What is the most accurate way to calculate ThinkorSwim's VWAP?

[crackedtrading]

I have 1 minute data from polygon API.
When I calculate vwap in excel, it will typically be off from ThinkorSwim's vwap.
Is there anyway to calculate vwap to make it close to ThinkorSwim's vwap?

 

[MerryDay]

I have 1 minute data from polygon API.
When I calculate vwap in excel, it will typically be off from ThinkorSwim's vwap.
Is there anyway to calculate vwap to make it close to ThinkorSwim's vwap?

#
# TD Ameritrade IP Company, Inc. (c) 2011-2022
#

input numDevDn = -2.0;
input numDevUp = 2.0;
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 = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

plot VWAP = price;
plot UpperBand = price + numDevUp * deviation;
plot LowerBand = price + numDevDn * deviation;

VWAP.setDefaultColor(getColor(0));
UpperBand.setDefaultColor(getColor(2));
LowerBand.setDefaultColor(getColor(4));

 

[crackedtrading]

#
# TD Ameritrade IP Company, Inc. (c) 2011-2022
#

input numDevDn = -2.0;
input numDevUp = 2.0;
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 = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

plot VWAP = price;
plot UpperBand = price + numDevUp * deviation;
plot LowerBand = price + numDevDn * deviation;

VWAP.setDefaultColor(getColor(0));
UpperBand.setDefaultColor(getColor(2));
LowerBand.setDefaultColor(getColor(4));

Thanks, but here's the problem with that:

WIthin the calculation to find vwap, it uses a value called "vwap"

 

[MerryDay]

Thanks, but here's the problem with that:

WIthin the calculation to find vwap, it uses a value called "vwap"

 

[crackedtrading]

It's a long shot, but I then have to ask this:
Is there any way to get tick-by-tick or trade-by-trade data?

(price*vol)/Vol on 1-minute data is a solution I've already explored, but it will only take you so far. The more price deviates from vwap, the less reliable the vwap calculation is, as I've seen.

My only guess is that ThinkorSwim is calculating every single trade that comes through.

The popular way to calculate price in the vwap formula is to either do "(high+low+close)/3" or to simple use the close.

But if most trades occurred on one side of the candle, then you can see how that calculation can sometimes be inaccurate.

So would anyone know how to get "per trade" data?

 

[speedydooo]

Thanks, but here's the problem with that:

WIthin the calculation to find vwap, it uses a value called "vwap"

Has anyone found how vwap price is calculated?

This line...

volumeVwapSum = volume * vwap;

 

[Joshua]

https://usethinkscript.com/threads/...unction-in-the-fundamentals.12157/post-106531