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dbntina

TS Tick by Tick PVP Plotted with VWAP and SD Bands

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That's what is called for i believe. The price of the element is divided by the volume of the whole sample. This means that every time a new element arrives (bar) you need to re weight every single element in the sample with the new total volume of the sample.

 

After further review for the more robust statistical approach, I believe that the individual elements should be weighted by the bar that is being evaluated total volume and not the accumulated volume of the population.

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After further review for the more robust statistical approach, I believe that the individual elements should be weighted by the bar that is being evaluated total volume and not the accumulated volume of the population.

 

Sorry a belated reply but to put it simply I am afraid you are wrong. You absolutely have to weight with respect to the whole sample. Well you don't have to but it has no statistical significance if you don't.

 

Having said that it does produce lines you can trade from should you desire they may well be 'good enough' too. If you review the 'trading with market statistics' threads it is discussed at some length in ac couple of places. I posted quite a few charts with different methods of calculation whilst I was trying to develop an online algorithm (single pass) to calculate weighted variance.

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Someone know how to build weekly and monthly VWAP chart? Thank you!

 

You will need to jiggle the conditions that the sample is reset under...something along the lines of:-

 

 

Input:
NumberofDays (1),


if date > date[1] then
begin
n = n + 1;
if n = NumberofDays then 
begin	 //reset code goes in here
	s = 0;
	n = 0;
	VWAP1 = VWAP;
	SD1 = SD;
	VWAP = 0;
	SumWeights = 0;
	SumWeightsOld = 0;
	VWAPOld = 0;
end;

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Many thanks BlowFish for your reply, i have an error when i try to compile my VWAP code, this is the code that i use:

	[LegacyColorValue = true];

vars:
	PriceW(0),
	ShareW(0),
	Count(0),
	VolWAPValue(0),
	VolWAPVariance(0),
	VolWAPSD(0),
	Class("PVP"),
	InfoMap(MapSN.New),
	MyPVP(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;

	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);

Value1 = ADE.GetBarInfo(Class, GetSymbolName, ADE.TypeZeroInterval(11,1), ADE.BarID, InfoMap);
MyPVP = MapSN.Get(InfoMap, "PVP");

Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
   Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
   Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");
   	Plot6(VolWAPValue + (3*VolWAPSD), "VWAP3SDUp");
   Plot7(VolWAPValue - (3*VolWAPSD), "VWAP3SDDown");

Plot8(MyPVP, "PVP");

when i add your additional code the new VWAP is like this:

	[LegacyColorValue = true];

vars:
	PriceW(0),
	ShareW(0),
	Count(0),
	VolWAPValue(0),
	VolWAPVariance(0),
	VolWAPSD(0),
	Class("PVP"),
	InfoMap(MapSN.New),
	MyPVP(0);


Input:
NumberofDays (1),


if date > date[1] then
begin
n = n + 1;
if n = NumberofDays then 
begin	 //reset code goes in here
	s = 0;
	n = 0;
	VWAP1 = VWAP;
	SD1 = SD;
	VWAP = 0;
	SumWeights = 0;
	SumWeightsOld = 0;
	VWAPOld = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;

if ShareW > 0 then VolWAPValue = PriceW / ShareW;

	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);

Value1 = ADE.GetBarInfo(Class, GetSymbolName, ADE.TypeZeroInterval(11,1), ADE.BarID, InfoMap);
MyPVP = MapSN.Get(InfoMap, "PVP");

Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
   Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
   Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");
   	Plot6(VolWAPValue + (3*VolWAPSD), "VWAP3SDUp");
   Plot7(VolWAPValue - (3*VolWAPSD), "VWAP3SDDown");

Plot8(MyPVP, "PVP");

 

but i have an error when i try to compile

 '('  Expected 
errLine 19, errColumn 3, errLineEnd 19, errColumnEnd 3
causal study:  (Function)

 

errLine 19 it's

if date > date[1] then begin

, you know why? Thank you

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You need to use ';' rather than a comma at the end of the line where you declare number of days. You'll also need to declare 'n' in variables. Finally the reset code should use the variables that need resetting from your routine. Mine actually maintains two distributions at a time plus does some other stuff.

 

I can help further if you get stuck but gotta run now.

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Something like this should do if you compare carefully you should get an idea of how it works.

 

Be aware that with this algorithm if you have many many bars things can get quite slow to calculate as more data is added to the sample.

