vwap previous close line

• 10/15/2021 at 2:03 PM #179739
  keks

  Hi, I would like to draw a horizontal line on the intraday chart that represents last observed daily vwap level of previous session of trading. So in essense:

  line1 = dclose(1)
  return line1 coloured(255,255,255)

  Except I do not want dclose, instead want to see where daily vwap was at close previous session. Would anyone PLEASE let me know how I can create this?

   

  THANKS!!

   

  

  keks

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  10/15/2021 at 2:18 PM #179740
  robertogozzi

  There you go:

  Timeframe(Daily,UpdateOnClose) if volume > 0 then VWAP = (volume * typicalprice) endif Timeframe(default) return VWAP AS "Daily VWAP"

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  Timeframe(Daily,UpdateOnClose) if volume > 0 then    VWAP = (volume * typicalprice) endif Timeframe(default) return VWAP AS "Daily VWAP"

   

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  keks

  

  robertogozzi

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  10/15/2021 at 3:28 PM #179743
  keks

  THANKS!!!!

  I modified code slightly:

  Timeframe(Daily,UpdateOnClose)
  if volume > 0 then
  d = max(1, intradaybarindex)
  VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
  endif
  Timeframe(default)
  return VWAP AS “Daily VWAP”

   

   

  

  keks

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  10/15/2021 at 3:36 PM #179744
  keks

  Hmm.. it seem to work for a bit then get calculation error and the indicator drops off the chart. Not sure what is wrong with code

  

  keks

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  10/15/2021 at 3:51 PM #179746
  keks

  in the attached pic the green is daily vwap, red is the code above… ideally i would like the red line to extend from where green on ends on previous day. strategy under development will build signals based on whether price remains above previous day vwap….

  

  keks

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  10/15/2021 at 3:56 PM #179748
  robertogozzi

  I am not getting any error with both of them.

  Anyhow, you are NOT calculating VWAP, your code simply returns TypicalPrice.

   

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  robertogozzi

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  10/15/2021 at 4:02 PM #179751
  robertogozzi

  I also got the error message now. I think it’s due to the high number involved summing up they daily volume*typicalprice for the intradaybarindex.

   

  

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  10/15/2021 at 4:05 PM #179752
  keks

  would it be easier/less calc to use last observed vwap level of previous session instead of calculating? In other words previous session daily vwap close… seem to be an lighter way to accomplish this however I am not sure how to code this

  

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  10/15/2021 at 5:30 PM #179754
  robertogozzi

  I did in my first reply.

   

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  10/18/2021 at 7:57 AM #179838
  keks

  thanks again.

  would you be chance be willing to help me specify time interval of previous day session for the vwap calculation line to be based off?

  For example, let us assume I want to use index futures previous day vwap level during ordinary trading session only as an indicator on the following day trading session…

  

  keks

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  10/18/2021 at 8:21 AM #179841
  robertogozzi

  To make it work in a time interval the daily timeframe can’t be used.

  The code you wrote is almost correct, provided the TIMEFRAME keyword is removed. Then a time interval must be added:

  ONCE d = 0 if volume > 0 then IF intradaybarindex = 0 THEN d = 0 ENDIF IF Time >= 080000 AND Time <= 180000 THEN d = d + 1 VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) ENDIF endif return VWAP AS “Daily VWAP”

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  ONCE d = 0 if volume > 0 then    IF intradaybarindex = 0 THEN       d = 0    ENDIF    IF Time >= 080000 AND Time <= 180000 THEN       d    = d + 1       VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)    ENDIF endif return VWAP AS “Daily VWAP”

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  10/18/2021 at 2:09 PM #179871
  keks

  thanks so much for taking the time to update this code. Still this does not seem to give me a horizontal line marking previous end of session vwap level….

  the reason I like having this drawn is many of the securities I follow seem to trade differently based on whether they are above or below previous session vwap…

  I will try to figure out how to get an accurate line drawn using clues from your code, but so far still not where I would like to be!

  

  keks

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