/// VWAP code that also plots standard deviations...if you want a 3rd...it should be fairly simple to add 
//
// NOTE: the code is SLOOOOWWWW...can someone help speed it up?  
// I tried my best, but can't really do much with the two for-loops...
//
// LarryJR - ljr500@hotmail.com

// need this line or else when u scroll 1 min chart over a few days, the vwap bars may change
// size (which is wrong) because of the QuickAFL processing code 
// so we ensure we have enough bars loaded for at least a couple of days... set the number appropriately.
SetBarsRequired( 10000, 0 );

// this stores true/false based on a new day...
newday=Day() != Ref(Day(), -1);

SumPriceVolume=0;
totVolume=0;
Vwap2=0;
stddev=0;
newdayindex=0;
Variance =0;

// we must use a loop here because we need to save the vwap for each bar to calc the variance later
for( i= 0; i < BarCount; i++ ) 
{ 
	// only want to reset our values at the start of a new day
	if (newday[i]==True)
	{
		SumPriceVolume=0;
		totVolume=0;
		newdayindex=i;	// this is the index at the start of a new day
		Variance=0;
		//Vwap2=0;
	}
	AvgPrice=(O[i] + H[i] + L[i] + C[i])/4;

	// Sum of Volume*price for each bar
	sumPriceVolume += AvgPrice * (Volume[i]);
		
	// running total of volume each bar
	totVolume += (Volume[i]);		

	if (totVolume[i] >0)
	{	
		Vwap2[i]=Sumpricevolume / totVolume ;
		Vwap2temp=Vwap2[i];
	}

	// now the hard part...calculate the variance...
	// a separate calc from the start of each day - note it requires the vwap from above
	// also note, we calculate starting at the first bar in the new day to today to the curent bar
	Variance=0;
	for (j=newdayindex; j < i; j++)
	{
		AvgPrice=(O[j] + H[j] + L[j] + C[j])/4;
		Variance += (Volume[j]/totVolume) * (Avgprice-Vwap2temp)*(Avgprice-Vwap2temp);
	}
	stddev_1_pos[i]=Vwap2temp + sqrt(Variance);
	stddev_1_neg[i]=Vwap2temp - sqrt(Variance);

	stddev_2_pos[i]=Vwap2temp + 2*sqrt(Variance);
	stddev_2_neg[i]=Vwap2temp - 2*sqrt(Variance);
} 
Plot (Vwap2,"VWAP2",colorDarkGrey, styleLine);
Plot (stddev_1_pos,"VWAP_std+1",colorGrey50, styleDashed);
Plot (stddev_1_neg,"VWAP_std-1",colorGrey50, styleDashed);
Plot (stddev_2_pos,"VWAP_std+2",colorGrey40, styleDashed);
Plot (stddev_2_neg,"VWAP_std-2",colorGrey40, styleDashed);