// TWAP BETA_1 

// The top of every source code file must include this line
#include "sierrachart.h"


// For reference, refer to this page:
// https://www.sierrachart.com/index.php?page=doc/doc_CreatingDLLs.html
	

// This line is required. Change the text within the quote
// marks to what you want to name your group of custom studies. 
SCDLLName("TWAP") 


//This is the basic framework of a study function.
SCSFExport scsf_TWAP(SCStudyInterfaceRef sc)
{
    
	SCSubgraphRef TWAP       = sc.Subgraph[1];
	SCSubgraphRef TimeDiff         = sc.Subgraph[2];
	SCSubgraphRef PTime      = sc.Subgraph[3]; // price * time 
	SCSubgraphRef CPTime    = sc.Subgraph[4]; // cumulative price*time
	SCSubgraphRef CTime       = sc.Subgraph[5]; // cumulative time
	SCSubgraphRef Time       = sc.Subgraph[6]; // cumulative time
	
	SCInputRef Time1  = sc.Input[1];

	

	// Section 1 - Set the configuration variables and defaults
	if (sc.SetDefaults)
	{
		sc.GraphName = "TWAP";
		
		// During development set this flag to 1, so the DLL can be rebuilt without restarting Sierra Chart. When development is completed, set it to 0 to improve performance.
		sc.FreeDLL = 1;
		sc.AutoLoop = 0;  //Auto looping is enabled. 
		sc.MaintainAdditionalChartDataArrays=1;
		
		TWAP.Name = "TWAP";
		TWAP.DrawStyle = DRAWSTYLE_LINE;
		TWAP.PrimaryColor = RGB (0, 255, 0);
		
		Time1.Name = "Start Cash Session Time";
		Time1.SetTime(HMS_TIME(9,30,0));
		
		return;
	}
	
	// Section 2 - Do data processing here
	
		long i = 0;		
		
		// refs to persistent vars
		float& cum   = sc.PersistVars->f1;  // 
		
		int&   InTime   = sc.PersistVars->i1;  // start time of cash session
		int&   lastIndex  = sc.PersistVars->i2;  // lastIndex processed
		int&   lastTime  = sc.PersistVars->i3;  // lastIndex processed

		if (sc.UpdateStartIndex == 0)
		{
			// init state i.e. persist vars
		      InTime=Time1.GetTime();	
			  lastIndex = -1;
			  lastTime=0;
		}
		
	for (int i = sc.UpdateStartIndex; i < sc.ArraySize; i++)
		{
			if (i == lastIndex) continue;  // block handling the same tick multiple times
            
			// starting TWAP at cash session or new day 

			if (i == 0 || (sc.BaseDateTimeIn[i-1].GetDate() != sc.BaseDateTimeIn[i].GetDate()) || (sc.BaseDateTimeIn[i].GetTime()==InTime))
			{
              TWAP[i]=0;
			  TimeDiff[i]=0;
			  CPTime[i]=0;
			  PTime[i]=0;
			  CTime[i]=0;
			  lastTime=sc.BaseDateTimeIn[i].GetTime();
			}
			else
			{
			 TimeDiff[i]=sc.BaseDateTimeIn[i].GetTime()-lastTime; // seconds difference between ticks
			 lastTime= sc.BaseDateTimeIn[i].GetTime();
			 if (TimeDiff[i]<=0) 
			 {
			 TimeDiff[i]=1;
			 }
			  PTime[i]=sc.Close[i]*TimeDiff[i]; // price * time
			  CTime[i] = CTime[i-1]+TimeDiff[i];
			  CPTime[i] =CPTime[i-1]+PTime[i];
			  TWAP[i]=CPTime[i]/CTime[i];
			
			}
            lastIndex = i;	
        }			
	
	
}