Coding formula for VWAP – share price

• 03/23/2019 at 1:27 AM #94455
  Pippa Carron

  I am trying to create an indicator that will give me the difference between the current share price and VWAP as a percentage. I’m using the code shown below, but it has a syntax error in line 2 and I don’t know how to fix it. I can’t get ProBuilder to give me the correct code for VWAP as it doesn’t appear in the indicator list. Any suggestions gratefully received. Thanks

  SP = Close[0] VWAP = VWAP[0] Difference = ((SP-VWAP)/SP)*100 Return Difference

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  SP = Close[0] VWAP = VWAP[0] Difference = ((SP-VWAP)/SP)*100   Return Difference

   

  Someone elsewhere has suggested the following code for VWAP but it comes up with a syntax error also.

  VWAP = Sum (Close[0] x Volume[0]) / Sum(Volume[0])

  1	VWAP = Sum (Close[0] x Volume[0]) / Sum(Volume[0])

   

  Sorry, the instructions say to use the <> “insert PRT code” button but I can’t see where that is.

  

  Pippa Carron

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  03/23/2019 at 8:01 AM #94467
  Vonasi

  

  I tidied up your post for you. 🙂

  

  Vonasi

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  03/23/2019 at 8:07 AM #94470
  Vonasi

  Type VWAP in the search box (found top right by hovering over your profile picture) and several VWAP indicators are already in the library. You can use the VWAP calculations found in these to easily create your indicator.

  Sum and VWAP are not code words used in PRT which is why you get the error.

   

  

  Vonasi

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  03/23/2019 at 8:33 AM #94474
  Vonasi

  You can try this. Not tested:

  SP = Close VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) Difference = ((SP-VWAP)/SP)*100 Return Difference

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  SP = Close VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) Difference = ((SP-VWAP)/SP)*100 Return Difference

   

  

  Vonasi

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  03/23/2019 at 9:05 AM #94475
  Pippa Carron

  Dear Vonasi,

  Thank you so much for your quick reply. I realise in looking at it that I really only need an indicator which gives share price minus VWAP. However, when I tried this it didn’t work. I used the code:

  SP = Close VWAP = SUMMATION[1](volume*typicalprice)/SUMMATION[1](volume) Difference = SP-VWAP Return Difference

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  SP = Close VWAP = SUMMATION[1](volume*typicalprice)/SUMMATION[1](volume) Difference = SP-VWAP Return Difference

   

   

  

  Pippa Carron

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  03/23/2019 at 9:30 AM #94477
  Pippa Carron

  Sorry, sorry, it is % difference between share price and VWAP that I need.  But the code still seems to be wrong. See my image.

   

   

  

  Pippa Carron

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  03/23/2019 at 9:34 AM #94480
  Vonasi

  I cut and pasted the VWAP code from an indicator and I notice now that it is showing VWAP for the close of the previous bar.

  The VWAP calculation is on the previous bar but your on price VWAP indicator is the daily VWAP on a 5 minute chart hence the difference.

  I tidied up your post again. Please see my previous post with the image of where the ‘Insert PRT Code’ button is and try to remember to use it. 🙂

  

  Vonasi

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  03/23/2019 at 9:42 AM #94482
  Vonasi

  Try this:

  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = close - vwap return difference

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  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = close - vwap   return difference

  It starts measuring VWAP from the first candle of the day. If you just want a fixed number of bars for the calculation then try this:

  d = 60 //set to whatever look back period in bars that you want. VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = close - vwap return difference

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  d = 60 //set to whatever look back period in bars that you want.   VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = close - vwap   return difference

   

  

  Vonasi

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  03/23/2019 at 9:57 AM #94483
  Vonasi

  I just found a minor bug due to the lack of volume history which means that when switching time frames the indicator does not work.

  Here is a fix:

  d = 60 //d = max(1, intradaybarindex) if volume > 0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = close - vwap endif return 0,difference

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  d = 60 //d = max(1, intradaybarindex)   if volume > 0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = close - vwap endif   return 0,difference

   

  

  Vonasi

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  03/24/2019 at 9:20 AM #94531
  Pippa Carron

  Hi Vonasi,

  I’ve got your code working, so thanks very much. This is what I’ve ended up using:

  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = ((close - vwap)/close)*100 return difference

  1 2 3 4 5

  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = ((close - vwap)/close)*100   return difference

  One other question, is there any way that I can reduce the number of decimal places on the index readouts from 5 to 2 on the charts? (e.g. 0.25, rahter than 0.25467) See image.

  With thanks, Pippa

   

   

   

   

  

  Pippa Carron

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  03/24/2019 at 10:24 PM #94570
  Vonasi

  Try this – not tested – it might only round it to two decimal places and not change the displayed number of digits:

  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = (round(((close - vwap)/close)*100)*100)/100 return difference

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  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) difference = (round(((close - vwap)/close)*100)*100)/100 return difference

   

  

  Vonasi

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  03/25/2019 at 10:16 AM #94598
  Nicolas

  Seems similar to measure the normalized distance from the VWAP like this indicator of the library: Z-Score distance from VWAP

  

  Nicolas

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  03/27/2019 at 8:27 AM #94758
  Pippa Carron

  Thanks, no this is quite different from a Z-score concept. It is the difference between the trading price at any given time, and the VWAP number, expressed as a percent. Z-score is related to standard deviations. A completely different concept to VWAP. But thanks.

  

  Pippa Carron

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