[amibroker] Re: Volume Weighted Average Price (VWAP)

["sidhartha70" <sidhartha70@xxxxxxxxx>]

I did some stuff on VWAP... clearly you have to define a start
point... that's easier for stocks than some of futures contracts I was
looking at... but you'll need something like this to get the number of
bars in a day...

Bars_so_far_today = 1 + BarsSince( Day() != Ref( Day(), -1 );




--- In amibroker@xxxxxxxxxxxxxxx, "mo_means_go" <mo_means_go@xxx> wrote:
>
> 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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