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RTH vwap on ETH chart


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RTH vwap on ETH chart

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  #1 (permalink)
Atlanta
 
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Posts: 19 since Oct 2014
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Does anyone know how to plot a RTH vwap on an ETH chart on TOS?

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  #2 (permalink)
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Looks like it plots fine to me. Can you be more specific or maybe show a screenshot of the issue?

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  #3 (permalink)
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kjhosken View Post
Looks like it plots fine to me. Can you be more specific or maybe show a screenshot of the issue?

This is plotting the VWAP, beginning the aggregation overnight. OP is looking for a VWAP that begins aggregating at 9:30 regardless of if the chart is set to show extended hours or not.

I'm interested in knowing if this is possible as well.

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  #4 (permalink)
Seattle, WA/USA
 
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mtzimmer1 View Post
This is plotting the VWAP, beginning the aggregation overnight. OP is looking for a VWAP that begins aggregating at 9:30 regardless of if the chart is set to show extended hours or not.

I'm interested in knowing if this is possible as well.

Here's what I came up with, should be able to define the start and stop time you want:
 
Code
#VWAP by RTH start by The PNW Yeti
plot Data = close;
input numDevDn  = -2.0;
input numDevUp  = 2.0;
input rthopen = 930;
input rthclose = 1600;

def OpeningBell = if SecondsFromTime(rthopen) >= 0 and
               SecondstillTime(rthclose) >= 0 then 1 else 0; 
def volumeSum   = if OpeningBell == 1 then CompoundValue(1, volumeSum[1] + volume, volume) else 0;
def volumeVwapSum  = if OpeningBell == 1 then CompoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap) else 0;
def volumeVwap2Sum = if OpeningBell == 1 then CompoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap)) else 0;

def price     = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

plot VWAP      = price;
plot UpperBand = price + numDevUp * deviation;
plot LowerBand = price + numDevDn * deviation;

VWAP.SetDefaultColor(GetColor(0));
UpperBand.SetDefaultColor(GetColor(2));
LowerBand.SetDefaultColor(GetColor(4));

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  #5 (permalink)
Atlanta
 
Experience: Beginner
Platform: Ib
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Posts: 19 since Oct 2014
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kjhosken View Post
Here's what I came up with, should be able to define the start and stop time you want:
 
Code
#VWAP by RTH start by The PNW Yeti
plot Data = close;
input numDevDn  = -2.0;
input numDevUp  = 2.0;
input rthopen = 930;
input rthclose = 1600;

def OpeningBell = if SecondsFromTime(rthopen) >= 0 and
               SecondstillTime(rthclose) >= 0 then 1 else 0; 
def volumeSum   = if OpeningBell == 1 then CompoundValue(1, volumeSum[1] + volume, volume) else 0;
def volumeVwapSum  = if OpeningBell == 1 then CompoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap) else 0;
def volumeVwap2Sum = if OpeningBell == 1 then CompoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap)) else 0;

def price     = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

plot VWAP      = price;
plot UpperBand = price + numDevUp * deviation;
plot LowerBand = price + numDevDn * deviation;

VWAP.SetDefaultColor(GetColor(0));
UpperBand.SetDefaultColor(GetColor(2));
LowerBand.SetDefaultColor(GetColor(4));

This is perfect! Thanks!

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