Trouble calculating the VWAP of each bar in a chart

September 15th, 2011, 04:51 PM

Hi:

I am attempting to calculate the internal VWAP for each bar in a chart as opposed to what is normally done when calculating VWAP, ie calculate the VWAP of a day as of the close of the last bar. So for each tick in a bar after and including the first tick of the bar i need to keep two counters going, one to keep a sum of Price of tick * volume of tick for the bar and the other to sum the volume of each tick for the bar. At the end of each bar i then calculate the internal VWAP of the bar that just closed using the following:

IntrabarVWAP = Bar Sum of (Price of tick * volume of tick ) / ( Sum of volume of ticks)

I then need to reset the two sum counters to 0 so that the internal VWAP for the next bar can be calculated independently.

Seems simple enough but this is a real headache. I either get the Internal VWAP of each bar to equal the Close of each bar, which is not possible or i get it to be a number that is outside of the range of each bar, which is also not possible.

I am using Multicharts 7.0 and have "Update on every tick" disabled for the indicator as i am using intrabarpersist . I have tried using Range Bars, minute bars (built from ticks) and tick bars all with the same results.

Here is the code i am using:

Code

vars:
    intrabarpersist PriceW(0),
    intrabarpersist ShareW(0),
    PriceX(0),
    ShareX(0),
    IntrabarVWAP(0);

If barstatus = 0 then begin    
    PriceW = 0;
    ShareW = 0;
end;
PriceW = PriceW + (Close * (Ticks));
ShareW = ShareW + (Ticks);
PriceX = PriceW;
ShareX = ShareW;
If ShareX > 0 then IntrabarVWAP = PriceX / ShareX; 

Plot1(IntrabarVWAP,"BarVWAP");

Many thanks for your help with this.

October 2nd, 2011, 03:33 AM

You might check here:

Quarterly, Weekly VWAP

Does anyone have a quarterly and/or weekly VWAP indicator for easy language? I've been trying to look at long range views for some stocks and commodities and how it relates to daily movements with respect to the longer VWAP.

Thanks,
-C

Mike

Jura · October 3rd, 2011, 04:52 AM

Also worth checking out:
-

Outside Volume indicator

I wanted to build an indicator that would visualize the volume of the current bar relative to the prior bar, in this way:

- how much volume of current bar is above the prior bar high?
- how much volume of current bar is below the prior bar low?
- …

- and this post.

Trouble calculating the VWAP of each bar in a chart

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Trouble calculating the VWAP of each bar in a chart