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Date/Time: Thu, 19 Jul 2018 06:06:09 +0000



Post From: Offering To The Community: Custom Stock Index Creator

[2016-12-15 07:23:00]
Neo - Posts: 191
No need to apologize, Brett, thanks for looking into this further and explaining in more detail.

The idea of automatically loading a study onto a newly open chart sounds great, however, it's over my head in terms of programming skills.

Sorry to hear about your health issues, I had some minor issues with sleep Apnea and ended up resolving them by losing a whole lot of weight. Has your doctor ever suggested Modafinil to combat daytime sleepiness? The Biofeedback stuff looks really interesting, good luck with it.

Re % of stocks in a chart book above VWAP- What do you think about this? It won't give historical values but will give values based on the last price.

#include "sierrachart.h"
#include <string>

#define MAX_ITERATIONS 10000

//This is a tentative solution to the problem of determining
//the proportion of charts in a chartbook trading above their
//respective VWAPs.

using namespace std;
SCDLLName("Proportion Trading Above/Below VWAP DLL")

SCSFExport scsf_ProportionTradingAboveVWAP(SCStudyGraphRef sc){
  SCInputRef ChartStudy = sc.Input[0];
  if (sc.SetDefaults){
    sc.GraphName = "Proportion Trading Above VWAP";    
    sc.AutoLoop = 1;     
    sc.FreeDLL = 1;
    sc.Subgraph[0].Name = "Proportion Trading Above VWAP";
    sc.Subgraph[0].PrimaryColor = RGB(255,0,0);
    return;
  }
  int num_of_charts;
  int num_trading_above_vwap = 0;
  for(num_of_charts = 1; num_of_charts < MAX_ITERATIONS; ++num_of_charts){
    SCGraphData BaseGraphData;
    ChartStudy.SetChartStudyValues(num_of_charts, 1);
    sc.GetChartBaseData(ChartStudy.GetChartNumber(), BaseGraphData);
    if(BaseGraphData[SC_HIGH].GetArraySize() == 0){
      //No more charts.
      break;
    }
    //Get the most recent trading price.
    int last_bar = BaseGraphData[SC_LAST].GetArraySize() - 1;
    float last_price = BaseGraphData[SC_LAST][last_bar];
    
    //Get the VWAP for the specified period of time.
    float cumulative_price_volume = 0.0;
    float cumulative_volume = 0.0;
    int num_of_trades = last_bar + 1;
    for(int j = 0; j < num_of_trades; ++j){
      cumulative_price_volume +=
        BaseGraphData[SC_HLC][j] * BaseGraphData[SC_VOLUME][j];
      cumulative_volume += BaseGraphData[SC_VOLUME][j];
    }
    float VWAP = cumulative_price_volume / cumulative_volume;
    if(last_price > VWAP){
      ++num_trading_above_vwap;
    }
  }
  --num_of_charts;
  float proportion_above_vwap =
    (float)num_trading_above_vwap / (float)num_of_charts;
  sc.Subgraph[0][sc.Index] = proportion_above_vwap;
}