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

["mo_means_go" <mo_means_go@xxxxxxxxx>]

Thanks sidharta70.  I thought I had it but I was looking at a daily
time frame.  Once switched to intraday my formula wasn't right:

AP = (O+H+L+C)/4; //Average Period Price
Bars = 1 + BarsSince( Day() != Ref( Day(), -1 ));
VAP = Sum(V*AP,Bars); // Volume x Price
TimeFrameSet(inDaily);
DV = V; //Daily Volume
TimeFrameRestore();
VWAP = VAP/DV;
Plot(VWAP, "VWAP", colorBlack, styleDashed);

I guess I need to think about this some more.

Thanks.



--- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx> wrote:
>
> 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@> 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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