TS Tick by Tick PVP Plotted with VWAP and SD Bands

Anglehall · March 12, 2011

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.

proton242 · April 20, 2011

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

BlowFish · April 21, 2011

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.

BlowFish · April 21, 2011

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;

proton242 · April 21, 2011

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

BlowFish · April 22, 2011

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.

BlowFish · April 22, 2011

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");

proton242 · April 22, 2011

BlowFish i really don't know how to thank you for your help, your script work very well!

Thank you again, :thumbs up:

BlowFish · April 22, 2011

No problem, at least you had a go yourself, many don't get that far! And to be honest it was just cutting code I already had and pasting it in the appropriate place.

proton242 · June 1, 2011

BlowFish another big help, rather than insert number of days is possible insert date range? Like "from day x to day y"? Thank you

BlowFish · June 2, 2011

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.

proton242 · June 2, 2011

Many thanks BlowFish, i try to add remaining code. Thank you again!

markhammon · July 23, 2011

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

swisstrader · August 12, 2011

Does someone has adapted the EL Collections dll for multi-threaded platform?

thank you for a reply

-swisstrader

markhammon · September 7, 2011

Hello swisstrader,

your question about the ELCollection has something to do with Vwap and custom start?

thanks

mark

Tom Joad · September 9, 2011

My platform and 'OEC and I would need a different language .... wonderful work. Congratulations Sorry for my English ... I'm Italian:)

markhammon · September 10, 2011

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

Tams · September 10, 2011

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?

markhammon · September 11, 2011

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

BlowFish · September 12, 2011

Did you define a variable StartCalcDate ?

markhammon · September 12, 2011

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

BlowFish · September 13, 2011

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

markhammon · September 19, 2011

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

bomberone1 · October 2, 2011

Any other futures improvments?

Sandov · October 21, 2011

it wont match matrix pvp....

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