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W-VWAP

BTC World Price: Multi-Exchange VWAPBTC World Price: Multi-Exchange VWAP __________________________ WHAT IT DOES What you see above are not Bitmex candles, but this indicator's. Bitcoin is listed on multiple exchanges. Many people have called for a single global index that would quote BTC price and volume across all exchanges: this script is such a virtual aggregate (formerly: Multi-Listed , Volume-Weighted Average Price ). It will, independently for each tick, for any time-frame: - Quote the price (O, H, L, C) and volume from Bitfinex (USD), Binance (USDT), bitFlyer (Yen), Bithumb (S. Korean Won), Coinbase (USD), Kraken (EUR) and even Bitmex (USD Contracts). - Weight each price with the corresponding volume of the exchange. - Quote the FOREX conversion rate in USD for each currency (USDJPY etc.) - Finally return global average price (candles) in USD. - Additionally provide (H+L)/2 etc. values. No more "on Coinbase this" or "on Bitstamp that", you've now got a global overview! See CoinMarketCap: Markets for reference. I've included alternative exchanges in the comments at the top of the script. __________________________ HOW TO USE IT Basically just add it to your chart and use the indicator's candles instead of the chart's main ticker. By default, BTC World Price will display candles only, but you can also display OHLC & averages (in whichever style you want). You may indeed want to hide the main symbol (top-left corner, click the 'eye' button next to its name), or switch it to something else than candles/bars (e.g. line). Make sure "Scale Price Chart Only" is disabled if you want to use the auto-zoom feature. (if other indicators are messing your zoom, you can try to select "Line with Breaks" or "Area with Breaks" to allow these to overflow from the main window) By clicking the triangle next to the indicator's name, you can select "Visual Order" (e.g "Bring to Front"). You can select regular Candles or Heikin-Ashi in Options. In the Format > Inputs tab, you can select which exchanges to quote. By default, all of them are enabled. The script also exposes the following typical values to the backend, which you can use as Price Source for other indicators: (e.g. MA, RSI, in their "Format > Input" tab) Open Price (grey) High Price (green) Low Price (red) Close Price (white) (H + L)/2 (light blue) (H + L + C)/3 (blue) (O + H + L + C)/4 (purple) They are all hidden by default (by means of maximum transparency). In the Format > Style tab, you can change their color, transparency and style (line, area, etc), as well as uncheck Candles and Wicks to hide these. If you are using "Indicator Last Value" and want to clear the clutter from all these values, simply uncheck them in Style. They will still be available as Price Source for other indicators. You can also choose to scale it to the left, right (default) or "screen" (no scaling). Once you're satisfied with your Style, you may click "Default"> "Save as default" in the botton-left. Everytime you load the indicator, it will look the same. ("Reset Settings" will reset to the script's defaults) __________________________ Please leave feedback below in comments or pm me directly for bugs and suggestions.
Pine Script™ indicator
by PhiChris
3
Volume Weighted Average Range Bands [DW]This is an experimental study designed to identify the underlying trend bias and volatility of an instrument over any custom interval TradingView supports. First, reset points are established at points where the opening price of the interval changes. Next, Volume Weighted Average Price (VWAP) is calculated. It is the cumulative sum of typical price times volume divided by the cumulative volume. The cumulation starts over upon each reset point. After that, Volume Weighted Average Range (VWAR) is calculated. The formula structure is the same as VWAP, except using range rather than typical price. Lastly, the bands are calculated by multiplying the VWAR by the specified multiplier (approximate Golden Ratio by default) and by 1 through 5, then adding to and subtracting from the VWAP. Custom Bar Colors are included.
Pine Script™ indicator
by DonovanWall
7
Multi-Timeframe VWAPShows the Daily, Weekly, Monthly, Quarterly, and Yearly VWAP. Also shows the previous closing VWAP, which is usually very near the HLC3 standard pivot for the previous time frame. i.e. The previous daily VWAP closing price is usually near the current Daily Pivot. Tickers interact well with the previous Daily and Weekly closing VWAP. Enabling the STDEV bands shows 3 separate standard deviation levels, defaulted at 1, 2, and 3. The lookback period for the bands is always changing with each new bar, since the standard deviation is calculated from the current bar to the beginning of the period. This is different from bollinger bands, as the lookback is constant (usually 20 periods is the textbook default). The STDEV bands interval of interest can be changed from Day (D), Week (W), Month (M), Quarter (Q), Year (Y). Tickers tend to bounce very well on Daily, Weekly, and Yearly VWAP (Yes... Year). Use this code and observe the Year VWAP on several major symbols through the past few years and eyes will be opened.
