Anchored VWAP

Building the Anchored VWAP Using ThinkOrSwim Code

Let’s start the process of building the Anchored VWAP for ThinkOrSwim.

First, we need to create a new study in ThinkOrSwim, which is another word for an indicator file.

Click the studies icon above the charts, and then click create.

Let’s give our study a unique name at the top. We’ll call our study “TI_AnchoredVWAP”

Now we need to define the raw formula for the VWAP indicator, and here, we can use the built-in ThinkOrSwim VWAP study.

plot anchoredVWAP = TotalSum(if postAnchorDate and postAnchorTime then ((high+low+close)/3)*(volume) else 0)/TotalSum(if postAnchorDate and postAnchorTime then volume else 0);

Now, let’s add in the anchor inputs for the anchor date and time.

input anchorDate = 20190612;
input anchorTime = 0930;

And keep in mind, all of the time stamps in thinkScript are in Eastern Standard Time format.

Now, we need to create a condition that tests if we have passed that anchor date and time in history.

def postAnchorDate = if GetYYYYMMDD()  >= anchorDate then 1 else 0;
def postAnchorTime = if SecondsFromTime(anchorTime) >= 0 then 1 else 0;

So let’s do a quick recap here.

In the first function for our Anchored VWAP, “postAnchorDate” checks to see whether or not we are after a particular date.

The second function, “postAnchorTime” repeats the same exercise, but using our inputted time.

We need to now intertwine those two functions into the Anchored VWAP code, to know to calculate the VWAP if and only if the two conditions are true.

Let’s update our Anchored VWAP indicator code:

plot anchoredVWAP = TotalSum(if postAnchorDate and postAnchorTime then ((high+low+close)/3)*(volume) else 0)/TotalSum(if postAnchorDate and postAnchorTime then volume else 0);

And that’s it!

 

Formatting the Anchored VWAP Indicator

If you’d like to build in the formatting that we have in our tutorial into the indicator code, here is the thinkScript for formatting:

anchoredVWAP.setStyle(Curve.Firm);
anchoredVWAP.SetLineWeight(3);
anchoredVWAP.SetDefaultColor(Color.Cyan);

That results in the default Anchored VWAP indicator plot line always look like this:

Download the Anchored VWAP for ThinkOrSwim

That’s the end of the tutorial. Hopefully through that, you learned how to very quickly, and easily, put together your own Anchored VWAP indicator for ThinkOrSwim.

If you’d like to see some examples of the indicator in action and being used, we do so towards the end of the tutorial video!

Here are some resources for other versions of the Anchored VWAP on other platforms

• Anchored VWAP TradingView
• VWAP Indicator MT4
• Multi Day VWAP ThinkOrSwim (Slightly hacked)

Click the button below to download our version of the Anchored VWAP Indicator for ThinkOrSwim