 

	[LegacyColorValue = true];

vars:
	PriceW(0),
	ShareW(0),
	Count(0),
	VolWAPValue(0),
	VolWAPVariance(0),
	VolWAPSD(0),
	Class("PVP"),
	InfoMap(MapSN.New),n(0),
	MyPVP(0);


Input:
NumberofDays (1);


if date > date[1] then
begin
n = n + 1;
if n = NumberofDays then 
begin	 //reset code goes in here
	PriceW = 0;
	ShareW = 0;
	Count = -1;
	Value1 = 0;
	Value2 = 0;
	VolWAPValue = 0;
end;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;

if ShareW > 0 then VolWAPValue = PriceW / ShareW;

	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);

Value1 = ADE.GetBarInfo(Class, GetSymbolName, ADE.TypeZeroInterval(11,1), ADE.BarID, InfoMap);
MyPVP = MapSN.Get(InfoMap, "PVP");

Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
   Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
   Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");
   	Plot6(VolWAPValue + (3*VolWAPSD), "VWAP3SDUp");
   Plot7(VolWAPValue - (3*VolWAPSD), "VWAP3SDDown");

Plot8(MyPVP, "PVP");

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Input:
StartTime( 930 ),
StartMonth( 5 ),
StartDay( 1 ),
StartYear( 2011 ));

if CurrentBar = 1 then
StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ;


if (Date >= StartCalcDate and Time >= StartTime) 
or Date > StartCalcDate then

 

This fragment shows you how to do a start date. I'd have to modify it a bit to do end date and don't really have time now. It's pretty easy you would need to to do 'and not' date <= EndCalcDate etc.

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Hi BlowFish,

many thanks for the codes that you posted.

I need your help with last fragment of code that you posted to have a custom start in the vwap.

The DBVWAP_SD code was like this:

 

[LegacyColorValue = true];

 

vars:

PriceW(0),

ShareW(0),

Count(0),

VolWAPValue(0),

VolWAPVariance(0),

VolWAPSD(0),

Class("PVP"),

InfoMap(MapSN.New),

MyPVP(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;

 

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);

 

Value1 = ADE.GetBarInfo(Class, GetSymbolName, ADE.TypeZeroInterval(11,1), ADE.BarID, InfoMap);

MyPVP = MapSN.Get(InfoMap, "PVP");

 

Plot1(VolWAPValue, "VWAP");

Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");

Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");

Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");

Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");

Plot6(MyPVP, "PVP");

 

 

and I pasted your fragment of code and it became like this:

 

[LegacyColorValue = true];

 

Input:

StartTime( 930 ),

StartMonth( 5 ),

StartDay( 1 ),

StartYear( 2011 );

 

if CurrentBar = 1 then

StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ;

 

 

if (Date >= StartCalcDate and Time >= StartTime)

or Date > StartCalcDate then

 

vars:

PriceW(0),

ShareW(0),

Count(0),

VolWAPValue(0),

VolWAPVariance(0),

VolWAPSD(0),

Class("PVP"),

InfoMap(MapSN.New),

MyPVP(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;

 

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);

 

Value1 = ADE.GetBarInfo(Class, GetSymbolName, ADE.TypeZeroInterval(11,1), ADE.BarID, InfoMap);

MyPVP = MapSN.Get(InfoMap, "PVP");

 

Plot1(VolWAPValue, "VWAP");

Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");

Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");

Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");

Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");

Plot6(MyPVP, "PVP");

 

 

but when I try to compile it it gives me the following error:

 

23.07.11 16:32:08

------ Build started: ------

Study: "DBVWAP_SD" (Indicator)

Please wait ....

------ Compiled with error(s): ------

assignment is allowed only for variables or array elements

errLine 10, errColumn 1, errLineEnd 10, errColumnEnd 1

causal study: (Function)

 

this is line 10:

 

StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ;

 

Could you please help me.

thanks again

mark

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Hi everybody,

anybody could help me to have the vwap to start new each monday?

Is it possible with easy language to code this instruction?

thanks

mark

 

it's already been done.

have you read the thread in its entirety?

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it's already been done.

have you read the thread in its entirety?

 

Hallo Tams,

thanks for your prompt reply.

 

You are right, BlowFish posted 2 ways to have a custom start but both gives me an error in compiling.

 

1 - the code in the post n. 33 by BlowFish gives me the following compiling error:

 

Compiled with error(s): ------

assignment is allowed only for variables or array elements

errLine 23, errColumn 1, errLineEnd 23, errColumnEnd 1

causal study: (Function)

 

and line 23 is the following:

 

n = n + 1;

 

2 - the fragment of code in the post nr. 37 by BlowFish, after added to the original dbntina code, gives me a code that begin like this (I paste here only the beginning):

 

[LegacyColorValue = true];

 

Input:

StartTime( 0000 ),

StartMonth( 9 ),

StartDay( 5 ),

StartYear( 2011 );

 

vars:

PriceW(0),

ShareW(0),

Count(0),

VolWAPValue(0),

VolWAPVariance(0),

VolWAPSD(0),

Class("PVP"),

InfoMap(MapSN.New),

MyPVP(0);

 

if CurrentBar = 1 then

StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ;

 

if (Date >= StartCalcDate and Time >= StartTime)

or Date > StartCalcDate then begin

PriceW = 0;

ShareW = 0;

Count = -1;

Value1 = 0;

Value2 = 0;

VolWAPValue = 0;

end;

 

but also this way gives me the following compiling error:

 

Compiled with error(s): ------

assignment is allowed only for variables or array elements

errLine 23, errColumn 1, errLineEnd 23, errColumnEnd 1

causal study: (Function)

 

were line 23 in this case is:

 

StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ;

 

I would thank you very much if you could help me.

 

If I missed something in the thread, pls. accept my apologizes.

 

thanks

mark

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Did you define a variable StartCalcDate ?

