Is there any working intraday VWAP?

This topic has 18 replies, 6 voices, and was last updated 1 year ago by Nicolas.

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12/17/2019 at 10:11 PM #115123

axellus

Hello,

I am trying different VWAP indicators but none of them seem to work. For example when I try https://www.prorealcode.com/prorealtime-indicators/vwap-intraday/ I get the result i attached in this post.
I’ve tried other VWAP indicators and all of them give very strange results similiar to that one.

I would really appriciate getting a VWAP indicator with bands to work.

Best regards,

axellus

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12/18/2019 at 10:43 AM #115142

Nicolas

There is a built-in VWAP bands in the indicator list of the platform.

I think that the indicator you refer to has a problem of calculation for the bands when the volumes are not present. Here is a quick fix:

//PRC_VWAP intraday
//07.09.2016
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

d = max(1, intradaybarindex)

if volume>0 then 
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
if(intradaybarindex=0) then
sd = vwap
else
sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d
endif
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"

//PRC_VWAP intraday

//07.09.2016

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

d = max(1, intradaybarindex)

if volume>0 then

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

if(intradaybarindex=0) then

sd = vwap

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"

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Nicolas

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12/18/2019 at 12:38 PM #115157

axellus

Hello Nicolas,
This seems to be working a lot better. Thank you for your quick and reliable help.
You contribute a great deal to this community, keep up the good work.

I will write again if I have any more questions 🙂

Thank you

axellus

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12/18/2019 at 12:51 PM #115159

axellus

Hello again,

So now I get this result (see attachment), which is better but I still have one or two questions.

Why do the bands spike up and down like crazy right at the beginning of the day? Now I have the chart time only during open hours 09.00-17.30.
Also second question, is it suppose to differ this much comapred to the built in VWAP bands in PRT? I want to use it for algo trading so I cannot use the built in one.

Best regards,

axellus

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12/18/2019 at 1:44 PM #115164

Vonasi

axellus wrote:

Why do the bands spike up and down like crazy right at the beginning of the day?

Because at the beginning of the day you don’t have much data to base the calculations on so each bit has a far larger effect than at the end of the day At the end of the day you have lots of data and so a new bit of data has little overall effect unless it is extremely different to all that came before it.

Vonasi

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12/18/2019 at 1:57 PM #115169

Nicolas

After unsuccessful attempts to reverse engineer the bands calculation from the built-in indicator, I sent an email to ITF to know how they calculate it. I let you know once I get a reply.

Nicolas

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12/18/2019 at 4:28 PM #115179

axellus

Okey, thank you so much for the help and answers.

axellus

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01/02/2020 at 5:16 PM #115779

axellus

Hello Nicholas, hope you have had nice and relaxing holidays.

Any news on the vwap indicator?

Best regards,

Axel

axellus

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01/06/2020 at 10:57 AM #116011

Nicolas

Not yet, will let you know. I made a reminder 😉

Nicolas

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01/09/2020 at 3:35 PM #116309

Nicolas

with the help of PRT, we finally recode it to be perfectly the same as the one from the platform, here is the VWAP code:

//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"

//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

Make sure to have sufficient bars on your chart for the calculation to perfectly match the original VWAP indicator.

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Nicolas

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01/26/2020 at 3:00 AM #117851

axellus

Awesome Nicolas

axellus

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11/15/2020 at 7:12 AM #150538

BizzTrade

Hi Nicolas

Is there a way to have the above VWAP indicator commence/reset at 10:00am (UTC +11:00) each day?

Kind regards

Ben

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01/19/2021 at 11:19 PM #158591

screbassa

Hi Nicolas,
With the code you published, the VWAP is now almost similar to the native indicator in PRT (there are still some minor discrepencies I don’t understand).
However, the bands remain totally different. My point is that I prefer the native indicator bands rather than the standard deviations bands you coded. Do you have more information about the way they coded these bands?

Thanks.

screbassa

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01/20/2021 at 10:38 AM #158639

Nicolas

@BizzTrade: Time Anchored VWAP

or VWAP Date & Time Anchored

@screbassa I’m trying to understand why it doesn’t look the same as before in v11 and let you know..

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04/11/2021 at 5:06 PM #166785

stefou102

Hello Nicolas,

Have you found why your custom code for the vwap bands and the native indicator doesn’t match? I think there are bugs at least when there is no volume in the CFD at some part of the day (holidays, or before future openings). See for example the 6 April on Dax CFD “Allemagne 30 Cash (5€)”

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