Candletalk

Source code

{ Function: _TWAP: Time-weighted average price

Very similar to VWAP, except Price is only weighted by the time (number of times the price occurs over a session).

Apply only to intraday charts

}

vars:
PriceW(0),
TimeW(0) ;

// Raise run time error to shut down if the bar type is not intraday
Once if BarType <> 1 then
RaiseRunTimeError(" TWAP function can only be used with intraday charts") ;

// If the current bar date is not equal to the prior bar date then we are on
// the first bar of a new day. If so, then reset PriceW and TimeW.
if Date[1] <> Date then
begin

PriceW = 0;
TimeW = 0;

end;

// Add to the price weighting the new average price times the bar interval (number of minutes)
PriceW = PriceW + ( AvgPrice * BarInterval ) ;

// Add to the time weighting the total elapsed minutes for this day
TimeW = TimeW + BarInterval ;

// If the time weighting is non-zero then we calculate a TWAP, else return -1
// indicating we cannot calculate TWAP.
if TimeW > 0 then
_TWAP = PriceW / TimeW
else
_TWAP = -1 ;

Source code

Private Sub Worksheet_Calculate()

  Static BidVorher As Variant
  Static AskVorher As Variant
  Dim BidAktuell As Variant, AskAktuell As Variant
  
  BidAktuell = Range("B3").Value
  If BidAktuell <> BidVorher Then
    BidVorher = BidAktuell
    Application.ScreenUpdating = False
    If Len(Range("B" & Rows.Count)) Then Range("A" & Rows.Count).Resize(1, 2) = ""
    Range("A4:B4").Insert
    Range("A4").NumberFormat = "dd.mm.yyyy hh:mm:ss"
    Range("B4").NumberFormat = Range("B3").NumberFormat
    Range("A4").Value = Now
    Range("B4").Value = BidAktuell
    Application.ScreenUpdating = True
  End If
     
  AskAktuell = Range("D3").Value
  If AskAktuell <> AskVorher Then
    AskVorher = AskAktuell
    Application.ScreenUpdating = False
    If Len(Range("D" & Rows.Count)) Then Range("C" & Rows.Count).Resize(1, 2) = ""
    Range("C4:D4").Insert
    Range("C4").NumberFormat = "dd.mm.yyyy hh:mm:ss"
    Range("D4").NumberFormat = Range("D3").NumberFormat
    Range("C4").Value = Now
    Range("D4").Value = AskAktuell
    Application.ScreenUpdating = True
  End If
  
End Sub