Custom VWAP - usage example of indie.Schedule class - Technical Guide

Computes a volume-weighted average price with upper and lower standard deviation bands, using configurable calendar, session, or custom schedule anchors.


Language	Indie Script v5
Platform	TakeProfit
Category	Demos & templates
Type	Indicator
Author	@TakeProfit on TakeProfit
License	licensed under the MIT License (see the header of the source file)
Live script	Open on TakeProfit
Source file	Custom VWAP - usage example of indie.Schedule class.indie5

Overview

Custom VWAP computes a volume-weighted average price in a configurable anchor window and plots it as a blue line on the main chart. Green lines show the VWAP plus/minus one standard deviation band, and a semi-transparent green fill is drawn between them.

The anchor can be the trading session, calendar day/week/month/year, or a custom Schedule. The example schedule is a 24-hour rule starting at 00:00 in America/New_York, so the VWAP resets at midnight New York time instead of the default platform session boundary. The offset parameter shifts the plotted lines by a number of bars without changing the calculation.

How it works

In Main.__init__, create a custom Schedule with a 24-hour ScheduleRule from midnight to midnight in America/New_York.
Initialize persistent accumulator variables using Var.new for weighted price, volume, VWAP sum/count, and squared deviations.
Convert ctx.time[0] and previous bar time to UTC datetimes for calendar anchor comparisons.
Check reset conditions: Schedule and Session use is_same_period; Day, Week, Month, and Year compare calendar fields.
If reset is needed, zero all accumulators with .set(0).
Update cumulative weighted price and cumulative volume, then compute vwap_value as their ratio.
Update running VWAP sum/count, average, squared deviations, and vwap_std_dev.
Build MutSeriesF outputs for VWAP, upper, and lower bands, and return them for plotting.

Mathematical model

\[\text{VWAP} = \frac{\sum \text{src}_i \cdot \text{volume}_i}{\sum \text{volume}_i}\] \[\mathrm{vwap\_avg} = \frac{\sum \mathrm{vwap\_value}_i}{n}\] \[\sigma = \sqrt{\frac{\mathrm{vwap\_dev\_squares}}{n}}\] \[\mathrm{vwap\_dev\_squares} \leftarrow \mathrm{vwap\_dev\_squares} + (\mathrm{vwap\_value} - \mathrm{vwap\_avg})^2\]

Logic flow

flowchart TD
A["Start calc for current bar"] --> B["Read time0 and previous time"]
B --> C["Reset condition met?"]
C -- Yes --> D["Reset all accumulators to 0"]
C -- No --> E["Do not reset"]
D --> F["Update weighted price and volume sums"]
E --> F
F --> G["Compute vwap value"]
G --> H["Update vwap sum count and average"]
H --> I["Update deviation squares and std dev"]
I --> J["Return vwap upper lower"]

Parameters

Parameter	Type	Default	Range	Description
`src`	source	source.HLC3		Source
`anchor`	str	Schedule		Anchor
`offset`	int	0	-500 - 500	Offset

Code walkthrough

Persistent Vars and timestamps

Lines 20-28 of Custom VWAP - usage example of indie.Schedule class.indie5:

    cum_weighted_price = Var[float].new(0)
    cum_volume = Var[float].new(0)
    vwap_sum = Var[float].new(0)
    vwap_count = Var[int].new(0)
    vwap_dev_squares = Var[float].new(0)

    current_datetime = datetime.utcfromtimestamp(self.ctx.time[0])
    prev_datetime = datetime.utcfromtimestamp(self.ctx.time.get(1, 0))
    need_reset = False

Var[float].new(0) and Var[int].new(0) hold state across bars. The algorithm reads the current bar’s epoch time and the previous bar’s epoch time with ctx.time.get(1, 0), then uses utcfromtimestamp to work with UTC datetimes for calendar comparisons.

Schedule and Session reset detection

Lines 30-38 of Custom VWAP - usage example of indie.Schedule class.indie5:

    if anchor == 'Schedule' and schedule is None:
        raise IndieError("Schedule parameter cannot be None when anchor is set to 'Schedule'")

    if anchor == 'Schedule' and \
            not schedule.value().is_same_period(self.ctx.time[0], self.ctx.time.get(1, 0)):
        need_reset = True
    if anchor == 'Session' and \
            not self.ctx.trading_session.is_same_period(self.ctx.time[0], self.ctx.time.get(1, 0)):
        need_reset = True

If anchor is Schedule, schedule.value().is_same_period compares the current and previous timestamps; if they are not in the same scheduled period, need_reset is set. For Session, the same logic uses ctx.trading_session.is_same_period. A missing schedule with Schedule anchor raises IndieError.

