Notes

// TerryH - arivelle.com 3/9/2012
// Move AvgPrice computation before the loop so it's only done ONCE in an array.
// Replace SetBarsRequired with only computing visible bars...back to the start of the oldest time period even if it's "off screen".
// These 2 changes make it run in 1/12th the time. No doubt database dependent on how much time is saved.// VWAP code that also plots 3 standard deviations.
// I think more savings is possible, but will take a harder look to find.

// NOTE: the code is SLOOOOWWWW...can someone help speed it up?
// I tried my best, but can't really do much with the two for-loops...
//
// LarryJR -

SetBarsRequired(-2,-2);
_TRACE( "!CLEAR!" ); //For trouble-shooting

//PlotOHLC( O, H, L, C, "Price", colorDefault, styleCandle );
_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();

//Just do this once as an array. Saves 40% the compute time from ~ 1 second to ~ .6 seconds
AvgPrice = ( O + H + L + C ) / 4;

// Store true/false based on a new calendar day...
// Added Weekly, Monthly breaks.
// Also for futures, need to add break at new trading Day, which is NOT midnight.

period = ParamList( "What period?", "Daily|Weekly|Monthly", 0 );

switch ( period )
{

case "Daily":
newPeriod = Day() != Ref( Day(), -1 );
break;

case "Weekly":
newPeriod = DayOfWeek() == 0 AND Ref( DayOfWeek(), -1 ) != 0;
break;

case "Monthly":
newPeriod = Month() != Ref( Month(), -1 );
break;
}

//--Setup-----------

bi = BarIndex(); // Just shorthand
StartBar = StrToNum("2"); //1st bar == 0. Set to 1 so Ref(xxx, -1) doesn't give an error
EndBar = BarCount -1;
ExtraBarsRequired = 0;

//CalcRangeAll = ParamToggle( "Calc ALL or VISIBLE?", "VISIBLE|ALL", 0 ); //Option to compute all bars in case of Backtesting or Explore if you add this kind of code.

if ( Status( "action" ) < 3 ) // Limit to visible range unless we're doing Backtest, Explore, Scan, Optimize.
// In other words, for viewing/commentary we only compute what we can see.
// Saves add'l 85% the compute time from ~ .6 second to ~ .09 seconds.
{
//This code finds only the VISIBLE chart area, which may or may not be the most recent day. This let's me look at any day for evaulation purposes.
FirstVisibleBar = FirstVisibleValue( bi );
_TRACE( "1st Visible: " + FirstVisibleBar );
LastVisibleBar = LastVisibleValue( bi ); //Testing shows this returns BarIndex (0 based) values. So, if you want to use in a loop the last value IS the last bar.
VisibleBars = LastVisibleBar - FirstVisibleBar; //Used in trouble-shooting.
_TRACE( "1st Visible: " + FirstVisibleBar + " Last Visible: " + LastVisibleBar + " #bars: " + VisibleBars );

StartBar = FirstVisibleBar; //We get variable results when there are not 2 periods of data available so we won't show them at all.
EndBar = LastVisibleBar;
flag = StrToNum( "0" ); //Force a numeric value

for ( k = FirstVisibleBar; k > 0; k-- )
{
if ( newPeriod[k] )
{
flag++;

if ( flag == 2 ) //Need to lookback 2 periods if possible
{
StartBar = k; //Set starting location
k = 0; //End the loop
}
}
}

if ( flag < 2 ) //We have less than 2 periods of history to the left, so we must start displaying no sooner than the 1st newPeriod that is on-screen
{
for ( k = 1; k < EndBar; k++ )
{
if ( newPeriod[k] )
{
StartBar = k;
k = EndBar;
}
}
}
}

_TRACE("1st Required: " + StartBar + " Last Required: " + EndBar + " Extra Bars: " + ExtraBarsRequired + " Bar in Database: " + BarCount );

// Initialize loop variables
SumPriceVolume = 0;
totVolume = 0;
VWAP = 0;
stddev = 0;
newPeriodindex = EndBar; //Move way out until we find a "real one"
Variance = 0;
//Initialize the plotted variables for early data we cannot compute without getting variable results.
VWAP = C[1];
stddev_1_pos = stddev_1_neg = stddev_2_pos = stddev_2_neg = stddev_3_pos = stddev_3_neg = C[1];

// we must use a loop here because we need to save the vwap for each bar to calc the variance later

for ( i = startBar; i <= EndBar; i++ )
{
// only want to reset our values at the start of a new period
if ( newPeriod[i] )
{
SumPriceVolume = 0;
totVolume = 0;
newPeriodindex = i; // this is the index at the start of a new period
Variance = 0;
}

// Sum of Volume*price for each bar
sumPriceVolume += AvgPrice[i] * ( Volume[i] );

// running total of volume each bar
totVolume += ( Volume[i] );

if ( totVolume[i] > 0 )
{
VWAP[i] = Sumpricevolume / totVolume ;
VWAPtemp = VWAP[i];
}

