot PrevwapUp1 = if last or !showStdvBand_1 then na else Pre_Vwap + PredevVwap * stdevMult_1;
PrevwapUp1.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
PrevwapUp1.AssignValueColor(if vwapDevUp1>PrevwapUp1 then GlobalColor("green2") else GlobalColor("red2"));
plot PrevwapUp2 = if last or !showStdvBand_2 then na else Pre_Vwap + PredevVwap * stdevMult_2;
PrevwapUp2.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
PrevwapUp2.AssignValueColor(if vwapDevUp2>PrevwapUp2 then GlobalColor("green3") else GlobalColor("red3"));
plot PrevwapUp3 = if last or !showStdvBand_3 then na else Pre_Vwap + PredevVwap * stdevMult_3;
PrevwapUp3.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
PrevwapUp3.AssignValueColor(if vwapDevUp3>PrevwapUp3 then GlobalColor("green4") else GlobalColor("red4"));

plot PrevwapLo1 = if last or !showStdvBand_1 then na else Pre_Vwap - PredevVwap * stdevMult_1;
PrevwapLo1.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
PrevwapLo1.AssignValueColor(if vwapDevLo1>PrevwapLo1 then GlobalColor("green2") else GlobalColor("red2"));
plot PrevwapLo2 = if last or !showStdvBand_2 then na else Pre_Vwap - PredevVwap * stdevMult_2;
PrevwapLo2.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
PrevwapLo2.AssignValueColor(if vwapDevLo2>PrevwapLo2 then GlobalColor("green3") else GlobalColor("red3"));
plot PrevwapLo3 = if last or !showStdvBand_3 then na else Pre_Vwap - PredevVwap * stdevMult_3;
PrevwapLo3.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
PrevwapLo3.AssignValueColor(if vwapDevLo3>PrevwapLo3 then GlobalColor("green4") else GlobalColor("red4"));

vwapLine.AssignValueColor(if Vwap>Vwap_smoothed then GlobalColor("green1") else GlobalColor("red1"));

vwapUp1.AssignValueColor(if vwapUp1>vwapSmooDevUp1 then GlobalColor("green2") else  GlobalColor("red2"));
vwapUp2.AssignValueColor(if vwapUp2>vwapSmooDevUp2 then GlobalColor("green3") else  GlobalColor("red3"));
vwapUp3.AssignValueColor(if vwapUp3>vwapSmooDevUp3 then GlobalColor("green4") else  GlobalColor("red4"));
vwapLo1.AssignValueColor(if vwapLo1>vwapSmooDevLo1 then GlobalColor("green2") else  GlobalColor("red2"));
vwapLo2.AssignValueColor(if vwapLo2>vwapSmooDevLo2 then GlobalColor("green3") else  GlobalColor("red3"));
vwapLo3.AssignValueColor(if vwapLo3>vwapSmooDevLo3 then GlobalColor("green4") else  GlobalColor("red4"));

vwapSmoo.AssignValueColor(if Vwap>Vwap_smoothed then  GlobalColor("green1") else  GlobalColor("red1"));

vwapSmooUp1.AssignValueColor(if vwapDevUp1>vwapSmooUp1 then GlobalColor("green2") else GlobalColor("red2"));
vwapSmooUp2.AssignValueColor(if vwapDevUp2>vwapSmooUp2 then GlobalColor("green3") else GlobalColor("red3"));
vwapSmooUp3.AssignValueColor(if vwapDevUp3>vwapSmooUp3 then GlobalColor("green4") else GlobalColor("red4"));
vwapSmooLo1.AssignValueColor(if vwapDevLo1>vwapSmooLo1 then GlobalColor("green2") else  GlobalColor("red2"));
vwapSmooLo2.AssignValueColor(if vwapDevLo2>vwapSmooLo2 then GlobalColor("green3") else  GlobalColor("red3"));
vwapSmooLo3.AssignValueColor(if vwapDevLo3>vwapSmooLo3 then GlobalColor("green4") else  GlobalColor("red4"));

#AddCloud(Vwap, vwapSmoo, Color.CYAN, Color.MAGENTA);
AddCloud(if AllVwap then Vwap else na, Vwap_smoothed,  GlobalColor("green4"), GlobalColor("red4"), yes);
AddCloud(if AllVwap then vwapUp1 else na, vwapSmooUp1, GlobalColor("green5"), GlobalColor("red5"));
AddCloud(if AllVwap then vwapUp2 else na, vwapSmooUp2, GlobalColor("green6"), GlobalColor("red6"));
AddCloud(if AllVwap then vwapUp3 else na, vwapSmooUp3, GlobalColor("green7"), GlobalColor("red7"));

AddCloud(if AllVwap then vwapLo1 else na, vwapSmooLo1, GlobalColor("green5"), GlobalColor("red5"));
AddCloud(if AllVwap then vwapLo2 else na, vwapSmooLo2, GlobalColor("green6"), GlobalColor("red6"));
AddCloud(if AllVwap then vwapLo3 else na, vwapSmooLo3, GlobalColor("green7"), GlobalColor("red7"));
#AddCloud(vwapLo1, vwapSmooLo1, Color.DARK_GREEN, Color.DARK_RED);

#---- END CODE
 

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khsato said:
Thank you for sharing. It is intresting. Can you explain how to use it?
Click to expand...
this is a custom VWAP library to be used with other tools, either to use it as normal VWAP, smoothed or preVWAP based on the last closed.
 
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