How can I calculate Anchor VWAP data values in specific range of dates

AFL Programming
1

Hello dears, how can I calculate Anchor VWAP data values in specific range of dates?


																		// 	Indicator Defination
												//===================================================================================================
												//===================================================================================================

												// Indicator : VWAP-Anchor-Bands(Percentage && STD(01-09-2024)) Indicator.
												// Author    : Ahmad Elsayed Ibrahim
												// Options   : Get VWAP && Bands based on Standard devision or factors.
												// Exploration used to calculate VWAP and Bands data values.

												//===================================================================================================
												//===================================================================================================


//============================================================================================================================================================================================================================================
//============================================================================================================================================================================================================================================
//===================================================================================================
//===================================================================================================
/// VWAP code that also plots standard deviations...if you want a 3rd...it should be fairly simple to add 
//
// 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 - ljr500@hotmail.com
 
// need this line or else when u scroll 1 min chart over a few days, the vwap bars may change
// size (which is wrong) because of the QuickAFL processing code 
// so we ensure we have enough bars loaded for at least a couple of days... set the number appropriately.
//===================================================================================================
//===================================================================================================
SetBarsRequired( 10000, 0 );
dd = ParamStr("Date section","-----------------------------------------");
//BasedDate   = ParamToggle( "Based Date Activation", "OFF|ON", 0 );
StartDateTime = ParamDate("Start Date","2023-08-01",0);
EndDateTime   = ParamDate("End Date","2023-08-30 ",0);
WP  			  = ParamStr( "VWAP Param","--------------------------------------------------------");
Anchorperiod = ParamList( "Anchor Period", "Daily|Weekly|Monthly|dateRange", 0 );
// this stores true/false based on a new day...
VWAPFPs    = ParamList ( "VWAPFPs", "Open|High|Low|Close|High-Low|High-Low-Close",5 );
VWAPStyle  = ParamStyle( "VWAP Style" , styleNoDraw );
VWAPClr    = ParamColor( "VWAP Clr"    , colorGreen);
//--------------------------------
//--------------------------------
bands  		  = ParamStr  ( "Bands Param","--------------------------------------------------------");
BnadsMode     = ParamList ( "Bnads Mode"     , "Precentage|STD",1 );
Bnadsfactor   = Param     ( "Bnads Factor"   , 1, 0.0000000005, 1000000000, 0.5, sincr = 0 ) ; 
BnadsRule     = ParamList ( "Bnads Rule"     , "+|-",0 );
BnadsStyle    = ParamStyle( "Bnads Style"    , styleNoDraw );
BnadsClr      = ParamColor( "Bnads Clr"      , colorGreen);
//---
BnadsMode1     = ParamList ( "Bnads Mode1"   , "Precentage|STD",1 );
Bnadsfactor1   = Param     ( "Bnad  Factor1" , 1, 0.0000000005, 1000000000, 0.5, sincr = 0 ) ; 
BnadsRule1     = ParamList ( "Bnads Rule1"   , "+|-",0 );
BnadsStyle1    = ParamStyle( "Bnads Style1"  , styleNoDraw );
BnadsClr1      = ParamColor( "Bnads Clr1"    , colorRed);
//--------------------------------
//--------------------------------
bands1  	   = ParamStr  ( "Bands1 Param","--------------------------------------------------------");
Bnads1Mode     = ParamList ( "Bnads1 Mode"    , "Precentage|STD",1 );
Bnads1factor   = Param     ( "Bnads1 Factor"  , 1, 0.0000000005, 1000000000, 0.5, sincr = 0 ) ; 
Bnads1Rule     = ParamList ( "Bnads1 Rule"    , "+|-",0 );
Bnads1Style    = ParamStyle( "Bnads1 Style"   , styleNoDraw );
Bnads1Clr      = ParamColor( "Bnads1 Clr"     , colorGreen);
//---
Bnads1Mode1    = ParamList ( "Bnads1 Mode1"   , "Precentage|STD",1 );
Bnads1factor1  = Param     ( "Bnads1 Factor1" , 1, 0.0000000005, 1000000000, 0.5, sincr = 0 ) ; 
Bnads1Rule1    = ParamList ( "Bnads1 Rule1"   , "+|-",0 );
Bnads1Style1   = ParamStyle( "Bnads1 Style1"  , styleNoDraw );
Bnads1Clr1     = ParamColor( "Bnads1 Clr1"    , colorRed);
//--------------------------------
//--------------------------------
bands2  	   = ParamStr  ( "Bands2 Param","--------------------------------------------------------");
Bnads2Mode     = ParamList ( "Bnads2 Mode"    , "Precentage|STD",1 );
Bnads2factor   = Param     ( "Bnads2 Factor"  , 1, 0.0000000005, 1000000000, 0.5, sincr = 0 ) ; 
Bnads2Rule     = ParamList ( "Bnads2 Rule"    , "+|-",0 );
Bnads2Style    = ParamStyle( "Bnads2 Style"   , styleNoDraw );
Bnads2Clr      = ParamColor( "Bnads2 Clr"     , colorGreen);
//---
Bnads2Mode1    = ParamList ( "Bnads2 Mode1"   , "Precentage|STD",1 );
Bnads2factor1  = Param     ( "Bnads2 Factor1" , 1, 0.0000000005, 1000000000, 0.5, sincr = 0 ) ; 
Bnads2Rule1    = ParamList ( "Bnads2 Rule1"   , "+|-",0 );
Bnads2Style1   = ParamStyle( "Bnads2 Style1"  , styleNoDraw );
Bnads2Clr1     = ParamColor( "Bnads2 Clr1"    , colorRed);
//===================================================================================================
//===================================================================================================

