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



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Hi Dingo,

That was the whole code I had that I posted before.  It didn't work. 
sidhartha70 did it much more elegantly and simply.  It is just a
moving average that supposedly shows if where you are buying is a
"good location".  If you buy below the average, you are getting a
price better than the bulk of the trades placed prior to that point in
time, and vice-versa.  I want to take it look at it on 1 minute charts
with pivots points just to see if they compliment each other.  Hope
this helps.


--- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@xxx> wrote:
>
> I guess Mo (makes me wonder about larry, curly and schemp).
> 
> I'd like to see yours as well if you have a complete version - I didn't
> think you did since you were providing snippets.
> 
> d
> 
> On Sun, Jan 25, 2009 at 3:40 PM, sidhartha70 <sidhartha70@xxx> wrote:
> 
> > You mean me Dingo or the other poster...?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@> wrote:
> > >
> > > How about posting your complete code?
> > >
> > > d
> > >
> >  > On Sun, Jan 25, 2009 at 2:41 PM, mo_means_go <mo_means_go@> wrote:
> > >
> > > > Thanks!  It's working perfectly!  The flow logic totally
escaped me.
> > > > I over complicated it.  Have a great day/evening.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@>
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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------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com
*********************

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html

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