vwap

leovirgo said:

vwap may be available as an indicator. I use TradeStation and if you want TS codes, I can post it here. It can be calculated on all intervals.. therefore, current vwap on 60minute chart may be different from that of 1min, 2min etc. For stocks, on an hourly bar, it only calculates 7 times, where as for 10min bars, it will calculate 39times during market hours.

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gillpups said:

Leo if the offer to post the EL code for TradeStation still exists I would great appreciate it.

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leovirgo said:

Vwap is an indicator and it needs vwap_h as a function. It should be fine if you import his ELD file. Save this file in your pc and just use File> Import/export easy language and select the file from the saved location.

I will paste the codes below but ELD import should work.
==========================
{ Create VWAP_h function } save indicator as vwap_h
===========================
vars:
PriceW(0),
ShareW(0),
Answer(0);

if date > date[1] then begin
PriceW = 0;
ShareW = 0;
end;

PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);

if ShareW > 0 then
Answer = PriceW / ShareW;

VWAP_H = Answer;


=====================================================

{ VWAP Indicator }
=====================================================

inputs: VWAPlength ( 10 ), UpColor(Magenta), DownColor(Magenta);

variables: upperMPD ( 0 ), lowerMPD ( 0 ), band ( 0 ),
HH ( 0 ), LL ( 0 ), Answer(0);

Answer = VWAP_H;

if AvgPrice >= Answer then
SetPlotColor(1,DownColor)
else
SetPlotColor(1,UpColor);

Plot1(Answer,"VWAP");


IF High > HighD(0) then
HH = High
else Begin HH = HighD(0);End;


IF Low < LowD(0) then
LL = Low
else Begin LL = LowD(0) ; End;

band = ( HH - LL )/ 2 ;

upperMPD = Answer + band ;
lowerMPD = Answer - band ;

Plot2(upperMPD, "upperMPD" );
Plot3(lowerMPD, "lowerMPD" ) ;

{ Alert criteria }
if Last <= lowerMPD then
Alert( "VWAPlowerMPD" )
else if Last >= upperMPD then
Alert( "VWAPupperMPD" ) ;

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gasmith said:

re: Glenn apr 25, 2009, 6:17am
glenn, regarding your above post, the "start of the session" is globex or rth?
Thank you......

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gasmith said:

Does the VWAP vary with the type of bar? i.e....the tick bars, range bars or volume bars?
Thank you.....

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