switch ( Anchorperiod )
{

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

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

case "Monthly":
    newday = Month() != Ref( Month(), -1 );
    break;
case "dateRange":
    newday = ??????????;
    break;
}
//===================================================================================================
//===================================================================================================
SumPriceVolume =0;
totVolume      =0;
Vwap2          =0;
stddev         =0;
newdayindex    =0;
Variance       =0;
//--------------------------------
//--------------------------------
// we must use a loop here because we need to save the vwap for each bar to calc the variance later
for( i= 0; i < BarCount; i++ ) 
{ 
    // only want to reset our values at the start of a new day
    if (newday[i]==True)
    {
        SumPriceVolume=0;
        totVolume=0;
        newdayindex=i;  // this is the index at the start of a new day
        Variance=0;
        //Vwap2=0;
    }
    //AvgPrice=( H[i] + L[i] + C[i])/3;
    //--------------------------------
    //--------------------------------
	switch( VWAPFPs )
	{
		case "Open":
			AvgPrice = O[i];
			break;

		case "High":
			AvgPrice = H[i];
			break;

		case "Low":
			AvgPrice = L[i];
			break;

		case "Close":
			AvgPrice = C[i];
			break;

		case "High-Low":
			AvgPrice = ( H[i] + L[i]  )/2;
			break;

		case "High-Low-Close":
			AvgPrice = ( H[i] + L[i] + C[i])/3;
			break;

	}
    
    //--------------------------------
    //--------------------------------
 
    // Sum of Volume*price for each bar
    sumPriceVolume += AvgPrice * (Volume[i]);
         
    // running total of volume each bar
    totVolume += (Volume[i]);       
 
    if (totVolume[i] >0)
    {   
        Vwap2[i]=Sumpricevolume / totVolume ;
        Vwap2temp=Vwap2[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=newdayindex; j < i; j++)
    {
        //AvgPrice=( H[j] + L[j] + C[j])/3;
        
		switch( VWAPFPs )
		{
			case "Open":
				AvgPrice = O[j];
				break;

			case "High":
				AvgPrice = H[j];
				break;

			case "Low":
				AvgPrice = L[j];
				break;

			case "Close":
				AvgPrice = C[j];
				break;

			case "High-Low":
				AvgPrice = ( H[j] + L[j] )/2;
				break;

			case "High-Low-Close":
				AvgPrice = ( H[j] + L[j] + C[j])/3;
				break;

		}
		
        
        
        
        Variance += (Volume[j]/totVolume) * (Avgprice-Vwap2temp)*(Avgprice-Vwap2temp);
    }
    //--------------------------------
    //--------------------------------
    /*
    stddev_1_pos[i]=Vwap2temp + sqrt(Variance);
    stddev_1_neg[i]=Vwap2temp - sqrt(Variance);
 
    stddev_2_pos[i]=Vwap2temp + 2*sqrt(Variance);
    stddev_2_neg[i]=Vwap2temp - 2*sqrt(Variance);
    */
    //--------------------------------
    //--------------------------------
    // Bands * factors
    Bnadsval  = Vwap2 * Bnadsfactor;
    Bnads1val = Vwap2 * Bnads1factor;
    Bnads2val = Vwap2 * Bnads2factor;
    //--------
    std  = sqrt(Variance) * Bnadsfactor;
    std1 = sqrt(Variance) * Bnads1factor;
    std2 = sqrt(Variance) * Bnads2factor;
    //--------------------------------
    //--------------------------------
    

	
    
} 
//===================================================================================================
//===================================================================================================
//Plot (Vwap2,"VWAP2",VWAPclr, styleLine);
switch( BnadsMode )
{
	case "Precentage":
		FBnadsval = IIf( BnadsRule == "+", Vwap2  +   Bnadsval, Vwap2     - Bnadsval );
		break;
	case "STD":
		FBnadsval = IIf( BnadsRule == "+" , Vwap2 +   std, Vwap2  - std );
		break;
}

switch( BnadsMode1 )
{
	case "Precentage":
		FBnadsval1 = IIf( BnadsRule1 == "+" , Vwap2  +   Bnadsval, Vwap2     - Bnadsval );
		break;
	case "STD":
		FBnadsval1 = IIf( BnadsRule1 == "+" , Vwap2 +   std, Vwap2  - std );
		break;
}

