Support Board

Calculations and Displays
The custom indicator presented in this paper captures the security’s price every second to create a custom data series. An average price using this data series is then computed every other second for a better representation of the market price up until that point. At the end of a bar, the last computed average price is displayed on the chart and is used in the TWAP calculation.
The displayed TWAP is the average of the averages of those prices, just like the traditional TWAP calculation. However, the resolution is much finer due to the process of sampling prices every second versus using only four prices per bar (open/high/low/close). (Note that it initially takes two bars of data to see the TWAP in the chart.)
TWAP bands, based on a number of standard deviations away from the TWAP, may be added to the display of the TWAP. The standard-deviation calculation takes place every other second, just like the average calculation mentioned above.
In summary, there are three different sets of plots in the chart:
the average of the security’s price per bar calculated every other second
the TWAP, which is the cumulative average of the first plot
the TWAP bands, which are the different standard deviations around the TWAP.