VWAP Implementation

[Salvatore Rossitto]

Implement a Volume Wieghted Average Price is not a difficult thing on pathfinder,

take a look to the formula:

46bad117567e483aade6089e9cdad0ca.png

as you know any variable on pathfinder become a vector so it keep trace of previous values,
this is the key that make simple this kind of implementations with pathscript, the above formula can be written as follow:

SET INSTVWAP = (OPEN * VOLUME) / VOLUME

SET VWAP = SMA(INSTVWAP, 20)

An ready to use indicator is attached for download.

VWap Image.jpg

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[Hallst10]

Salvatore,

Saw your VWAP implementation. I just opened both a futures and FX account through Fastbrokers and might need your assistance on coding some custom indicators. Is PathFinder Trader offering price/volume profile to be used with the VWAP? Can I use +/- 1, 2 standard deviations based on the distance from the VWAP? I have a Trade Station/Easy Language and Ninja Trader script codes for the VWAP/SD study I need, can I use that in PFT?

Regards,
Halli.

[Salvatore Rossitto]

Salvatore,

Saw your VWAP implementation. I just opened both a futures and FX account through Fastbrokers and might need your assistance on coding some custom indicators. Is PathFinder Trader offering price/volume profile to be used with the VWAP? Can I use +/- 1, 2 standard deviations based on the distance from the VWAP? I have a Trade Station/Easy Language and Ninja Trader script codes for the VWAP/SD study I need, can I use that in PFT?

Regards,
Halli.

Dear Hallst10,
you will have all assistence you need from me.
I can't say if your scripts are doable in PathFinder, I should take a look at the code before.

Don't hesitate to contact me.

[Hallst10]

Salvatore,

Thanks for your quick reply. Does PathFinder Trader offer volume profile? It must be since you have implemented the VWAP indicator.

If I send you a link to the Trade Station ELD file, can you take it from there, that is, code it in PathScript? I know of group of traders who have asked for this study in Ninja Trader, Sierra, MultiCharts, etc. and I am sure they would be happy if you have it available for them.

How can I import the VWAP study into my charts?

Regards,
Halli.

[Salvatore Rossitto]

Salvatore,

Thanks for your quick reply. Does PathFinder Trader offer volume profile? It must be since you have implemented the VWAP indicator.

If I send you a link to the Trade Station ELD file, can you take it from there, that is, code it in PathScript? I know of group of traders who have asked for this study in Ninja Trader, Sierra, MultiCharts, etc. and I am sure they would be happy if you have it available for them.

How can I import the VWAP study into my charts?

Regards,
Halli.

Hello Hallst1,
Yes, you can use volume in your strategies and indicators.
I arlready worked with easylanguage, mql and many other languages so, send me the link, i will take a look.
To import the indicator follow these steps:

Open the code editor (if pf is open Click on Scripting->Custom Ind. Editor)
In the editor Go to File->Import From File
Select the indicator file and import it.
Now you will find the script on the custom indicators list.

PS: If you are interested in volume studies, take a look to Volume Tab in chart properties, you will appreciate it.

[Hallst10]

Thanks for willing to assist me. I managed to open the VWAP indicator in PFT.
If you click on the link below, you see what type of an indicator I am looking for. You can see an .ELD and some screen shots there

http://www.traderslaboratory.com/for...vwap-3647.html

Regards,
Halli.

[Salvatore Rossitto]

Thanks for willing to assist me. I managed to open the VWAP indicator in PFT.
If you click on the link below, you see what type of an indicator I am looking for. You can see an .ELD and some screen shots there

http://www.traderslaboratory.com/for...vwap-3647.html

Regards,
Halli.

Hello Hallst10,
I got the indicators, leave me the time to take a look i will give you news asap.

[Hallst10]

Ok excellent Salvatore.

As I said I know a group of traders found at traderslaboratory.com, elitetrader.com, trade2win.com etc. who would really appreciate this study. But it has to be calculated correctly, I am currently using Ensign for my charts and its VWAP study is correct but its standard deviations are not calculated correctly.

But the code (.ELD file) found in the link I sent you should be correct. So if you can somehow convert that code to PathScript, I am sure many traders would consider your PFT platform.

Do not hesitate to contact me if you need further info. I might send you an email with a screen shot of the study I am looking for.

Regards,
Halli.

[Salvatore Rossitto]

Hello Hallst10,
I have done some modify on VWAP, because a noticed the volume wasn't influencing the value.
I have also added 3 levels Standard Deviation on it.
Periods are 20 on vwap and sd also but you can change these values in the code.

About PVP, we has not implemented Ticks volume studies in PathScript.
Our charts already provide advanced volume studies on volume studies tab under chart properties ( right click on chart and click property)
I think that a 15 minutes Volume Analisys will be useful as well as the PVP.

[Hallst10]

Salvatore,

Thanks for taking a look at the VWAP for me.

I do not know why you are using the 20 period setting for VWAP and SD. The VWAP should be run at market open (9:30) and should use the available volume coming into the market. Then the SD should be calculated from the developing VWAP.

Actually we do not need tick charts for the study, Ensign for instance just assumes that volume is equally distributed within each bar. So it takes the volume for each 2m bar and just averages the open+high+low+close/4.

You say the platform offers advanced volume studies. Could you please explain to me what these are for and how they work.

Regards,
Halli.