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Apprentice wrote:
Volume Weighted Average Price (VWAP)
Unlike VAMA, VWAP handled only Inraday timeframe.
Calculate the VWAP indicator from the beginning of the trading day.
-- 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("Volume Weighted Average Price (VWAP)");
indicator:description("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);
indicator.parameters:addDouble("ONE", "First Multiplier", "" , 1);
indicator.parameters:addDouble("TWO", "Second Multiplier", "" , 2);
indicator.parameters:addDouble("THREE", "Third Multiplier", "" , 3);
indicator.parameters:addGroup("Price Type");
indicator.parameters:addString("Type", "CLOSE", "", "C");
indicator.parameters:addStringAlternative("Type", "OPEN", "", "O");
indicator.parameters:addStringAlternative("Type", "HIGH", "", "H");
indicator.parameters:addStringAlternative("Type", "LOW", "", "L");
indicator.parameters:addStringAlternative("Type","CLOSE", "", "C");
indicator.parameters:addStringAlternative("Type", "MEDIAN", "", "M");
indicator.parameters:addStringAlternative("Type", "TYPICAL", "", "T");
indicator.parameters:addStringAlternative("Type", "WEIGHTED", "", "W");
indicator.parameters:addInteger("width","Width", "", 1, 1, 5);
indicator.parameters:addInteger("style", "Style", "", core.LINE_SOLID);
indicator.parameters:setFlag("style", core.FLAG_LINE_STYLE);
indicator.parameters:addColor("VAMA_color", "Color of VWAP Line", "", core.rgb(0, 0, 255));
indicator.parameters:addGroup("First band Line Style");
indicator.parameters:addInteger("widthONE","Width", "", 1, 1, 5);
indicator.parameters:addInteger("styleONE", "Style", "", core.LINE_SOLID);
indicator.parameters:setFlag("styleONE", core.FLAG_LINE_STYLE);
indicator.parameters:addColor("ONE_color", "Band Color", "", core.rgb(255, 0, 0));
indicator.parameters:addGroup("Second band Line Style");
indicator.parameters:addInteger("widthTWO","Width", "", 1, 1, 5);
indicator.parameters:addInteger("styleTWO", "Style", "", core.LINE_SOLID);
indicator.parameters:setFlag("styleTWO", core.FLAG_LINE_STYLE);
indicator.parameters:addColor("TWO_color", "Band Color", "", core.rgb(0, 255, 0));
indicator.parameters:addGroup("Third band Line Style");
indicator.parameters:addInteger("widthTHREE","Width", "", 1, 1, 5);
indicator.parameters:addInteger("styleTHREE", "Style", "", core.LINE_SOLID);
indicator.parameters:setFlag("styleTHREE", core.FLAG_LINE_STYLE);
indicator.parameters:addColor("THREE_color", "Band Color", "", core.rgb(255, 0, 0));
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 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 Type;
local p;
local RAW;
local DEV;
local UP={};
local DOWN={};
local BAND;
local ONE;
local TWO;
local THREE;
function Prepare()
ONE=instance.parameters.ONE;
TWO=instance.parameters.TWO;
THREE=instance.parameters.THREE
Type=instance.parameters.Type;
BAND=instance.parameters.BAND;
source = instance.source;
first = source:first();
if Type == "O" then
p = source.open;
elseif Type == "H" then
p = source.high;
elseif Type == "L" then
p = source.low;
elseif Type == "M" then
p = source.median;
elseif Type == "T" then
p = source.typical;
elseif Type == "W" then
p = source.weighted;
else
p = source.close;
end
host = core.host;
offset = host:execute("getTradingDayOffset");
weekoffset = host:execute("getTradingWeekOffset");
PriceTimesVolume = instance:addInternalStream(first,0);
local name = profile:id() .. "(" .. source:name() .. ")";
instance:name(name);
VAMA = instance:addStream("VAMA", core.Line, name, "VAMA", instance.parameters.VAMA_color, first);
VAMA:setWidth(instance.parameters.width);
VAMA:setStyle(instance.parameters.style);
if BAND then
RAW=instance:addInternalStream (first, 0)
UP[1] = instance:addStream("UP"..1, core.Line, name, "UP 1", instance.parameters.ONE_color, first);
UP[1]:setWidth(instance.parameters.widthONE);
UP[1]:setStyle(instance.parameters.styleONE);
DOWN[1] = instance:addStream("DOWN"..1, core.Line, name, "DOWN 1", instance.parameters.ONE_color, first);
DOWN[1]:setWidth(instance.parameters.widthONE);
DOWN[1]:setStyle(instance.parameters.styleONE);
UP[2] = instance:addStream("UP"..2, core.Line, name, "UP 2", instance.parameters.TWO_color, first);
UP[2]:setWidth(instance.parameters.widthTWO);
UP[2]:setStyle(instance.parameters.styleTWO);
DOWN[2] = instance:addStream("DOWN"..2, core.Line, name, "DOWN 2", instance.parameters.TWO_color, first);
DOWN[2]:setWidth(instance.parameters.widthTWO);
DOWN[2]:setStyle(instance.parameters.styleTWO);
UP[3] = instance:addStream("UP"..3, core.Line, name, "UP 3", instance.parameters.THREE_color, first);
UP[3]:setWidth(instance.parameters.widthTHREE);
UP[3]:setStyle(instance.parameters.styleTHREE);
DOWN[3] = instance:addStream("DOWN"..3, core.Line, name, "DOWN 3", instance.parameters.THREE_color, first);
DOWN[3]:setWidth(instance.parameters.widthTHREE);
DOWN[3]:setStyle(instance.parameters.styleTHREE);
end
end
-- Indicator calculation routine
-- TODO: Add your code for calculation output values
function Update(period)
if period >= first and source:hasData(period) then
if core.getcandle("D1", source:date(period),0, 0) ~= s then
s, e = core.getcandle("D1", source:date(period),0, 0);
START = findDateFast(source, s, false);
end
PriceTimesVolume[period]=p[period] *source.volume[period];
if START ~= -1 then
VAMA[period] = core.sum(PriceTimesVolume,core.range(START,period))/core.sum(source.volume,core.range(START, period));
if BAND then
RAW[period] = p[period]-VAMA[period];
DEV=core.stdev (RAW, core.range(START, period));
UP[1][period]= VAMA[period] + DEV*ONE;
DOWN[1][period]=VAMA[period] - DEV*ONE;
UP[2][period]= VAMA[period] + DEV*TWO;
DOWN[2][period]=VAMA[period] - DEV*TWO;
UP[3][period]= VAMA[period] + DEV*THREE;
DOWN[3][period]=VAMA[period] - DEV*THREE;
end
end
end
end
function findDateFast(stream, date, precise)
local datesec = nil;
local periodsec = nil;
local min, max, mid;
datesec = math.floor(date * 86400 + 0.5)
min = 0;
max = stream:size() - 1;
while true do
mid = math.floor((min + max) / 2);
periodsec = math.floor(stream:date(mid) * 86400 + 0.5);
if datesec == periodsec then
return mid;
elseif datesec > periodsec then
min = mid + 1;
else
max = mid - 1;
end
if min > max then
if precise then
return -1;
else
return min - 1;
end
end
end
end
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