[amibroker] Volume Weighted Average Price (VWAP)

["mo_means_go" <mo_means_go@xxxxxxxxx>]

Has anybody ever developed this for use on intraday charts?

Without tick information it is a brute force calculation, but would
seem to be fairly accurate on one minute charts.

The definition is "sum of the shares bought X share price" / "total
shares traded for the day"

In this case the sum function is over the one minute time frame.  My
assumption is that the daily volume is acquired by:

TimeFrameSet(inDaily);
DV = V;
TimeFrameRestore();

However, I'm lost as to how to get the sum of the intraday volume x price:

VAP = Sum(V*AP; RANGE); //AP = average bar price

Does anybody know how I arrive at the RANGE?  It has to be the bars
since yesterdays close using one minute bars, but how do I arrive
at the number?  




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