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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TradingView
//@version=5
indicator("Rolling VWAP", "RVWAP", true)
import PineCoders/ConditionalAverages/1 as pc
// ———————————————————— Constants and Inputs {
int MS_IN_MIN = 60 * 1000
int MS_IN_HOUR = MS_IN_MIN * 60
int MS_IN_DAY = MS_IN_HOUR * 24
var string TT_WINDOW = "By default, the time period used to calculate the RVWAP automatically adjusts with the chart's timeframe.
Check this to use a fixed-size time period instead, which you define with the following three values."
var string TT_MINBARS = "The minimum number of last values to keep in the moving window, even if these values are outside the time period.
This avoids situations where a large time gap between two bars would cause the time window to be empty."
float srcInput = input.source(hlc3, "Source", tooltip = "The source used to calculate the VWAP. The default is the average of the high, low and close prices.")
var string GRP2 = '═══════════ Time Period ═══════════'
bool fixedTfInput = input.bool(false, "Use a fixed time period", group = GRP2, tooltip = TT_WINDOW)
int daysInput = input.int(1, "Days", 0, 90, group = GRP2) * MS_IN_DAY
int hoursInput = input.int(0, "Hours", 0, 23, group = GRP2) * MS_IN_HOUR
int minsInput = input.int(0, "Minutes", 0, 59, group = GRP2) * MS_IN_MIN
bool tableInput = input.bool(true, "Show time period", group = GRP2, tooltip = "Displays the time period of the rolling window.")
string textSizeInput = input.string("large", "Text size", group = GRP2, options = ["tiny", "small", "normal", "large", "huge", "auto"])
string tableYposInput = input.string("bottom", "Position ", inline = "21", group = GRP2, options = ["top", "middle", "bottom"])
string tableXposInput = input.string("right", "", inline = "21", group = GRP2, options = ["left", "center", "right"])
var string GRP3 = '════════ Minimum Window Size ════════'
int minBarsInput = input.int(10, "Bars", group = GRP3, tooltip = TT_MINBARS)
// }
// ———————————————————— Functions {
timeStep() =>
// @function Determines a time period from the chart's timeframe.
// @returns (int) A value of time in milliseconds that is appropriate for the current chart timeframe. To be used in the RVWAP calculation.
int tfInMs = timeframe.in_seconds() * 1000
float step =
switch
tfInMs <= MS_IN_MIN => MS_IN_HOUR
tfInMs <= MS_IN_MIN * 5 => MS_IN_HOUR * 4
tfInMs <= MS_IN_HOUR => MS_IN_DAY * 1
tfInMs <= MS_IN_HOUR * 4 => MS_IN_DAY * 3
tfInMs <= MS_IN_HOUR * 12 => MS_IN_DAY * 7
tfInMs <= MS_IN_DAY => MS_IN_DAY * 30.4375
tfInMs <= MS_IN_DAY * 7 => MS_IN_DAY * 90
=> MS_IN_DAY * 365
int result = int(step)
tfString(int timeInMs) =>
// @function Produces a string corresponding to the input time in days, hours, and minutes.
// @param (series int) A time value in milliseconds to be converted to a string variable.
// @returns (string) A string variable reflecting the amount of time from the input time.
int s = timeInMs / 1000
int m = s / 60
int h = m / 60
int tm = math.floor(m % 60)
int th = math.floor(h % 24)
int d = math.floor(h / 24)
string result =
switch
d == 30 and th == 10 and tm == 30 => "1M"
d == 7 and th == 0 and tm == 0 => "1W"
=>
string dStr = d ? str.tostring(d) + "D " : ""
string hStr = th ? str.tostring(th) + "H " : ""
string mStr = tm ? str.tostring(tm) + "min" : ""
dStr + hStr + mStr
// }
// ———————————————————— Calculations and Plots {
// Stop the indicator on charts with no volume.
if barstate.islast and ta.cum(nz(volume)) == 0
runtime.error("No volume is provided by the data vendor.")
// RVWAP
var int timeInMs = fixedTfInput ? minsInput + hoursInput + daysInput : timeStep()
float rollingVWAP = pc.totalForTimeWhen(srcInput * volume, timeInMs, true, minBarsInput) / pc.totalForTimeWhen(volume, timeInMs, true, minBarsInput)
plot(rollingVWAP, "Rolling VWAP", color.orange)
// Display of time period.
var table tfDisplay = table.new(tableYposInput + "_" + tableXposInput, 1, 1)
if tableInput
table.cell(tfDisplay, 0, 0, tfString(timeInMs), bgcolor = na, text_color = color.gray, text_size = textSizeInput)
// }