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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
56 lines
1.9 KiB
Plaintext
56 lines
1.9 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Time Weighted Average Price (TWAP)", "TWAP", overlay=true)
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//@function Calculates session-based TWAP (Time Weighted Average Price)
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//@param src Source price series (typically ohlc4 or hlc3)
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//@param reset_condition Condition to reset TWAP calculation
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//@returns TWAP value representing simple average price from session start
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//@optimized for performance and dirty data
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twap(series float src, series bool reset_condition) =>
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var float sum_prices = 0.0
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var int count = 0
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float current_price = nz(src)
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if reset_condition
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sum_prices := 0.0
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count := 0
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sum_prices += current_price
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count += 1
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count > 0 ? sum_prices / count : src
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(ohlc4, "Source")
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i_session_type = input.string("1D", "Session Reset", options=["1m", "2m", "3m", "5m", "10m", "15m", "30m", "45m", "1H", "2H", "3H", "4H", "1D", "1W", "1M", "3M", "6M", "12M", "Never"])
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// Calculate reset condition
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reset_condition = switch i_session_type
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"1m" => ta.change(time("1")) != 0
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"2m" => ta.change(time("2")) != 0
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"3m" => ta.change(time("3")) != 0
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"5m" => ta.change(time("5")) != 0
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"10m" => ta.change(time("10")) != 0
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"15m" => ta.change(time("15")) != 0
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"30m" => ta.change(time("30")) != 0
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"45m" => ta.change(time("45")) != 0
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"1H" => ta.change(time("60")) != 0
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"2H" => ta.change(time("120")) != 0
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"3H" => ta.change(time("180")) != 0
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"4H" => ta.change(time("240")) != 0
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"1D" => ta.change(time("1D")) != 0
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"1W" => ta.change(time("1W")) != 0
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"1M" => ta.change(time("1M")) != 0
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"3M" => ta.change(time("3M")) != 0
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"6M" => ta.change(time("6M")) != 0
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"12M" => ta.change(time("12M")) != 0
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"Never" => bar_index == 0
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=> false
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// Calculation
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twap_value = twap(i_source, reset_condition)
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// Plot
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plot(twap_value, "TWAP", color=color.yellow, linewidth=2)
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