Support Board

#include "sierrachart.h"
#include <string>

#define MAX_ITERATIONS 10000

//This is a tentative solution to the problem of determining
//the proportion of charts in a chartbook trading above their
//respective VWAPs.

using namespace std;
SCDLLName("Proportion Trading Above/Below VWAP DLL")

SCSFExport scsf_ProportionTradingAboveVWAP(SCStudyGraphRef sc){
  SCInputRef ChartStudy = sc.Input[0];
  if (sc.SetDefaults){
    sc.GraphName = "Proportion Trading Above VWAP";    
    sc.AutoLoop = 1;     
    sc.FreeDLL = 1;
    sc.Subgraph[0].Name = "Proportion Trading Above VWAP";
    sc.Subgraph[0].PrimaryColor = RGB(255,0,0);
    return;
  }
  int num_of_charts;
  int num_trading_above_vwap = 0;
  for(num_of_charts = 1; num_of_charts < MAX_ITERATIONS; ++num_of_charts){
    SCGraphData BaseGraphData;
    ChartStudy.SetChartStudyValues(num_of_charts, 1);
    sc.GetChartBaseData(ChartStudy.GetChartNumber(), BaseGraphData);
    if(BaseGraphData[SC_HIGH].GetArraySize() == 0){
      //No more charts.
      break;
    }
    //Get the most recent trading price.
    int last_bar = BaseGraphData[SC_LAST].GetArraySize() - 1;
    float last_price = BaseGraphData[SC_LAST][last_bar];
    
    //Get the VWAP for the specified period of time.
    float cumulative_price_volume = 0.0;
    float cumulative_volume = 0.0;
    int num_of_trades = last_bar + 1;
    for(int j = 0; j < num_of_trades; ++j){
      cumulative_price_volume +=
        BaseGraphData[SC_HLC][j] * BaseGraphData[SC_VOLUME][j];
      cumulative_volume += BaseGraphData[SC_VOLUME][j];
    }
    float VWAP = cumulative_price_volume / cumulative_volume;
    if(last_price > VWAP){
      ++num_trading_above_vwap;
    }
  }
  --num_of_charts;
  float proportion_above_vwap =
    (float)num_trading_above_vwap / (float)num_of_charts;
  sc.Subgraph[0][sc.Index] = proportion_above_vwap;
}