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

["sidhartha70" <sidhartha70@xxxxxxxxx>]

Try this... no need to covert to  daily time frame...

TodayVolume = Sum( V, Bars_so_far_today );
VWAP = Sum ( ( ( H + L ) / 2 ) * V, Bars_so_far_today  ) / TodayVolume;


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