// now the hard part...calculate the variance...
// a separate calc from the start of each day - note it requires the vwap from above
// also note, we calculate starting at the first bar in the new day to today to the curent bar
Variance = 0;

for ( j = newPeriodindex; j < i; j++ )
{
Variance += ( Volume[j] / totVolume ) * ( Avgprice[j] - VWAPtemp ) * ( Avgprice[j] - VWAPtemp );
}

sqrtVariance = sqrt( Variance );

stddev_1_pos[i] = VWAPtemp + sqrtVariance;
stddev_1_neg[i] = VWAPtemp - sqrtVariance;

stddev_2_pos[i] = VWAPtemp + sqrtVariance * 2;
stddev_2_neg[i] = VWAPtemp - sqrtVariance * 2;

stddev_3_pos[i] = VWAPtemp + sqrtVariance * 3;
stddev_3_neg[i] = VWAPtemp - sqrtVariance * 3;
}

//Prior period VWAP centerline
PPC = ValueWhen( newPeriod == True, Ref(VWAP, -1), 1);
Plot ( PPC, "PPC", colorBlue, styleDots|styleNoLine|styleNoRescale );
Plot ( VWAP, "VWAP", colorBlue, styleLine );
Plot ( stddev_1_pos, "VWAP_std+1", ColorRGB( 128, 0, 0 ), styleDashed );
Plot ( stddev_1_neg, "VWAP_std-1", ColorRGB( 0, 128, 0 ), styleDashed );
Plot ( stddev_2_pos, "VWAP_std+2", colorRed, styleDashed | styleThick );
Plot ( stddev_2_neg, "VWAP_std-2", colorGreen, styleDashed | styleThick );
Plot ( stddev_3_pos, "VWAP_std+3", colorDarkRed, styleDots | styleThick );
Plot ( stddev_3_neg, "VWAP_std-3", colorDarkGreen, styleDots | styleThick );

_SECTION_BEGIN("VAP");
segments = IIf( Interval() < inDaily, Day(), Month() );
segments = segments != Ref( segments , -1 );

PlotVAPOverlayA( segments , Param("Lines", 300, 100, 1000, 1 ), Param("Width", 80, 1, 100, 1 ), ParamColor("Color", ColorRGB(255,245,200) ), ParamToggle("Side", "Left|Right" ) | 2 * ParamToggle("Style", "Fill|Lines", 0) | 4*ParamToggle("Z-order", "On top|Behind", 1 ) );
Plot(segments, "", colorLightGrey, styleHistogram | styleOwnScale );
_SECTION_END();

_SECTION_BEGIN("vwap anchore II");
function NewDataJustArrived() {
// function by T. Janeczko
// mod. by fxshrat to check for new price data too
vname = "lbe" + GetChartID();
prev = Nz( StaticVarGet( vname ) );
curr = Status( "lastbarend" );
StaticVarSet( vname, curr );
//
lastC = LastValue(C);
prevC = Nz( StaticVarGet( vname + "_Close" ) );
StaticVarSet( vname + "_Close", lastC );

return curr != prev || lastc != prevC;
}

/// VWAP-Multi-Storage AFL
/// by fxshrat
/// it uses CTRL + mouse button click toi set lines (read instructions in chart title
/// code updates lines on new incoming price data.
///
/// modified from GUI version


dt = DateTime();
sdt = SelectedValue(dt);
newbar = NewDataJustArrived();

gcmb = GetCursorMouseButtons();
lmb = gcmb == 9;
mmb = gcmb == 12;
CTRL = GetAsyncKeyState(17) < 0;

mp = C;
PV = mp * V;
CV = Cum( V );
CumPV = Cum( PV );

start = dt == sdt;
num = Cum( PV ) - ValueWhen( start, Cum( PV ) );
denom = CV - ValueWhen( start, CV );
vwap = IIf( BarsSince(start) > 0, num / Max(1, denom), mp );

nm = Name();
vwapstr = nm + "VWAP";
cntstr = nm + "VWAP_cnt";
dnstr = nm + "VWAP_DN";

if( CTRL && lmb ) {
staticget = Nz( StaticVarGet( cntstr ) );
Say( "Store V.W.A.P."+(staticget+1) );
StaticVarSet( cntstr, staticget+1, True );
StaticVarSet( vwapstr + staticget, vwap, True );
StaticVarSet(dnstr + staticget, sdt, True );
}

if( CTRL && mmb ) {
Say( "Reset VWAPs" );
StaticVarRemove( vwapstr + "*" );
StaticVarRemove( dnstr + "*" );
StaticVarRemove( cntstr );
}

// Output
SetChartOptions( 0, chartShowDates | chartWrapTitle );
Plot( C, Date() + " - Close", colorYellow, styleBar );
Plot( vwap, "VWAPselect" + _PARAM_VALUES(), colorOrange, styleThick );

for( i = 0; i < Nz(StaticVarGet( cntstr )); i++ ) {
if( newbar ) {
Say( "This is new bar or new data!" );
staticsd = StaticVarGet( dnstr + i );
staticstart = dt == staticsd;
staticnum = CumPV - ValueWhen( staticstart, CumPV );
staticdenom = CV - ValueWhen( staticstart, CV );
static_vwap = IIf( BarsSince( staticstart ) > 0, staticnum / Max(1, staticdenom), mp );
StaticVarSet( vwapstr + i, static_vwap, True );
}

Plot( StaticVarGet(vwapstr + i ), "VWAP" + (i+1) + _PARAM_VALUES(), colorYellow, styleThick );
}

if( Nz( LastValue(StaticVarGet( vwapstr + "0" ) )) == 0)
Title = EncodeColor(colorRed) + "1. Hold CTRL key!n2. Click left mouse button to create linesn3. Click CTRL + Middle mouse button to delete linesn{{VALUES}}";
_SECTION_END();