Hello,
Please might it be possible to convert the following Pine Script for an Anchored VWAP indicator to PRT code.
Thank you
//@version=5
indicator(“Rolling VWAP”, “RVWAP”, true)
// Rolling VWAP
// v3, 2022.07.24
// This code was written using the recommendations from the Pine Script™ User Manual’s Style Guide:
// https://www.tradingview.com/pine-script-docs/en/v5/writing/Style_guide.html
import PineCoders/ConditionalAverages/1 as pc
// ———————————————————— Constants and Inputs {
// ————— Constants
int MS_IN_MIN = 60 * 1000
int MS_IN_HOUR = MS_IN_MIN * 60
int MS_IN_DAY = MS_IN_HOUR * 24
string TT_SRC = “The source used to calculate the VWAP. The default is the average of the high, low and close prices.”
string TT_WINDOW = “By default, the time period used to calculate the RVWAP automatically adjusts with the chart’s timeframe.
Check this to use a fixed-size time period instead, which you define with the following three values.”
string TT_MINBARS = “The minimum number of last values to keep in the moving window, even if these values are outside the time period.
This avoids situations where a large time gap between two bars would cause the time window to be empty.”
string TT_STDEV = “The multiplier for the standard deviation bands offset above and below the RVWAP. Example: 1.0 is 100% of the offset value.
\n\nNOTE: A value of 0.0 will hide the bands.”
string TT_TABLE = “Displays the time period of the rolling window.”
// ————— Inputs
float srcInput = input.source(hlc3, “Source”, tooltip = TT_SRC)
string GRP2 = ‘═══════════ Time Period ═══════════’
bool fixedTfInput = input.bool(false, “Use a fixed time period”, group = GRP2, tooltip = TT_WINDOW)
int daysInput = input.int(1, “Days”, group = GRP2, minval = 0, maxval = 90) * MS_IN_DAY
int hoursInput = input.int(0, “Hours”, group = GRP2, minval = 0, maxval = 23) * MS_IN_HOUR
int minsInput = input.int(0, “Minutes”, group = GRP2, minval = 0, maxval = 59) * MS_IN_MIN
bool showInfoBoxInput = input.bool(true, “Show time period”, group = GRP2)
string infoBoxSizeInput = input.string(“small”, “Size ”, inline = “21”, group = GRP2, options = [“tiny”, “small”, “normal”, “large”, “huge”, “auto”])
string infoBoxYPosInput = input.string(“bottom”, “↕”, inline = “21”, group = GRP2, options = [“top”, “middle”, “bottom”])
string infoBoxXPosInput = input.string(“left”, “↔”, inline = “21”, group = GRP2, options = [“left”, “center”, “right”])
color infoBoxColorInput = input.color(color.gray, “”, inline = “21”, group = GRP2)
color infoBoxTxtColorInput = input.color(color.white, “T”, inline = “21”, group = GRP2)
string GRP3 = ‘═════════ Deviation Bands ═════════’
float stdevMult1 = input.float(0.0, “Bands Multiplier 1”, group = GRP3, inline = “31”, minval = 0.0, step = 0.5, tooltip = TT_STDEV)
float stdevMult2 = input.float(0.0, “Bands Multiplier 2”, group = GRP3, inline = “32”, minval = 0.0, step = 0.5, tooltip = TT_STDEV)
float stdevMult3 = input.float(0.0, “Bands Multiplier 3”, group = GRP3, inline = “33”, minval = 0.0, step = 0.5, tooltip = TT_STDEV)
color stdevColor1 = input.color(color.green, “”, group = GRP3, inline = “31”)
color stdevColor2 = input.color(color.yellow, “”, group = GRP3, inline = “32”)
color stdevColor3 = input.color(color.red, “”, group = GRP3, inline = “33”)
string GRP4 = ‘════════ Minimum Window Size ════════’
int minBarsInput = input.int(10, “Bars”, group = GRP4, tooltip = TT_MINBARS)
// }
// ———————————————————— Functions {
// @function Determines a time period from the chart’s timeframe.
