[Frank]

hi,

the code comes from a Traders Lab post... Here is the Tradestation code I am presently using (1-min chart is used on ES.D):


vars:
PriceW(0),
ShareW(0),
Count(0),
VolWAPValue(0),
VolWAPVariance(0),
VolWAPSD(0);

if date > date[1] then begin
PriceW = 0;
ShareW = 0;
Count = -1;
Value1 = 0;
Value2 = 0;
VolWAPValue = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;
if ShareW > 0 then VolWAPValue = PriceW / ShareW;
{Calculate the individual variance terms for each intraday bar starting with the current
bar and looping back through each bar to the start bar. The terms are each normalized
according to the Variance formula for each level of volume at each price bar }
For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));
Value3 = Value3 + Value2;
End;
VolWAPVariance = Value3;
VolWAPSD = SquareRoot(VolWAPVariance );
Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");