 

Hallo BlowFish,

thanks for your reply.

Following your question, I understood from the EL Essential that I had to insert the StartCalcDate in the list of the variables.

Done that the first part of the code is:

 

[LegacyColorValue = true];

 

Input:

StartTime( 0000 ),

StartMonth( 9 ),

StartDay( 5 ),

StartYear( 2011 );

 

vars:

PriceW(0),

ShareW(0),

Count(0),

VolWAPValue(0),

VolWAPVariance(0),

VolWAPSD(0),

Class("PVP"),

InfoMap(MapSN.New),

StartCalcDate(0),

MyPVP(0);

 

if CurrentBar = 1 then

StartCalcDate = ELDate ( StartMonth, StartDay, StartYear );

 

if (Date >= StartCalcDate and Time >= StartTime)

or Date > StartCalcDate then begin

PriceW = 0;

ShareW = 0;

Count = -1;

Value1 = 0;

Value2 = 0;

VolWAPValue = 0;

end;

 

Now the code perfectly compiles, no error is given.

The problem now is that the output is random.

There is no connection between the resulting Vwap and the time and data inputed in the indicator format window.

Maybe I am missing something else.

Another clue from you would be really appreciated.

thanks

mark

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Dunno works for me...have you got the format of the time correct? see image.

 

Hallo BlowFish,

yes the time and date are correct but it doesn't work.

I tried all the week to fix it but got nothing.

I see that you have a Synthetic Volume in your inputs.

Could it be the difference?

thanks

Marks

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Consumer Price Index and Retail Sales Index (GBP, GMT 07:00) – UK inflation data for December is anticipated higher at 0.5% y/y, after falling more than expected, to just 0.3% y/y in November, with the biggest downward contribution coming from food and non-alcohol beverages, along with clothing and footwear. The UK-wide Covid-19 lockdown in November suppressed price pressures. Inflation is likely to remain subdued over the next several months, but should pick up notably from spring, when base effects impact on year-on-year price comparisons. There is potential for pronounced reflation as 2021 progresses, assuming vaccine programs prove effective, which would facilitate a return towards societal and economic normalcy, and in turn trigger a possible consumer spending boom fuelled by ‘lockdown savings’. The Retail sales are seen at 1.1% y/y in December from 0.9% y/y last month. Consumer Price Index (EUR, GMT 10:00) – The final CPI headline and core are expected to show 0.3%m/m December gains, with core declining to 0.5% m/m. Consumer Price Index (CAD, GMT 13:30) – The CPI inflation accelerated to a 1.0% y/y pace in November, however, it is expected to decline in December to 0.8% y/y below the Bank’s target of 2% until 2023. Interest Rate Decision and Statement (CAD, GMT 15:00) – The BoC is expected to hold rates steady at 0.25% after December’s meeting in which extraordinary forward guidance remained in place as anticipated — the bank reiterated that it expects to hold rates at the effective lower bound until “economic slack is absorbed so that the 2% inflation target is sustainably achieved.” Thursday – 21 January 2021 Interest Rate Decision and Statement (JPY, GMT 03:00) – The BoJ is expected to hold rates steady at -0.1% after December’s meeting in which extraordinary forward guidance remained in place as anticipated — the bank reiterated that it expects to hold rates at the effective lower bound until “economic slack is absorbed so that the 2% inflation target is sustainably achieved.” The speculation is growing that the BoJ will scale back its ETF stock buying programme – given the strength in equities and the BoJ’s substantial ownership of this ETF sector. Interest Rate Decision, Statement and Conference (EUR, GMT 12:45) – The ECB to add more stimulus at the moment seems unlikely unless current restrictions remain in place much longer than anticipated. Hence, ECB is expected to keep policy steady at January meeting. The central bank’s focus is on maintaining very favourable financing conditions for both governments and companies, against the background of a pandemic that not only has weighed heavily on the growth outlook, but also contributed a further fragmentation of economies and markets. With the advent of vaccination programs there clearly is no appetite to cut rates again. Not that the ECB rules out such a step — if the situation deteriorates again, or an overshooting currency undermines the inflation outlook, the ECB won’t shy away from using that instrument if necessary. Friday – 22 January 2021 Markit PMI Composite (EUR, GMT 08:30-09:0) – Final December PMI readings brought downward revisions. The manufacturing PMI was revised to 55.2 from 55.5, while the services PMI came in at 46.4, versus 47.3 in the preliminary report, although still up from 41.7 in the previous month. The composite PMI was revised down to 49.1 from 49.8, again still an improvement from the 44.3 reported for November, but no signalling ongoing contraction, rather than the stabilisation the flash reading suggested. Social distancing measures and restrictions continued to weigh on the services sector and while the outlook in December was brightened by the prospect of vaccination programs, it is pretty clear now that restrictions won’t go away any time soon and that despite vaccines it will still be a very difficult winter. That means that while the downturn in overall activity in Q4 was less severe than thought at some point, the outlook for the first quarter looks very difficult and as Market highlighted the risk of a technical recession is greater now. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Andria Pichidi Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. 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