// @returns (int) A value of time in milliseconds that is appropriate for the current chart timeframe. To be used in the RVWAP calculation.
timeStep() =>
int tfInMs = timeframe.in_seconds() * 1000
float step =
switch
tfInMs <= MS_IN_MIN => MS_IN_HOUR
tfInMs <= MS_IN_MIN * 5 => MS_IN_HOUR * 4
tfInMs <= MS_IN_HOUR => MS_IN_DAY * 1
tfInMs <= MS_IN_HOUR * 4 => MS_IN_DAY * 3
tfInMs <= MS_IN_HOUR * 12 => MS_IN_DAY * 7
tfInMs <= MS_IN_DAY => MS_IN_DAY * 30.4375
tfInMs <= MS_IN_DAY * 7 => MS_IN_DAY * 90
=> MS_IN_DAY * 365
int result = int(step)
// @function Produces a string corresponding to the input time in days, hours, and minutes.
// @param (series int) A time value in milliseconds to be converted to a string variable.
// @returns (string) A string variable reflecting the amount of time from the input time.
tfString(int timeInMs) =>
int s = timeInMs / 1000
int m = s / 60
int h = m / 60
int tm = math.floor(m % 60)
int th = math.floor(h % 24)
int d = math.floor(h / 24)
string result =
switch
d == 30 and th == 10 and tm == 30 => “1M”
d == 7 and th == 0 and tm == 0 => “1W”
=>
string dStr = d ? str.tostring(d) + “D ” : “”
string hStr = th ? str.tostring(th) + “H ” : “”
string mStr = tm ? str.tostring(tm) + “min” : “”
dStr + hStr + mStr
// }
// ———————————————————— Calculations and Plots {
// Stop the indicator on charts with no volume.
if barstate.islast and ta.cum(nz(volume)) == 0
runtime.error(“No volume is provided by the data vendor.”)
// RVWAP + stdev bands
int timeInMs = fixedTfInput ? minsInput + hoursInput + daysInput : timeStep()
float sumSrcVol = pc.totalForTimeWhen(srcInput * volume, timeInMs, true, minBarsInput)
float sumVol = pc.totalForTimeWhen(volume, timeInMs, true, minBarsInput)
float sumSrcSrcVol = pc.totalForTimeWhen(volume * math.pow(srcInput, 2), timeInMs, true, minBarsInput)
float rollingVWAP = sumSrcVol / sumVol
float variance = sumSrcSrcVol / sumVol – math.pow(rollingVWAP, 2)
variance := math.max(0, variance)
float stDev = math.sqrt(variance)
float upperBand1 = rollingVWAP + stDev * stdevMult1
float lowerBand1 = rollingVWAP – stDev * stdevMult1
float upperBand2 = rollingVWAP + stDev * stdevMult2
float lowerBand2 = rollingVWAP – stDev * stdevMult2
float upperBand3 = rollingVWAP + stDev * stdevMult3
float lowerBand3 = rollingVWAP – stDev * stdevMult3
plot(rollingVWAP, “Rolling VWAP”, color.orange)
p1 = plot(stdevMult1 != 0 ? upperBand1 : na, “Upper Band 1”, stdevColor1)
p2 = plot(stdevMult1 != 0 ? lowerBand1 : na, “Lower Band 1”, stdevColor1)
p3 = plot(stdevMult2 != 0 ? upperBand2 : na, “Upper Band 2”, stdevColor2)
p4 = plot(stdevMult2 != 0 ? lowerBand2 : na, “Lower Band 2”, stdevColor2)
p5 = plot(stdevMult3 != 0 ? upperBand3 : na, “Upper Band 3”, stdevColor3)
p6 = plot(stdevMult3 != 0 ? lowerBand3 : na, “Lower Band 3”, stdevColor3)
fill(p1, p2, color.new(color.green, 95), “Bands Fill”)
fill(p3, p4, color.new(color.green, 95), “Bands Fill”)
fill(p5, p6, color.new(color.green, 95), “Bands Fill”)
// Display of time period.
var table tfDisplay = table.new(infoBoxYPosInput + “_” + infoBoxXPosInput, 1, 1)
if showInfoBoxInput and barstate.islastconfirmedhistory
table.cell(tfDisplay, 0, 0, tfString(timeInMs), bgcolor = infoBoxColorInput, text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput)
// }
.
