Calculate the session vwap

• 10/15/2023 at 11:45 AM #222467
  ioannispapadakis

  Hey everyone,

  I am trying to calculate the US session vwap. I want the calculation to start when the US session starts, i.e. 16:30 in Greece. I am using this code but I am not geting the right result:

  if OpenTime=163000 then OpenBarIndex=intradaybarindex SumVol=0 SumVol2=0 for i=OpenBarIndex to intradaybarindex do SumVol=volume+SumVol SumVol2=volume*typicalprice+SumVol2 next VWAP2 = SumVol2/SumVol endif return vwap2

  1 2 3 4 5 6 7 8 9 10 11 12

  if OpenTime=163000 then OpenBarIndex=intradaybarindex SumVol=0 SumVol2=0 for i=OpenBarIndex to intradaybarindex do SumVol=volume+SumVol SumVol2=volume*typicalprice+SumVol2 next VWAP2 = SumVol2/SumVol endif   return vwap2

  Can you help me fix this code please?

   

  John

  

  ioannispapadakis

  Participant

  Topics: 5

  Replies: 5

  Been thanked: 2 times
  10/15/2023 at 2:06 PM #222473
  robertogozzi

  Try this version:

  if OpenTime=163000 then SumVol=0 SumVol2=0 Endig SumVol=volume+SumVol SumVol2=volume*typicalprice+SumVol2 VWAP2 = SumVol2/SumVol return vwap2

  1 2 3 4 5 6 7 8

  if OpenTime=163000 then    SumVol=0    SumVol2=0 Endig SumVol=volume+SumVol SumVol2=volume*typicalprice+SumVol2 VWAP2 = SumVol2/SumVol return vwap2

  1 user thanked author for this post.

  ioannispapadakis

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17188

  Been thanked: 4064 times
  10/15/2023 at 4:13 PM #222481
  ioannispapadakis

  Thank you once again! I just realized that the code updates each time a new M15 bar starts. That’s why I don’t need that for loop.

  John

  1 user thanked author for this post.

  robertogozzi

  

  ioannispapadakis

  Participant

  Topics: 5

  Replies: 5

  Been thanked: 2 times
  10/17/2023 at 4:23 PM #222556
  KumoNoJuzza

  Hi,

  Just for information, Nicolas proposed the indicator there: https://www.prorealcode.com/topic/time-anchored-vwap/

  2 users thanked author for this post.

  robertogozzi, ioannispapadakis

  

  KumoNoJuzza

  Participant

  Topics: 11

  Replies: 75

  Been thanked: 13 times
• Author
  Posts