VWAP intraday
Volume Weighted Average Price is equal to the sum of the volume of every transaction multiplied by the price of every transaction divided by the total volume for the trading day.
This version is for intraday trading, the VWAP is resetting each day at the first intraday bar. I added the 3 standard deviation of the VWAP as upper and lower bands to expect reversal patterns. VWAP will be displayed only on instruments with volumes. This version is only compatible with Prorealtime 10.3.
The prorealtime v10.2 version of this VWAP indicator is now also available for download below this article, for everyone convenience 🙂
//PRC_VWAP intraday
//07.09.2016
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
d = max(1, intradaybarindex)
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
if(intradaybarindex=0) then
sd = 0
else
sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d
endif
SDup1 = vwap+sd
SDlw1 = vwap-sd
SDup2 = vwap+sd*2
SDlw2 = vwap-sd*2
SDup3 = vwap+sd*3
SDlw3 = vwap-sd*3
if vwap>vwap[1] then
color = 1
else
color = -1
endif
RETURN VWAP coloured by color STYLE(LINE,2) as "VWAP", SDup1 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "upper 1 STD", SDlw1 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "lower 1 STD", SDup2 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "upper 2 STD", SDlw2 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "lower 2 STD", SDup3 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "upper 3 STD", SDlw3 coloured(102,102,102) STYLE(DOTTEDLINE,1) as "lower 3 STD"
Comments
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En effet, cependant, je souhaite faire tourner le screener VWAP en 2 ou 5 ou 10 mn et aussi avoir des conditions en DAILY dans ce screener pour exclure les les Penny Stock (close<1$) et pour m'assurer qu'on est en haussier (PRTbands trend =1). Pourriez-vous m'aider car je n'ai pas trouvé l'instruction VWAP dans le manuel de code et donc j'utilise le code "//PRC_VWAP intraday //07.09.2016" ci-dessus, mais ça ne marche pas. ... Merci par avance.
Hi Nicolas,
I have noticed that the VWAP in Pro real time does not include the first minute volume data in its calculations - hence there is a variance in the data if you compare with other charting software.
Is it possible to create another VWAP indicator using the TOS code please.
Hi Nicolas,
I've been using your 10.2 version of this indicator and find it highly useful. In that version, you've included the ability to plot the previous day's closing VWAP. I've tried to think of a way by which we can pick up the closing VWAP for say, 2 or 3 days ago but can't work out a solution. Wish there was a constant for volume similar to DClose. Can you suggest a work around? Grateful for any help/pointers.
thanks a million times Nicolas!
Hello, just one question, can it be that this indicator does not work on ProRealTime v12? The following implementation works, for other people who might struggle ;) - https://www.prorealcode.com/topic/vwap-band-indicator/