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TWAP and VWAP


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TWAP and VWAP

  #1 (permalink)
 bomberone1 
London
 
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Folks could someone post code an indicator like these or translate the code from ninja into multicharts.
i find it he section of download indicaotr of ninja

free_downloads/ninjatrader-7/indicators/674-download.html?view

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  #3 (permalink)
Doctor Leo
St. Petersburg, Russia
 
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Hello,

hope this helps: Trader-Online.pl® - TradeStation™ Zone - Volume Weighted Average Price

Also google has many links to various implementations of the same idea, please feel free to do a search.

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  #4 (permalink)
 bomberone1 
London
 
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Thanks, now i am searching twap in easylanguage... strange that no one has coded it...

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  #5 (permalink)
Doctor Leo
St. Petersburg, Russia
 
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Time [AUTOLINK]Weighted Average Price[/AUTOLINK] - Wikipedia, the free encyclopedia

Not sure you haven't confused the simple moving average (which is TWAP in its essence) and TWAP trading method. Please check with the article in Wikipedia and we could start from there.

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  #6 (permalink)
 
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 Fat Tails 
Berlin, Europe
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Doctor Leo View Post
Time [AUTOLINK]Weighted Average Price[/AUTOLINK] - Wikipedia, the free encyclopedia

Not sure you haven't confused the simple moving average (which is TWAP in its essence) and TWAP trading method. Please check with the article in Wikipedia and we could start from there.

Both VWAP and TWAP relate to a session, which means that both have an anchor point, where the calculations start. The TWAP is an anchored SMA with an increasing length, the VWAP is an anchored VWMA with an increasing length.

If you apply a TWAP to a fixed period chart (for example a 5 min chart), all bars have an equal weight and the TWAP is calculated as the arithmetic average of all typical prices (or closing prices).

However, if you apply a TWAP to a range, a tick or a volume chart, the TWAP becomes a time-weighted average. This means that each bar is attributed a weight corresponding to its duration = time stamp of last tick of current bar minus time stamp of last tick of previous bar. These weights are then used to calculate the arithmetic average from the typical prices of all bars within the session.

So VWAP and TWAP are similar in their construction as weighted averages, however

- VWAP becomes a standard arithmetic average on a volume chart
- TWAP becomes a standard arithmetic average on a fixed period chart

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  #7 (permalink)
 bomberone1 
London
 
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DO you have in easylanguage code to plot it in multicharts?

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  #8 (permalink)
 bomberone1 
London
 
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So I am searching both twap indicator in easylanguage both twap trading metod.

I see a video that a folk manage to make a vwap multiday, it's called n vwap.


COuld someone code it please?

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  #9 (permalink)
 bomberone1 
London
 
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The code is already done, but i don't know c#



could someone olease code twap?

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  #10 (permalink)
 bomberone1 
London
 
Experience: Beginner
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