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Gherkin  
#1 Posted : Wednesday, January 31, 2018 1:04:19 AM(UTC)
Gherkin

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Hi guys, I've searched the forums and can only find Jose's end of day VWAP and I am wondering if anyone has made an intra day VWAP indicator? Are people calling something different here? It's a really useful tool for intra day trading in stocks so I'm a bit surprised metastock doesn't ship with it attached. Am I missing it under a different name? You use it from the open of each day (10 am in Australia, and it ends at the close 4:10pm in Australia). Does anyone else use this sort of tool? 

VWAP stands for volume weighted average price and nearly all intra day execution by insitutions use it as a benchmark

Craig

MS Support  
#2 Posted : Friday, February 2, 2018 9:45:14 PM(UTC)
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Originally Posted by: Gherkin Go to Quoted Post

Hi guys, I've searched the forums and can only find Jose's end of day VWAP and I am wondering if anyone has made an intra day VWAP indicator? Are people calling something different here? It's a really useful tool for intra day trading in stocks so I'm a bit surprised metastock doesn't ship with it attached. Am I missing it under a different name? You use it from the open of each day (10 am in Australia, and it ends at the close 4:10pm in Australia). Does anyone else use this sort of tool? 

VWAP stands for volume weighted average price and nearly all intra day execution by insitutions use it as a benchmark

Craig

Hi,

This formula should probably work. As noted, you would need to set specific date ranges (Start of trading day) to get a relatively accurate value:

Code:
AVG:=(O+H+L+C)/4;
Cum(V*AVG)/Cum(V);

Gherkin  
#3 Posted : Monday, February 5, 2018 12:54:40 AM(UTC)
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Thanks for that. I've tried this morning with the following but it does not start on the right day! I'm confused as to why it won't pin the beginning of the VWAP calculation to the day I enter

sm:=Input("starting month",1,12,2); sd:=Input("starting day of month",1,31,5); sy:=Input("starting year",1980,2100,2018); d1:= sd=DayOfMonth() AND sm=Month() AND sy=Year(); AVG:=(O+H+L+C)/4; Cum(V*AVG)/Cum(V);

Why does it calculate it from first date loaded? How do I pin it to my desired start time?

Is there a way to pin it at 10am of every day that a stock trades and leave it on my intra day charts forever? So it would reset at each day's open and start calculating from the open until the close. Leaving it on a chart is a massive advantage because you see where yesterdays VWAP was and how support resistance affects todays trading. Is this sort of thing possible with Metastock? Craig

Edited by user Monday, February 5, 2018 1:41:24 AM(UTC)  | Reason: Not specified

Gherkin  
#4 Posted : Thursday, May 28, 2020 1:15:22 AM(UTC)
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Any one know how to pin VWAP to the open for intra day data? It seems so easy, as VWAP is in almost every trading software I can see, but I can't make it work. 

Actually today I've tried every single VWAP formula that's been posted on the forums or that I've found elswhere, and only 1 VWAP formula works and it's for end of day data! Its the VWAP for support and resistance formula

VWAP is very handy for trading.

I mainly use intraday VWAP for trading but the anchored VWAP (end of day data) is meant to be useful for position trading.

Edited by user Thursday, May 28, 2020 1:48:25 AM(UTC)  | Reason: spelling and corrected an error

MS Support  
#5 Posted : Thursday, May 28, 2020 2:47:51 PM(UTC)
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Originally Posted by: Gherkin Go to Quoted Post

Any one know how to pin VWAP to the open for intra day data? It seems so easy, as VWAP is in almost every trading software I can see, but I can't make it work. 

Actually today I've tried every single VWAP formula that's been posted on the forums or that I've found elswhere, and only 1 VWAP formula works and it's for end of day data! Its the VWAP for support and resistance formula

VWAP is very handy for trading.

I mainly use intraday VWAP for trading but the anchored VWAP (end of day data) is meant to be useful for position trading.

Hello,

One thing to keep in mind is that MetaStock formulas are designed to calculate over the entirety of the data loaded into the chart.

You have defined a date in D1, but there is nothing done with D1 beyond this, so the subsequent formula just ignores this variable.

What you could possibly do is use ValueWhen in conjunction with your date, and capture the formula value at this time. Then subtract this variable from the final formula line, i.e.

Code:
AVG:=(O+H+L+C)/4;
sm:=Input("starting month",1,12,2);
sd:=Input("starting day of month",1,31,5);
sy:=Input("starting year",1980,2100,2018);
d1:=ValueWhen(1,sd=DayOfMonth() AND sm=Month() AND sy=Year(),Cum(V*AVG)/Cum(V));
Cum(V*AVG)/Cum(V)-d1;

Might need Hour() and Minute() to make it work better with intraday data but I believe this might be something along the lines of what you are looking to do.

Gherkin  
#6 Posted : Friday, May 29, 2020 4:36:04 AM(UTC)
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Thank you very much. I'll give this a try and see if I can get it to work. It honestly should come as a standard indicator because it's so widely used every day throughout the industry. All brokers and institutions measure their order execution based off VWAP, so it's literally the most used measurement of all.

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