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