Pine Script™ indicator
by mortdiggiddy
64
Multi-Day VWAP V2Updated from V1. Chart the multi-day Volume Weighted Average Price ( VWAP ). Normally, the VWAP is tracked for the current day, from the first bar of the day (regular or extended session). The VWAP shows the current value of: -> sum(hlc3 * volume , barsForDay) / sum( volume , barsForDay), -> where 'barsForDay' is the total number bars that have elapsed during the day for the chart interval. The multi-day version tracks the VWAP for N days back, by averaging the previous N - 1 day bars VWAP and the current VWAP for the current bar (chart interval). This is very different that simply using a volume weighted moving average , since the closing VWAP values are used for the historical day bars. The results are interesting for intraday trades... especially for values of 1, 2, 3, 4, and 5 days. Version 2 includes the closing VWAP for the previous day. There are enough instances where the price chooses to bounce from the previous day's closing VWAP value that it is worth discussing. Usually this value is at or near the daily pivot, but sometimes not. Circled in the chart are some areas of recent SPY bounces on the previous day's closing VWAP. It seems that when the 5-Day VWAP and normal VWAP have "enough" percentage separation, that there can be good intraday swing opportunities using bounces off VWAP indicators. This is similar to waiting for Hourly/Daily/Weekly/Monthly/etc pivots to have "enough" separation to allow for swing setups. When pivots are "closely" spaced, odds are the price is range bound for the time period (daily range in the case of day pivots, etc). Previous closing VWAPs can be plotted for all 5 of the original. As with my other scripts, I welcome all comments to spark new ideas that we can all benefit from. Enjoy.
Pine Script™ indicator
by mortdiggiddy
5
Multi-Day VWAP Chart the multi-day Volume Weighted Average Price ( VWAP ). Normally, the VWAP is tracked for the current day, from the first bar of the day (regular or extended session). The VWAP shows the current value of: -> sum(hlc3 * volume , barsForDay) / sum( volume , barsForDay), -> where 'barsForDay' is the total number bars that have elapsed during the day for the chart interval. The multi-day version tracks the VWAP for N days back, by averaging the previous N - 1 day bars VWAP and the current VWAP for the current bar (chart interval). This is very different that simply using a volume weighted moving average , since the closing VWAP values are used for the historical day bars. The results are interesting for intraday trades... especially for values of 1, 2, 3, 4, and 5 days. Enjoy.
Pine Script™ indicator
by mortdiggiddy
5
VWAP forex Yesterday Hi/Low update fix This script is an updte fix of an earlier script that stopped functioning when TradingView updated Pine script. This script plots Forex (24 hour session) VWAP, yesterday's high, low, open and close (HLOC), the day before's HLOC - Also plots higher timeframe 20 emas 1 minute 5, 15, 60 period 20 ema 5 minute 15, 60 period 20 ema 15 minute 60, 120 , 240 period 20 ema 60 minute 120, 240 period 20 ema 120 minute 240, D period 20 ema 240 minute D period 20 ema Also signals inside bars (high is less than or equal to the previous bar's high and the low is greater than or equal to the previous low) the : true inside bars have a maroon triangle below the bar as well as a ">" above the bar. If subsequest bars are inside the last bar before the last true inside bar they also are marked with an ">" This is probably a slight variation from the way Leaf_West plots the inside bars. It appears that he marks all bars that are inside the original bar until one a bar has a high or low outside the original bar. But I would need to see an example on his charts. The Time Session Glitch and the Fix FX_IDC, COINBASE and BITSTAMP: The script will correctly default to 1700 hrs to 1700hrs EDT/EST session for FXCM. Strangely some securities appear to erroneously start their session at 1200 hrs ie. My guess is that they are somehow tied to GMT+0 instead of New York time (GMT+5). See this for yourself by selecting EURUSD using the FXCM exchange (FX:EURUSD) and then EURUSD from the IDC exchange (FX_IDC:EURUSD). The FX-IDC session opening range starts 5 hours before it actually should at 1700 hrs EDT/EST. To correct for this I have implemented an automatic fix (default) and a user selected "5 hour time shift adjust. ment needed on some securities". There is also a 4 hour time shift button which might be necessary when New York reverts from Eastern Standard Time to Eastern Daylight Time (1 hour difference) in March (and then back again in November). In the default auto adjust mode you will need to select the 1 hour time shift. That is if this glitch still exists at that time. I have looked at other scripts, other than my own and where the script is available, that need to use information about the opening bar and all have the same time shift issue COINBASE and BITSTAMP open at 0000 hours GMT. Since I use lines instead of circles or crosses I had to make a small adjustment to plot the lines correctly. If it needs work let me know. Jayy
Pine Script™ indicator
by jayy
6
VWAP MA HLOC securities Jayy update fix This version replaces previous versions that stopped functioning as a result of a TradingView script update. This script complies with the current script syntax. for intraday securities default is 9:30 am to 4 pm Eastern Other session choices are provided in the format dialogue box. script plots VWAP, yesterday's high, low, open and close (HLOC), the day befores HLOC - if desired, today's open and todays high and low. Also signals inside bars (high is less than or equal to the previous bar's high and the low is greater than or equal to the previous low) the : true inside bars have a maroon triangle below the bar as well as a ">" above the bar. If subsequent bars are inside the last bar before the last true inside bar they also are marked with an ">" Also plots the 20 ema for different time periods (as per Al Brooks), If you trade the 5 min then you will likely be interested in the 20 ema for 15 mins and 60 mins the following is a list of the higher timeframe 20 emas 1 minute 5, 15, 60 period 20 ema 5 minute 15, 60 period 20 ema 15 minute 60, 120 , 240 period 20 ema 60 minute 120, 240 period 20 ema 120 minute 240, D period 20 ema 240 minute D period 20 ema Jayy
Pine Script™ indicator
by jayy
2
VWAP MTF Custom Dates (Multi Timeframe VWAP with Custom Dates)This is extremely useful tool for analyzing the market. Brian Shannon from alphatrends.net uses this very frequently and I've programmed it for tradingview. you can calculate the VWAP from any dates on the chart and it works with any intraday timeframe. Simply select on the settings icon and select your day month and year parameters! Please follow for more future updates Happy trading! Daniel
Pine Script™ indicator
by drshoe
19
Difference % between PRICE and VWAP V2Shows difference between price and daily/weekly/monthly/hourly/whatever VWAP. In v2: option to color bars average percentual difference of custom period histogram changes color depending on which levels it's at Levels/period/color etc can be customized. Use these inputs in the timeframe box: M - month W - week D - day 2D (or 3W or 2M or whatever) = 2 Days (or three week or 2 months and so on) 60= 1 H 240= 4 H 5 = 5 min and so on. btw, vaguely remembering reading somewhere that the big players like to make their entry at 4% difference.
Pine Script™ indicator
by TheYangGuizi
5
Percent Difference Between VWAP and Price MTFShows the difference between vwap and price in percent. You can can choose between multiple timeframe vwap. Default is normal daily. The levels on the indicator can be changed to whatever you want to. In the chart above we can see eurusd reverting up at 3% below monthly vwap, after the brexit dip, It then turns down again at 1% from monthly and lastly it turns up again at 2% from monthly. Script is a small modification of this:
Pine Script™ indicator
by TheYangGuizi
2
VWAP CandlesTried making candles of Vwap instead of normal price to see if something interesting would happen. Something interesting did happen as you can see. Looks best in 4h because of reasons unknown. In lower timeframes it looks kinda stupid (moves the same as nrmal vwap). Day or above it looks the same as normal candles. Gaps seem to work as s/r? or at least I've seen price react to those levels. I've also seen a vwap reversal candles show (like dojis, pin bar), while price candles look normal. Could potentially give you a reversal warning? You can also plot indicators like bollinger bands etc on the vwap candles. Just press the little plus.
Pine Script™ indicator
by TheYangGuizi
9