Different VWAP showing different levels

• 03/26/2020 at 9:54 AM #123357
  MajorBasse

  Hello!

  I have been messing around with VWAP and tried different indicators for displaying VWAP Bands. I have realized that all three versions of the VWAP Bands that I have been using shows different levels. The first two I have been using are indicators downloaded from the Forum, and the third one is the built in VWAP Bands indicator that comes as standard with PRT. As you can see in the attached image below, the VWAP is the same but the bands are different. I am a bit confused with which VWAP Bands are actually the correct ones to use?

   

  

  MajorBasse

  Participant

  Topics: 11

  Replies: 27

  Been thanked: 0 times
  03/26/2020 at 1:45 PM #123409
  Nicolas

  Yes, it has been discussed before about the bands not being calculated the same way as the default VWAP indicator of the platform, I’m sure I have solved that calculation somewhere, let me find the topic.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  03/26/2020 at 1:49 PM #123410
  Nicolas

  Here is the code with the same VWAP bands calculation as the default indicator:

  //PRC_VWAP intraday //SAME VERSION AS THE ORIGINAL VWAP FROM THE PLATFORM //09.01.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif sd = std[d](abs(typicalprice-vwap)) SDup1 = vwap+sd SDlw1 = vwap-sd SDup2 = vwap+sd*2 SDlw2 = vwap-sd*2 SDup3 = vwap+sd*3 SDlw3 = vwap-sd*3 endif 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"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

  //PRC_VWAP intraday //SAME VERSION AS THE ORIGINAL VWAP FROM THE PLATFORM //09.01.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif sd = std[d](abs(typicalprice-vwap))   SDup1 = vwap+sd SDlw1 = vwap-sd SDup2 = vwap+sd*2 SDlw2 = vwap-sd*2 SDup3 = vwap+sd*3 SDlw3 = vwap-sd*3 endif   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"

  Found it in this recent topic: Is there any working intraday VWAP?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  03/26/2020 at 3:21 PM #123452
  MajorBasse

  Excellent! Thank you very much Nicolas!

  

  MajorBasse

  Participant

  Topics: 11

  Replies: 27

  Been thanked: 0 times
• Author
  Posts