Calendar anchor reset logic

Lines 39-49 of Custom VWAP - usage example of indie.Schedule class.indie5:

    if anchor == 'Day' and (current_datetime.day != prev_datetime.day or
                            (current_datetime-prev_datetime).days >= 1):
        need_reset = True
    elif anchor == 'Week' and ((current_datetime.weekday() == 0 and prev_datetime.weekday() != 0) or
                               (current_datetime-prev_datetime).days >= 7):
        need_reset = True
    elif anchor == 'Month' and (current_datetime.month != prev_datetime.month or
                                (current_datetime-prev_datetime).days >= 31):
        need_reset = True
    elif anchor == 'Year' and current_datetime.year != prev_datetime.year:
        need_reset = True

This branch handles Day, Week, Month, and Year. A week resets when the current day is Monday and the previous day was not, or when the gap is at least seven days. Month resets on a month change or a 31-day gap, while year only compares the year field.

Resetting and computing VWAP

Lines 51-60 of Custom VWAP - usage example of indie.Schedule class.indie5:

    if need_reset:
        cum_weighted_price.set(0)
        cum_volume.set(0)
        vwap_sum.set(0)
        vwap_count.set(0)
        vwap_dev_squares.set(0)

    cum_weighted_price.set(cum_weighted_price.get() + src[0] * self.ctx.volume[0])
    cum_volume.set(cum_volume.get() + self.ctx.volume[0])
    vwap_value = cum_weighted_price.get() / cum_volume.get()

When a reset is detected, all accumulators are zeroed before processing the current bar. Then the current src[0] * ctx.volume[0] is added to the weighted-price accumulator, ctx.volume[0] is added to the volume accumulator, and vwap_value is the division of the two.

Running average, deviation, and return

Lines 62-72 of Custom VWAP - usage example of indie.Schedule class.indie5:

    vwap_sum.set(vwap_sum.get() + vwap_value)
    vwap_count.set(vwap_count.get() + 1)
    vwap_avg = vwap_sum.get() / vwap_count.get()
    vwap_dev_squares.set(vwap_dev_squares.get() + (vwap_value - vwap_avg) ** 2)
    vwap_std_dev = sqrt(vwap_dev_squares.get() / vwap_count.get())

    std_dev = std_dev_mult * vwap_std_dev
    lower = MutSeriesF.new(vwap_value - std_dev)
    upper = MutSeriesF.new(vwap_value + std_dev)

    return MutSeriesF.new(vwap_value), upper, lower

The script maintains a running average of the VWAP values themselves. Each new VWAP value is added to vwap_dev_squares using the updated mean, then sqrt(vwap_dev_squares / vwap_count) gives the standard deviation. MutSeriesF.new creates series values so Main.calc can read them with [0].

Schedule creation in Main.init

Lines 83-88 of Custom VWAP - usage example of indie.Schedule class.indie5:

    def __init__(self, src, anchor, offset):
        rule = ScheduleRule(start=time(hour=0), end=time(hour=0)) # 24-hour rule
        self.schedule = Schedule(rules=[rule], timezone='America/New_York')
        self.src = src
        self.anchor = anchor
        self.offset = offset

The custom schedule is built once in __init__ rather than on every bar. A ScheduleRule with equal start and end times represents a 24-hour cycle, and the timezone='America/New_York' argument places the reset boundary at midnight New York time.

Reading the chart

The blue line is vwap; its value is cumulative src * volume divided by cumulative volume since the last reset.
The green lines are upper and lower, drawn at vwap_value +/- std_dev, where std_dev comes from sqrt(vwap_dev_squares / vwap_count) multiplied by std_dev_mult = 1.0.
The semi-transparent green fill between the green lines is rendered by plot1.Fill().
If offset is non-zero, the plotted lines are shifted horizontally by that many bars; the underlying calculation is unaffected.
At each anchor boundary the accumulators are zeroed, so the VWAP and bands restart from the current bar.

Implementation notes

The Schedule object is built in Main.__init__ because recreating it inside calc on every bar would be inefficient.
std_dev_mult is accepted by Vwap.new but Main.calc passes the literal 1.0, so the UI does not expose it.
The deviation accumulator adds (vwap_value - vwap_avg)^2 using the updated average, so it is not an exact full recomputation of the standard deviation.
If cumulative volume remains zero, vwap_value divides by zero; the script has no explicit guard for this edge case.

FAQ

How can I change the custom reset time?

Edit the ScheduleRule in Main.__init__; for example, change start=time(hour=0), end=time(hour=0) to start=time(hour=16), end=time(hour=16) for 16:00 New York time. The timezone is set by the Schedule constructor’s timezone argument.

Can I use the platform’s normal session instead of a custom schedule?

Yes. Select Session in the anchor parameter. The reset boundary is then determined by ctx.trading_session.is_same_period instead of the custom schedule. The script defaults to Schedule.

Why is there no UI setting for the standard deviation multiplier?

std_dev_mult is a parameter of Vwap, but Main.calc passes a literal 1.0. To expose it, add a parameter decorator in Main.__init__ and pass that value instead of 1.0.

