Sliding VWAP code

• 09/04/2023 at 8:37 PM #220333
  KumoNoJuzza

  Hi,

  I have found code of VWAP for intraday with a starting time, but I am unable to amend it to get a sliding VWAP as per the attached snapshot.

  Is it possible to compute something like?

  1h sliding VWAP

  // VWAP Computation Timestart=Time-010000 if time=Timestart then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif

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  // VWAP Computation Timestart=Time-010000 if time=Timestart then d=0   else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif

  Thanks for your help

  

  KumoNoJuzza

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  09/05/2023 at 7:06 AM #220346
  JS

  Hi @KumoNoJuzza

  Try this one:

   

  VWAP Sliding

  SlidingPeriod = 120 //in minutes GTF = GetTimeFrame N = Round(SlidingPeriod / (GTF/60)) VW = Close * Volume VolumeSum = Summation[N](Volume) VolumeWeightedSum = Summation[N](VW) VWAP = VolumeWeightedSum / VolumeSum Return VWAP Coloured("Red")

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  SlidingPeriod = 120 //in minutes GTF = GetTimeFrame N = Round(SlidingPeriod / (GTF/60))   VW = Close * Volume VolumeSum = Summation[N](Volume) VolumeWeightedSum = Summation[N](VW)   VWAP = VolumeWeightedSum / VolumeSum   Return VWAP Coloured("Red")

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  Nicolas, KumoNoJuzza

  

  JS

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