Granular Candle-by-Candle VWAP

Nov 7

Granular Candle-by-Candle VWAP is a customizable Volume Weighted Average Price (VWAP) indicator designed for TradingView. Unlike traditional VWAP indicators that operate on the chart's primary timeframe, this script enhances precision by incorporating lower timeframe (e.g., 1-minute) data into VWAP calculations. This granular approach provides traders with a more detailed and accurate representation of the average price, accounting for intra-bar price and volume movements. The indicator dynamically adjusts to the chart's current timeframe and offers a range of customization options, including price type selection, visual styling, and alert configurations.

Customizable Features
Users have extensive control over various aspects of the Granular Candle-by-Candle VWAP indicator. Below are the key features that can be customized to align with individual trading preferences:

🎛️ Customizable Features
Users have extensive control over various aspects of the Granular Candle-by-Candle VWAP indicator. Below are the key features that can be customized to align with individual trading preferences:

🔢 Lookback Period

1. Description: Defines the number of lower timeframe bars used in the VWAP calculation.
   
2. Customization:
   
3. Input: VWAP Lookback Period (Number of Lower Timeframe Bars)
   
4. Default Value: 20 bars
   
5. Range: Minimum of 1 bar
   
6. Purpose: Allows traders to adjust the sensitivity of the VWAP. A smaller lookback period makes the VWAP more responsive to recent price changes, while a larger period smoothens out fluctuations.
   

📈 Price Type Selection

1. Description: Determines which price metric is used in the VWAP calculation.
   
2. Customization:
   
3. Input: Price Type for VWAP Calculation
   
4. Options:
   
6. Open: Uses the opening price of each lower timeframe bar.
   
8. High: Uses the highest price of each lower timeframe bar.
   
10. Low: Uses the lowest price of each lower timeframe bar.
    
12. Close: Uses the closing price of each lower timeframe bar.
    
14. OHLC/4: Averages the Open, High, Low, and Close prices.
    
16. HL/2: Averages the High and Low prices.
    
18. Typical Price: (High + Low + Close) / 3
    
20. Weighted Close: (High + Low + 2 × Close) / 4
    
21. Default Value: Close
    
22. Purpose: Offers flexibility in how the average price is calculated, allowing traders to choose the price metric that best fits their analysis style.
    

🕒 Lower Timeframe Selection

1. Description: Specifies the lower timeframe from which data is fetched for granular VWAP calculations.
   
2. Customization:
   
3. Input: Lower Timeframe for Granular Data
   
4. Default Value: 1 minute ("1")
   
5. Options: Any valid TradingView timeframe (e.g., "1", "3", "5", "15", etc.)
   
6. Purpose: Enables traders to select the granularity of data used in the VWAP calculation, enhancing the indicator's precision on higher timeframe charts.
   

🎨 VWAP Line Customization

1. Description: Adjusts the visual appearance of the VWAP line based on price position relative to the VWAP.
   
2. Customizations:
   
3. Color When Price is Above VWAP:
   
4. Input: VWAP Color (Price Above)
   
5. Default Value: Green
   
6. Color When Price is Below VWAP:
   
7. Input: VWAP Color (Price Below)
   
8. Default Value: Red
   
9. Line Thickness:
   
10. Input: VWAP Line Thickness
    
11. Default Value: 2
    
12. Range: Minimum of 1
    
13. Line Style:
    
14. Input: VWAP Line Style
    
15. Options: Solid, Dashed, Dotted
    
16. Default Value: Solid
    
17. Purpose: Enhances visual clarity, allowing traders to quickly assess price positions relative to the VWAP through color coding and line styling.
    

🔔 Alerts and Notifications

1. Description: Provides real-time notifications when the price crosses the VWAP.
   
2. Customizations:
   
3. Enable/Disable Alerts:
   
4. Input: Enable Alerts for Price Crossing VWAP
   
5. Default Value: Enabled (true)
   
6. Alert Conditions:
   
7. Price Crossing Above VWAP:
   
8. Trigger: When the closing price crosses from below to above the VWAP.
   
9. Alert Message: "Price has crossed above the Granular VWAP."
   
10. Price Crossing Below VWAP:
    
11. Trigger: When the closing price crosses from above to below the VWAP.
    
12. Alert Message: "Price has crossed below the Granular VWAP."
    
13. Purpose: Keeps traders informed of significant price movements relative to the VWAP, facilitating timely trading decisions.
    

📊 Plotting and Visualization

1. Description: Displays the calculated Granular VWAP on the chart with user-defined styling.
   
2. Customization Options:
   
3. Color, Thickness, and Style: As defined in the VWAP Line Customization section.
   
4. Track Price Feature:
   
5. Parameter: trackprice=true
   
6. Function: Ensures that the VWAP line remains visible even when the price moves far from the VWAP.
   
7. Purpose: Provides a clear and persistent visual reference of the VWAP on the chart, aiding in trend analysis and support/resistance identification.
   

⚙️ Performance Optimizations

1. Description: Ensures the indicator runs efficiently, especially on higher timeframes with large datasets.
   
2. Strategies Implemented:
   
3. Minimized Security Calls: Utilizes two separate request.security calls to fetch necessary data, balancing functionality and performance.
   
4. Efficient Calculations: Employs built-in functions like ta.sum for rolling calculations to reduce computational load.
   
5. Conditional Processing: Alerts are processed only when enabled, preventing unnecessary computations.
   
6. Purpose: Maintains smooth chart performance and responsiveness, even when using lower timeframe data for granular calculations.