-- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=17&t=69055 --+------------------------------------------------------------------+ --| Copyright © 2019, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --+------------------------------------------------------------------+ --| Patreon : https://goo.gl/GdXWeN | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ -- Indicator profile initialization routine -- Defines indicator profile properties and indicator parameters -- TODO: Add minimal and maximal value of numeric parameters and default color of the streams function Init() indicator:name("Weekly Volume Weighted Average Price (VWAP)") indicator:description("Weekly Volume Weighted Average Price (VWAP)") indicator:requiredSource(core.Bar) indicator:type(core.Indicator) indicator:setTag("group", "Volume Indicators") indicator.parameters:addGroup("Band Parameters") indicator.parameters:addBoolean("BAND", "Show Bands", "", true) Add(1, 1) Add(2, 2) Add(3, 3) Add(4, 4) Add(5, 5) indicator.parameters:addGroup("VWAP Parameters") indicator.parameters:addString("Price", "Price Source", "", "close") indicator.parameters:addStringAlternative("Price", "OPEN", "", "open") indicator.parameters:addStringAlternative("Price", "HIGH", "", "high") indicator.parameters:addStringAlternative("Price", "LOW", "", "low") indicator.parameters:addStringAlternative("Price", "CLOSE", "", "close") indicator.parameters:addStringAlternative("Price", "MEDIAN", "", "median") indicator.parameters:addStringAlternative("Price", "TYPICAL", "", "typical") indicator.parameters:addStringAlternative("Price", "WEIGHTED", "", "weighted") indicator.parameters:addString("StartTime", "Start Time for Trading, NY TZ", "", "00:00:00"); indicator.parameters:addString("StopTime", "Stop Time for Trading, NY TZ", "", "23:15:00"); indicator.parameters:addGroup("Style Parameters") indicator.parameters:addColor("VAMA_color", "Color of VWAP Central Line", "", core.rgb(0, 0, 255)) indicator.parameters:addInteger("width", "Width", "", 1, 1, 5) indicator.parameters:addInteger("style", "Style", "", core.LINE_SOLID) indicator.parameters:setFlag("style", core.FLAG_LINE_STYLE) AddStyle(1, core.rgb(128, 128, 128)) AddStyle(2, core.rgb(255, 0, 0)) AddStyle(3, core.rgb(255, 128, 0)) AddStyle(4, core.rgb(128, 255, 0)) AddStyle(5, core.rgb(0, 255, 0)) end function AddStyle(id, Color) indicator.parameters:addColor("Color" .. id, id .. ". Deviation Band Color ", "", Color) indicator.parameters:addInteger("Width" .. id, "Width", "", 1, 1, 5) indicator.parameters:addInteger("Style" .. id, "Style", "", core.LINE_SOLID) indicator.parameters:setFlag("Style" .. id, core.FLAG_LINE_STYLE) end function Add(id, Level) indicator.parameters:addBoolean("On" .. id, "Show " .. id .. ". Deviation Band", "", true) indicator.parameters:addDouble("Level" .. id, id .. ". Multiplier", "", Level) end -- Indicator instance initialization routine -- Processes indicator parameters and creates output streams -- TODO: Refine the first period calculation for each of the output streams. -- TODO: Calculate all constants, create instances all subsequent indicators and load all required libraries local On = {} local first local source = nil local PriceTimesVolume local VAMA = nil local host local offset local weekoffset local s = nil local e = nil local START = nil local Price local RAW local DEV local UP = {} local DOWN = {} local BAND local Level = {} local Style = {} local Width = {} local Color = {} local OpenTime, CloseTime; function Prepare(nameOnly) Price = instance.parameters.Price Type = instance.parameters.Type BAND = instance.parameters.BAND source = instance.source first = source:first() local name = profile:id() .. "(" .. source:name() .. ")" instance:name(name) if nameOnly then return; end OpenTime, valid = ParseTime(instance.parameters.StartTime); assert(valid, "Time " .. instance.parameters.StartTime .. " is invalid"); CloseTime, valid = ParseTime(instance.parameters.StopTime); assert(valid, "Time " .. instance.parameters.StopTime .. " is invalid"); local i for i = 1, 5, 1 do Level[i] = instance.parameters:getDouble("Level" .. i) On[i] = instance.parameters:getBoolean("On" .. i) Style[i] = instance.parameters:getDouble("Style" .. i) Width[i] = instance.parameters:getDouble("Width" .. i) Color[i] = instance.parameters:getDouble("Color" .. i) if BAND then RAW = instance:addInternalStream(0, 0) if On[i] then UP[i] = instance:addStream("UP" .. i, core.Line, name, i, Color[i], first) UP[i]:setWidth(Width[i]) UP[i]:setStyle(Style[i]) DOWN[i] = instance:addStream("DOWN" .. i, core.Line, name, i, Color[i], first) DOWN[i]:setWidth(Width[i]) DOWN[i]:setStyle(Style[i]) end end end host = core.host offset = host:execute("getTradingDayOffset") weekoffset = host:execute("getTradingWeekOffset") PriceTimesVolume = instance:addInternalStream(first, 0) VAMA = instance:addStream("VAMA", core.Line, name, "VAMA", instance.parameters.VAMA_color, first) VAMA:setWidth(instance.parameters.width) VAMA:setStyle(instance.parameters.style) end function ParseTime(time) local pos = string.find(time, ":"); if pos == nil then return nil, false; end local h = tonumber(string.sub(time, 1, pos - 1)); time = string.sub(time, pos + 1); pos = string.find(time, ":"); if pos == nil then return nil, false; end local m = tonumber(string.sub(time, 1, pos - 1)); local s = tonumber(string.sub(time, pos + 1)); return (h / 24.0 + m / 1440.0 + s / 86400.0), -- time in ole format ((h >= 0 and h < 24 and m >= 0 and m < 60 and s >= 0 and s < 60) or (h == 24 and m == 0 and s == 0)); -- validity flag end local start = nil; function Update(period) if period < first or not source:hasData(period) then return end local date = source:date(period); local dt = core.dateToTable(date); if dt.wday == 8 or dt.wday == 1 or (dt.wday == 7 and math.floor(date) + CloseTime < date) or (dt.wday == 2 and math.floor(date) + OpenTime > date) or (start ~= nil and start > period) then start = nil; return; end if start == nil then start = period; end PriceTimesVolume[period] = source[Price][period] * source.volume[period] VAMA[period] = core.sum(PriceTimesVolume, core.range(start, period)) / core.sum(source.volume, core.range(start, period)) if BAND then RAW[period] = source[Price][period] - VAMA[period] DEV = core.stdev(RAW, core.range(start, period)) for i = 1, 5, 1 do if On[i] then UP[i][period] = VAMA[period] + DEV * Level[i] DOWN[i][period] = VAMA[period] - DEV * Level[i] end end end end