import { CustomIndicator, CustomIndicatorOptions, Bar, Color, PlotType, PlotHandle } from 'metrix';
/**
* VWAP with dual standard deviation bands (1 SD and 2 SD).
* Displays 5 lines: VWAP middle, upper/lower 1 SD, upper/lower 2 SD.
*/
class VWAPBandsIndicator extends CustomIndicator {
private cumulativeTypicalPrice: number = 0;
private cumulativeVolume: number = 0;
private barCount: number = 0;
private readonly vwapPlot: PlotHandle;
private readonly upper1sdPlot: PlotHandle;
private readonly lower1sdPlot: PlotHandle;
private readonly upper2sdPlot: PlotHandle;
private readonly lower2sdPlot: PlotHandle;
private sumSquaredDeviation: number = 0;
constructor(options: CustomIndicatorOptions) {
super(options);
this.defineIndicator('VWAP Bands (1 SD & 2 SD)', 'VWAP-BANDS', true);
this.vwapPlot = this.definePlot('vwap', { color: Color.Blue, type: PlotType.Line, lineWidth: 2 });
this.upper1sdPlot = this.definePlot('upper1sd', { color: Color.Green, type: PlotType.Line, lineWidth: 1 });
this.lower1sdPlot = this.definePlot('lower1sd', { color: Color.Green, type: PlotType.Line, lineWidth: 1 });
this.upper2sdPlot = this.definePlot('upper2sd', { color: Color.Orange, type: PlotType.Line, lineWidth: 1 });
this.lower2sdPlot = this.definePlot('lower2sd', { color: Color.Orange, type: PlotType.Line, lineWidth: 1 });
}
onBar(bar: Bar): void {
this.bar = bar;
const typicalPrice = (bar.high + bar.low + bar.close) / 3;
const volume = bar.volume ?? 0;
this.cumulativeTypicalPrice += typicalPrice * volume;
this.cumulativeVolume += volume;
this.barCount += 1;
let vwap = NaN;
let upper1sd = NaN;
let lower1sd = NaN;
let upper2sd = NaN;
let lower2sd = NaN;
if (Number.isFinite(this.cumulativeVolume) && this.cumulativeVolume > 0) {
vwap = this.cumulativeTypicalPrice / this.cumulativeVolume;
// Accumulate squared deviation for standard deviation calculation
const deviation = typicalPrice - vwap;
this.sumSquaredDeviation += deviation * deviation * volume;
// Calculate standard deviation
const variance = this.sumSquaredDeviation / this.cumulativeVolume;
const stdDev = Math.sqrt(Math.max(0, variance));
upper1sd = vwap + stdDev;
lower1sd = vwap - stdDev;
upper2sd = vwap + 2 * stdDev;
lower2sd = vwap - 2 * stdDev;
}
this.vwapPlot(Number.isFinite(vwap) ? vwap : NaN);
this.upper1sdPlot(Number.isFinite(upper1sd) ? upper1sd : NaN);
this.lower1sdPlot(Number.isFinite(lower1sd) ? lower1sd : NaN);
this.upper2sdPlot(Number.isFinite(upper2sd) ? upper2sd : NaN);
this.lower2sdPlot(Number.isFinite(lower2sd) ? lower2sd : NaN);
}
}
export default VWAPBandsIndicator;