//-------------------------
switch( Bnads1Mode )
{
	case "Precentage":
		FBnads1val = IIf( Bnads1Rule == "+" , Vwap2  +   Bnads1val, Vwap2     - Bnads1val );
		break;
	case "STD":
		FBnads1val = IIf( Bnads1Rule == "+" , Vwap2 +   std1, Vwap2  - std1 );
		break;
}

switch( Bnads1Mode1 )
{
	case "Precentage":
		FBnads1val1 = IIf( Bnads1Rule1 == "+" , Vwap2  +   Bnads1val, Vwap2     - Bnads1val );
		break;
	case "STD":
		FBnads1val1 = IIf( Bnads1Rule1 == "+" , Vwap2 +   std1, Vwap2  - std1 );
		break;
}

//-------------------------
switch( Bnads2Mode )
{
	case "Precentage":
		FBnads2val = IIf( Bnads2Rule == "+" , Vwap2  +   Bnads2val, Vwap2     - Bnads2val );
		break;
	case "STD":
		FBnads2val = IIf( Bnads2Rule == "+" , Vwap2 +   std2, Vwap2  - std2 );
		break;
}

switch( Bnads1Mode1 )
{
	case "Precentage":
		FBnads2val1 = IIf( Bnads2Rule1 == "+" , Vwap2  +   Bnads2val, Vwap2     - Bnads2val );
		break;
	case "STD":
		FBnads2val1 = IIf( Bnads2Rule1 == "+" , Vwap2 +   std2, Vwap2  - std2 );
		break;
}

//===================================================================================================
//===================================================================================================
//Plot( std      , "STD"        , VWAPClr    ,  VWAPStyle    , Null, Null, 0, 0, 2 );
Plot( Vwap2      , "Vwap"       , VWAPClr    ,  VWAPStyle    , Null, Null, 0, 0, 2 );
Plot( FBnadsval  , "Bnadsval"   , BnadsClr   ,  BnadsStyle   , Null, Null, 0, 0, 2 );
Plot( FBnadsval1 , "Bnadsval1"  , BnadsClr1  ,  BnadsStyle1  , Null, Null, 0, 0, 2 );
Plot( FBnads1val , "Bnads1val"  , Bnads1Clr  ,  Bnads1Style  , Null, Null, 0, 0, 2 );
Plot( FBnads1val1, "Bnads1val1" , Bnads1Clr1 ,  Bnads1Style1 , Null, Null, 0, 0, 2 );
Plot( FBnads2val , "Bnads2val"  , Bnads2Clr  ,  Bnads2Style  , Null, Null, 0, 0, 2 );
Plot( FBnads2val1, "Bnads2val1" , Bnads2Clr1 ,  Bnads2Style1 , Null, Null, 0, 0, 2 );
2

Hello Tomaz, what about that question?! @Tomasz

3
4

Hi there, I didn't get any response for that quartinos? @Tomasz

5

Hello Beppe, what about that question?! @beppe

6

If you are not getting responses, it means that nobody understands what you are asking for. Use advice given here: How to ask a good question

Generally, when you use other people formulas you should first contact the author of the formula. Did you contact the author? If you want such code modified to suit your needs, you might need to pay the author for doing that.

7

that my source code, I'm the author of that formula!
btw, I'm data scientist and aware six programming language (python, afl, c++, c#, R, ...etc), I need solution for my issue. @Tomasz

8

The code that you pasted clearly states that you have taken code from someone else LarryJR - ljr500@hotmail.com (see below)

/// VWAP code that also plots standard deviations...if you want a 3rd...it should be fairly simple to add 
//
// 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 - ljr500@hotmail.com   <<<< HERE!
10

@ahm.montaser, try this.:

dn = DateNum();
inDatesRange = True;

switch( Anchorperiod )
{

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

case "Weekly":
    newday = DayOfWeek() < Ref( DayOfWeek(), -1 ); // changed from your code
    break;

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

case "dateRange":
    newday = iif( dn == StartDateTime, 1, 0 );
    inDatesRange = dn >= StartDateTime AND dn <= EndDateTime;
    break;
}

Then update all "Plot" statements to look like the one below (to plot only the "dateRange" when this mode is selected):

Plot( iif(inDatesRange, Vwap2, null), "Vwap"       , VWAPColor    ,  VWAPStyle    , Null, Null, 0, 0, 2 );
// do a similar change adding the iif() for all the plots

There are multiple things I would probably change in the code to make it more efficient, but I'll leave them to you as an exercise.

Finally, it’s important to remember that everyone here contributes voluntarily, and no one is obligated to respond to every question regarding the correctness or improvements of formulas.
While we try to help when we can, as @tomasz mentioned, if you need more thorough or immediate assistance, it may be best to consult a professional AFL programmer who can provide the support you're looking for: as per the well known idiom: "two heads are better than one".

1 Like
11

Thanks for your understanding and support