VWAP indicator based on period separator

Trabajo finalizado

Plazo de ejecución 65 días
Comentario del Ejecutor
Excellent communication, very helpful and great understanding. A pleasure to work for him.
Comentario del Cliente
Very detail and will do his best to deliver the best solution for you.

Tarea técnica

I need a help to code VWAP (Volume Weighted Average Price) which is a very common indicators that used in futures market. At the end of the project, I would need the source code.


The main math formula I found from online is



Please refer to the attached picture below for my desired outcome.

To simplify my requirement, I will put it into bullets points

  1. The VWAP indicators will reset based on daily basic. When new days reached, the VWAP will begin from 0 again.
  2. Continue from above, I need an inputs that can allow me the period of resetting, just use period timeframe, where i can choose for it to reset on daily/weekly/monthly basic. (to avoid error, help me check if the current time frame is smaller than input's desired reset period)
  3. Follow the math equation above to calculate the center or VWAP lines
  4. The range/bands upside and downside band is measured using standard deviation (0.5, 1.0, 1.5, 2.0)
  5. Set input parameters of the gap. For default, I want the up down band as 0.5, 1.0, 1.5, 2.0 standard deviation (4 levels needed - 1 more level than above one)(let it be a float number where i can key in later on)
  6. The colour used if can choose the one have gradient (also allow to make changes), for default, can just follow the picture above.
  7. Volume calculation can choose to based on either Tick volume or Real volume
  8. Input: Data source to choose can be ticks, M1, M5, M15, M30
  9. Input: Period count - For the case where the calculation of VWAP on entire chart will be time consuming, by default let it only count on past 30 days of VWAP. The '30' is the inputs I can define later
  10. On data windows, I would like to know the angle of previous VWAP value relative to current VWAP and 2 period earlier VWAP. In simple term, angle of 3 points between shift 1,2,and 3. Refer picture below.
  11.  

Resources: https://www.mql5.com/en/code/28523 

I found this code available on code based but is displayed in histogram. It will be great if I can see the volume profile development as the time past (which is VWAP). Perhaps you can use the code available here to start working. Feel free to contact with me for any clearification.



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