VWAP

The VWAP indicator from the public library (vwap), written against the current DSL. The library row's source only emits the upper_<dev> and lower_<dev> ids, which the band template does not draw. This version emits the template's ids too.

What it plots

The volume-weighted average price on price, reset at the chosen boundary, with optional standard deviation bands.

Key decisions

Full script

meta({
  shortName: "VWAP*",
  kind: "overlay",
  dataSource: "candles",
  category: "custom",
});

dialog({
  title: "VWAP Configuration",
  description: "Configure Volume Weighted Average Price (VWAP) settings",
  width: 600,
  height: 500,
  resizable: false,
  showEnabledCheckbox: true,
  resetToDefaults: {
    enabled: true,
    confirmationMessage: "Are you sure you want to reset all VWAP settings to their default values?",
  },
});

const calculationMode = input.select({
  id: "calculationMode",
  label: "Reset Time",
  layout: "radio",
  radioOrientation: "vertical",
  default: "daily",
  options: [
    { value: "consistent", label: "Remain Consistent", description: "VWAP calculation uses all available data points without resetting" },
    { value: "daily",      label: "Reset Daily",       description: "00:00 UTC each day" },
    { value: "weekly",     label: "Reset Weekly",      description: "00:00 UTC each Monday" },
    { value: "monthly",    label: "Reset Monthly",     description: "00:00 UTC on the 1st of each month" },
    { value: "sydney",     label: "Reset at Sydney Session Open", description: "22:00 UTC" },
    { value: "tokyo",      label: "Reset at Tokyo Session Open",  description: "00:00 UTC" },
    { value: "london",     label: "Reset at London Session Open", description: "08:00 UTC" },
    { value: "newyork",    label: "Reset at New York Session Open", description: "13:30 UTC" },
  ],
});

warmup((w) => w.when(calculationMode).is("consistent").then(w.forever()).is("weekly").then(w.span("7d")).is("monthly").then(w.span("31d")).otherwise(w.day()));

const labelsEnabled = input.boolean({
  id: "labelsEnabled",
  label: "Show Labels",
  description: "Display VWAP values and bands on chart",
  default: true,
});

const vwapColor = input.color({
  id: "vwapColor",
  label: "Line Color",
  default: "#2962FF",
  allowAlpha: true,
});

const mainLineStyle = input.lineStyle({
  id: "mainLineStyle",
  label: "Line Style",
  default: LineStyle.Solid,
});

const vwapBands = input.array({
  id: "vwapBands",
  label: "VWAP Bands",
  description: "Configure standard deviation bands around the VWAP line",
  maxItems: 10,
  addButtonText: "Add Band",
  collapsible: true,
  sortable: false,
  toggleEnableButton: { show: true, size: "sm" },
  deleteButton:       { show: true, size: "sm" },
  cloneButton:        { show: true, size: "sm" },
  layout: {
    direction: "horizontal",
    gap: "sm",
    rows: [
      { type: "row", fields: ["deviation", "color", "lineStyle"], className: "items-center", gap: "sm",
        distribution: "custom", fieldWidths: { deviation: "20%", color: "20%", lineStyle: "40%" } },
      { type: "row", fields: ["fillEnabled", "fillColor"], className: "items-center", gap: "sm",
        distribution: "custom", fieldWidths: { fillEnabled: "40%", fillColor: "40%" } },
    ],
    itemWrapper: { padding: "sm", border: true },
  },
  defaultItems: [
    { id: "band1", deviation: 1, color: "#ff9900", lineStyle: LineStyle.Dashed, fillEnabled: false, fillColor: "rgba(255, 153, 0, 0.1)", enabled: true },
    { id: "band2", deviation: 2, color: "#ff6600", lineStyle: LineStyle.Dashed, fillEnabled: false, fillColor: "rgba(255, 102, 0, 0.1)", enabled: true },
  ],
  itemTemplate: (input) => {
    input.boolean({ id: "enabled",     label: "Enabled",            default: true,  isEnableField: true });
    input.number({  id: "deviation",   label: "Deviation",          default: 1, min: 0.1, step: 0.1, precision: 1, unit: "σ" });
    input.color({   id: "color",       label: "Color",              default: "#ff9900", allowAlpha: true });
    input.lineStyle({ id: "lineStyle", label: "Line Style",         default: LineStyle.Dashed });
    input.boolean({ id: "fillEnabled", label: "Fill Between Bands", default: false });
    input.color({   id: "fillColor",   label: "Fill Color",         default: "rgba(255, 153, 0, 0.1)", allowAlpha: true,
      visibleWhen: when("fillEnabled").equals(true) });
  },
});

