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If I'm reading thinkorswim's code correctly (and I'm not convinced I am), the formula basically boils down to: sqrt(max(((total_volume * (vwap**2)) / total_volume) - (vwap**2), 0)) Using this I'm still not able to get the same figures as thinkorswim.

# # TD Ameritrade IP Company, Inc. (c) 2011-2019 # input numDevDn = -2.0; input numDevUp = 2.0; input timeFrame = {default DAY, WEEK, MONTH}; def cap = getAggregationPeriod(); def errorInAggregation = timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or timeFrame ==...

Thanks so much for sharing this. I had no idea this was possible. The code makes a lot more sense than the other articles I've seen.

Thanks for telling me what all the variables are -- the article didn't explain it well. When I plug all the numbers into the formula, I'm still getting the wrong results. Unless I'm doing the math completely wrong (which is entirely possible).

I'm not sure what you mean by average price. Do you mean average close? Or average VWAP? VWAP is reset at open. Calculating the VWAP is not an issue. It's the bands I don't understand.

The closest I've been able to get is using the standard deviation of closing price

It doesn't help that different online resources have different formulas for calculating the bands. It doesn't appear to be as simple as finding the standard deviation of the VWAP.

Can you please elaborate on this some more? What is the notional value? By "total qty" are you referring to the total volume?

This IS a premade indicator. It's available on just about every charting platform I know. I'm asking how it's calculated. I've already been calculating standard deviation of multiple values related to VWAP but none of them match up to thinkorswim. I've been trying to figure this out for a while...

This link is not clear: https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/volume-weighted-average-price-vwap/ This is confusing. I interpret this as σ being the standard deviation of average of VWAP minus VWAP. But this gives me garbage numbers that don't...

Yes, but how are they calculated?

Thanks. I've already seen this link and stared at its contents for hours. My question is, how do I actually calculate the bands? That page doesn't do a good job at explaining how to actually perform the calculations.

In many charting platforms you have the option to set upper and lower bands for VWAP. In think or swim specifically you get: This is with a configuration of VWAP (-2.0, 2.0, DAY). How are these bands calculated? I'm able to understand and calculate VWAP, but I can't find any formulas for...