Registered User
Joined: 12/14/2005
Posts: 10
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There have been a few posts code for VWAP (Volume weighted average price), but I have not seen anything that looks useful. Most useful for me would be a calculation of VWAP for a one or two day period (on a ten minute or 30 minute chart), where the calculation would only be the summation Shares Bought x SharePrice (probably closing price) divided by the total shares bought for all bars in the current day only. Does that make sense?
Better yet would be to have the option of picking the period for the calculation. For example, only take the bars from a visually selected bottom and calculate the VWAP for all bars from that bottom to the current bar. So, on a 10 minute chart you could determine the VWAP for the period from a bottom that occurred 25 bars ago to the current bar
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