Full source code

Indie Script v5, as published on TakeProfit. Copy it into the platform’s script editor or open the live script.

# Copyright (c) 2024 @TakeProfit. All rights reserved.

# This work is licensed under the MIT License.
# For a copy, see <https://opensource.org/licenses/MIT>.

# indie:lang_version = 5
from math import sqrt
from datetime import datetime, time
from indie import algorithm, SeriesF, MutSeriesF, Var, Optional, IndieError, MainContext, plot as plot1
from indie import indicator, param, source, plot, color
from indie.schedule import Schedule, ScheduleRule


@algorithm
def Vwap(self, src: SeriesF, anchor: str, std_dev_mult: float, schedule: Optional[Schedule] = None) -> tuple[SeriesF, SeriesF, SeriesF]:
    '''
    Custom Volume Weighted Average Price
    anchor can be 'Session', 'Day', 'Week', 'Month', 'Year', 'Schedule'
    '''
    cum_weighted_price = Var[float].new(0)
    cum_volume = Var[float].new(0)
    vwap_sum = Var[float].new(0)
    vwap_count = Var[int].new(0)
    vwap_dev_squares = Var[float].new(0)

    current_datetime = datetime.utcfromtimestamp(self.ctx.time[0])
    prev_datetime = datetime.utcfromtimestamp(self.ctx.time.get(1, 0))
    need_reset = False
    
    if anchor == 'Schedule' and schedule is None:
        raise IndieError("Schedule parameter cannot be None when anchor is set to 'Schedule'")

    if anchor == 'Schedule' and \
            not schedule.value().is_same_period(self.ctx.time[0], self.ctx.time.get(1, 0)):
        need_reset = True
    if anchor == 'Session' and \
            not self.ctx.trading_session.is_same_period(self.ctx.time[0], self.ctx.time.get(1, 0)):
        need_reset = True
    if anchor == 'Day' and (current_datetime.day != prev_datetime.day or
                            (current_datetime-prev_datetime).days >= 1):
        need_reset = True
    elif anchor == 'Week' and ((current_datetime.weekday() == 0 and prev_datetime.weekday() != 0) or
                               (current_datetime-prev_datetime).days >= 7):
        need_reset = True
    elif anchor == 'Month' and (current_datetime.month != prev_datetime.month or
                                (current_datetime-prev_datetime).days >= 31):
        need_reset = True
    elif anchor == 'Year' and current_datetime.year != prev_datetime.year:
        need_reset = True

    if need_reset:
        cum_weighted_price.set(0)
        cum_volume.set(0)
        vwap_sum.set(0)
        vwap_count.set(0)
        vwap_dev_squares.set(0)

    cum_weighted_price.set(cum_weighted_price.get() + src[0] * self.ctx.volume[0])
    cum_volume.set(cum_volume.get() + self.ctx.volume[0])
    vwap_value = cum_weighted_price.get() / cum_volume.get()

    vwap_sum.set(vwap_sum.get() + vwap_value)
    vwap_count.set(vwap_count.get() + 1)
    vwap_avg = vwap_sum.get() / vwap_count.get()
    vwap_dev_squares.set(vwap_dev_squares.get() + (vwap_value - vwap_avg) ** 2)
    vwap_std_dev = sqrt(vwap_dev_squares.get() / vwap_count.get())

    std_dev = std_dev_mult * vwap_std_dev
    lower = MutSeriesF.new(vwap_value - std_dev)
    upper = MutSeriesF.new(vwap_value + std_dev)

    return MutSeriesF.new(vwap_value), upper, lower

@indicator('Custom VWAP', overlay_main_pane=True)  # Volume Weighted Average Price
@param.source('src', default=source.HLC3, title='Source')
@param.str('anchor', default='Schedule', options=['Session', 'Day', 'Week', 'Month', 'Year', 'Schedule'], title='Anchor')
@param.int('offset', default=0, min=-500, max=500, title='Offset')
@plot.line('vwap', title='VWAP', color=color.BLUE)
@plot.line('upper', title='Upper band', color=color.GREEN)
@plot.line('lower', title='Lower band', color=color.GREEN)
@plot1.fill('upper', 'lower', color=color.GREEN(0.1), title='Background', id='#fill_3')
class Main(MainContext):
    def __init__(self, src, anchor, offset):
        rule = ScheduleRule(start=time(hour=0), end=time(hour=0)) # 24-hour rule
        self.schedule = Schedule(rules=[rule], timezone='America/New_York')
        self.src = src
        self.anchor = anchor
        self.offset = offset

    def calc(self):
        std_dev_mult = 1.0
        main_line, upper, lower = Vwap.new(self.src, self.anchor, std_dev_mult, self.schedule)
        return (
            plot1.Line(main_line[0], offset=self.offset),
            plot1.Line(upper[0], offset=self.offset),
            plot1.Line(lower[0], offset=self.offset),
            plot1.Fill(),
        )