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July 7, 2020 18:47
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TT VWAP in Python
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| Date Open High Low Close Volume | |
| 2020-05-06 18:15:00-04:00 2832 2838.5 2832 2838 3750 | |
| 2020-05-06 18:30:00-04:00 2838 2838.5 2826 2827.75 6864 | |
| 2020-05-06 18:45:00-04:00 2827.75 2830.5 2827 2829.5 2937 | |
| 2020-05-06 19:00:00-04:00 2829.5 2830.5 2823 2826.5 4619 | |
| 2020-05-06 19:15:00-04:00 2826.75 2829.5 2825.25 2827.75 3610 | |
| 2020-05-06 19:30:00-04:00 2827.75 2829.5 2825.5 2826.75 2460 | |
| 2020-05-06 19:45:00-04:00 2826.75 2830.75 2826.25 2830.5 2531 | |
| 2020-05-06 20:00:00-04:00 2830.5 2833.5 2830.25 2833.5 2361 |
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| import pandas as pd | |
| import mplfinance as mpf | |
| import math | |
| df = pd.read_csv('./data.csv', sep=',', quotechar='"') | |
| df.set_index(['Date'], inplace=True) | |
| df.index = pd.to_datetime(df.index) | |
| df.index.name = 'Date' | |
| # from here = https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/volume-weighted-average-price-vwap/ | |
| df['VWAP'] = (df.Volume * (df.High + df.Low) / 2).cumsum() / df.Volume.cumsum() | |
| df['VWAP_MEAN_DIFF'] = ((df.High + df.Low) / 2) - df.VWAP | |
| df['SQ_DIFF'] = df.VWAP_MEAN_DIFF.apply(lambda x: math.pow(x, 2)) | |
| df['SQ_DIFF_MEAN'] = df.SQ_DIFF.expanding().mean() | |
| df['STDEV_TT'] = df.SQ_DIFF_MEAN.apply(math.sqrt) | |
| stdev_multiple_1 = 1.28 | |
| stdev_multiple_2 = 2.01 | |
| stdev_multiple_3 = 2.51 | |
| df['STDEV_1'] = df.VWAP + stdev_multiple_1 * df['STDEV_TT'] | |
| df['STDEV_N1'] = df.VWAP - stdev_multiple_1 * df['STDEV_TT'] | |
| addplot = [ | |
| mpf.make_addplot(df['VWAP']), | |
| mpf.make_addplot(df['STDEV_1']), | |
| mpf.make_addplot(df['STDEV_N1']), | |
| ] | |
| mpf.plot(df, type='candle', addplot=addplot) |
Blue = VWAP
Orange = VWAP + 1 dev
Green = VWAP - 1 dev
TradingView (using VWAP-Stdev-Bands-v2-Mod-UPDATE indicator). Note, slight difference since they weight the price by volume in the variance function
Do you have a numpy version of vwap with bands?
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Ported from here - https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/volume-weighted-average-price-vwap/
Data sample just a few candles
/ES 05-06-2020 18:00 - 20:00