layout(
  tab({ id: "general", title: "General" },
    section({ id: "calculation", title: "Calculation Settings" }, calculationMode),
    section({ id: "display",     title: "Display Options"      }, labelsEnabled),
  ),
  tab({ id: "appearance", title: "Appearance" },
    section({ id: "main_line", title: "Main VWAP Line", columns: 2 }, vwapColor, mainLineStyle),
  ),
  tab({ id: "bands", title: "Bands" },
    section({ id: "deviation_bands", title: "Standard Deviation Bands" }, vwapBands),
  ),
);

output.line({
  id: "vwap",
  lineWidth: 2,
  colorFrom: vwapColor,
  lineStyleFrom: mainLineStyle,
  labelFrom: labelsEnabled,
  titleWhenLabeled: "VWAP",
});

output.bandTemplate({
  from: vwapBands,
  itemIdField: "id",
  itemEnabledField: "enabled",
  upperIdPattern: "vwap_band_pos_{id}",
  lowerIdPattern: "vwap_band_neg_{id}",
  fillIdPattern:  "vwap_band_fill_{id}",
  itemStyle: {
    colorField: "color",
    lineStyleField: "lineStyle",
    fillEnabledField: "fillEnabled",
    fillColorField: "fillColor",
  },
  titleTemplate: "VWAP {deviation}σ",
});

// onBar runs again for the forming bar on every tick. The chart rolls ctx.accum back between
// ticks; foldBar does not depend on that, so the same code is right on every runtime.
// foldBar keeps two states: `done` (as of the last closed bar) and `tip` (this bar). `step`
// builds the tip from `done` without mutating it, so a repeat of the same bar recomputes the tip
// instead of stacking on top of it. A new bar time commits the tip.
function foldBar(ctx, id, init, step) {
  const s = ctx.accum(id, () => ({ t: null, done: init, tip: init }), (s) => {
    if (s.t !== ctx.time) {
      s.done = s.tip;
      s.t = ctx.time;
    }
    s.tip = step(s.done);
    return s;
  });
  return s.tip;
}

function mean(values) {
  let sum = 0;
  for (const v of values) sum += v;
  return sum / values.length;
}

/** @param {ScriptedCtx} ctx */
export function onBar(ctx) {
  const isStart = ctx.session.isStart(ctx.params.calculationMode);
  const tp = (ctx.high + ctx.low + ctx.close) / 3;

  const st = foldBar(ctx, "vwap", { tpv: 0, vol: 0, sumSq: 0, count: 0 }, (prev) => {
    // A session start throws away everything before it.
    const base = isStart ? { tpv: 0, vol: 0, sumSq: 0, count: 0 } : prev;
    const tpv = base.tpv + tp * ctx.volume;
    const vol = base.vol + ctx.volume;
    if (vol <= 0) return { tpv, vol, sumSq: base.sumSq, count: base.count };
    const dev = tp - tpv / vol;
    return { tpv, vol, sumSq: base.sumSq + dev * dev, count: base.count + 1 };
  });
  if (st.vol <= 0) return;

  const vwap = st.tpv / st.vol;
  const sd = Math.sqrt(st.sumSq / st.count);
  ctx.plot("vwap", vwap);

  const seen = {};
  for (const band of ctx.params.vwapBands) {
    if (!band || band.enabled === false) continue;
    const d = Math.abs(Number(band.deviation) || 0);
    const upper = vwap + d * sd;
    const lower = vwap - d * sd;

    // The series the band template draws: its id patterns with {id} replaced by the row's id.
    // Every row carries an `id` the dialog assigns; it is not one of the template's fields.
    const rowId = band["id"];
    ctx.plot("vwap_band_pos_" + rowId, upper);
    ctx.plot("vwap_band_neg_" + rowId, lower);

    // Deviation-keyed ids (upper_2, lower_1_5) for scripts that read VWAP as a dependency.
    const r = Math.round(d * 100) / 100;
    const key = String(r).replace(".", "_");
    if (seen[key]) continue;
    seen[key] = true;
    ctx.plot("upper_" + key, upper);
    ctx.plot("lower_" + key, lower);
  }
}

Related

Bars and clocks for how session resets land on the UTC grid, and Warmup and memory for session-reset state.