MultiCharts: Trading Software for Automated Trading and Backtesting

Posted: **Oct 05 2023**

MultiCharts64 Version 14.0 Release (Build 25218)
Can anybody help? I am not a coder.
I am getting inconsistent results with the attached Study and Function.
The Study works OK on the SPY, OXY and VXX but not on VIX or other charts like DVN etc but not always, there tends to be inconsistency, are there too many data points for it to cope with or too many decimal points ? However it never works on EUR.USD or other currencies.

I get a message as follows:
Error in Study "VWAP_BANDS(ERY-3Minute)" ; {EXCEPTION}

Vwap-_bands_5.pla: (19.66 KiB) Downloaded 140 times

Floating-point division by zero
I cannot identify where the floating point problem is occurring.
I have attached the Study and Function.
Any suggestions as to how I could fix it would be much appreciated.

Posted: **Oct 15 2023**

Hi, check this code if works fine.

Excuse Sir TJ

Code: Select all

input: time_start (1530), time_stop (2259), upColor(blue), dnColor(Red);

vars: vwap(0),
pv(0),
Totalvolume(0),
Barfromstart(0),
Squareddeviations(0),
Probabilityweighteddeviations(0),
deviationsum(0),
standarddeviation(0),
OncePerDay(0);
If date > date[1] then OncePerDay = 0 ;
If Time >= time_start and Time <= time_stop and OncePerDay = 0 then begin
OncePerDay = 1 ; 
Barfromstart=0;
pv=AvgPrice*volume;
Totalvolume=volume;
vwap=pv/totalvolume;
end
	else
		begin
		Barfromstart=Barfromstart[1]+1;
		pv=pv[1] + AvgPrice*Volume;
		Totalvolume=Totalvolume[1] + Volume;
		vwap=pv/Totalvolume;
		end;

deviationsum=0;
	for value1= 0 to Barfromstart
		begin
		Squareddeviations=Square( vwap-avgprice[value1]);
		Probabilityweighteddeviations=volume[value1]*Squareddeviations/Totalvolume;
		deviationsum=deviationsum +Probabilityweighteddeviations;
		end;

standarddeviation=SquareRoot(deviationsum); 
Plot1(vwap, "VWAP");
plot2(vwap+standarddeviation*0.25, "0.25VWAP");
Plot3(vwap+standarddeviation*0.50, "0.50VWAP");
plot4(vwap - standarddeviation*0.25, "-025VWAP");
Plot5(vwap - standarddeviation*0.50, "-050VWAP");
plot6(vwap+standarddeviation, "+1 StDev");
plot7(vwap+standarddeviation*1.25, "+1.25 StDev");
plot8(vwap+standarddeviation*0.75, "+0.75 StDev");
plot9(vwap+standarddeviation*2.25, "+2.25 StDev");
plot10(vwap+standarddeviation*1.75, "+1.75 StDev");
plot11(vwap+standarddeviation*3.25, "+3.25 StDev");
plot12(vwap+standarddeviation*2.75, "+2.75 StDev");
plot13(vwap+2*standarddeviation, "+2 StDev");
plot14(vwap+3*standarddeviation, "+3 StDev");
plot15(vwap-standarddeviation, "-1 StDev");
plot16(vwap-2*standarddeviation, "-2 StDev");
plot17(vwap-3*standarddeviation, "-3 StDev");

plot18(vwap-standarddeviation*1.25, "-1.25 StDev");
plot19(vwap-standarddeviation*0.75, "-0.75 StDev");
plot20(vwap-standarddeviation*2.25, "-2.25 StDev");
plot21(vwap-standarddeviation*1.75, "-1.75 StDev");
plot22(vwap-standarddeviation*3.25, "-3.25 StDev");
plot23(vwap-standarddeviation*2.75, "-2.75 StDev");

var: var1(yellow);
if vwap > vwap[1] then var1 = upColor;
if vwap < vwap[1] then var1 = dnColor;
SetPlotColor(1,var1);

Posted: **Oct 16 2023**

See posts #1 & #2
1. [FAQ] How to Post Codes ... so that people can read.
viewtopic.php?t=11713

Posted: **Nov 04 2023**

sforbes,
If you still want the original Vwap-_bands_5 indicator fixed, I can edit it to behave better. Just realize that Volume Weighted Average Price is bombing with division by zero error because of missing volume data. Some symbols have historical volume available, some only have real-time volume available and forex symbols like EUR.USD do not use volume. For forex you could set "Build Volume On" to "Tick Count" instead of "Trade Volume".

Posted: **Nov 06 2023**

Thanks rrams for your suggestion, tried changing to 'Tick Count' on (Build Volume on) EUR.USD it made no difference, still comes back with 'floating-point division by zero'

Posted: **Nov 10 2023**

inputs:
time_start(1530),
time_stop(2259),
upColor(blue),
dnColor(Red);

vars:
vwap(0),
pv(0),
Totalvolume(0),
Barfromstart(0),
Squareddeviations(0),
Probabilityweighteddeviations(0),
deviationsum(0),
standarddeviation(0),
OncePerDay(0);

// Function to safely perform division
Function SafeDivide(Numerator, Denominator: Numeric): Numeric;
Begin
If Denominator <> 0 Then
Result = Numerator / Denominator
Else
Result = 0; // Avoid division by zero
End;

// Reset OncePerDay at the start of a new day
If date > date[1] then OncePerDay = 0;

// VWAP calculation
If Time >= time_start and Time <= time_stop and OncePerDay = 0 then begin
OncePerDay = 1;
Barfromstart = 0;
pv = AvgPrice * volume;
Totalvolume = volume;
vwap = SafeDivide(pv, Totalvolume); // Use SafeDivide to avoid division by zero
end else begin
Barfromstart = Barfromstart[1] + 1;
pv = pv[1] + AvgPrice * Volume;
Totalvolume = Totalvolume[1] + Volume;
vwap = SafeDivide(pv, Totalvolume); // Use SafeDivide
end;

// Standard deviation calculation
deviationsum = 0;
for value1 = 0 to Barfromstart begin
Squareddeviations = Square(vwap - avgprice[value1]);
// Ensure Totalvolume is not zero
if Totalvolume > 0 then begin
Probabilityweighteddeviations = SafeDivide(volume[value1] * Squareddeviations, Totalvolume);
deviationsum = deviationsum + Probabilityweighteddeviations;
end;
end;

standarddeviation = SquareRoot(deviationsum);

// Plotting and coloring logic...

Posted: **Nov 24 2023**

Hello Mark,
Thanks for your suggestion, I have only just seen it.

As I am not a coder please can you indicate where I am making a mistake, I am getting a Compile error
syntax error, unexpected 'identificator'
line 19, column 9:
Which is the line starting:
// Function to safely perform division
Function SafeDivide(Numerator, Denominator: Numeric): Numeric;
Many thanks.

Posted: **May 14 2024**

Hello Mark,
That code needs some TLC from you. Can't compile like that.

Posted: **May 14 2024**

Hello Mark,
Thanks for your suggestion, I have only just seen it.

As I am not a coder please can you indicate where I am making a mistake, I am getting a Compile error
syntax error, unexpected 'identificator'
line 19, column 9:
Which is the line starting:
// Function to safely perform division
Function SafeDivide(Numerator, Denominator: Numeric): Numeric;
Many thanks.

xxxxxxxxxxx

Any luck getting that to work sforbes ?

Posted: **May 16 2024**

Code: Select all

inputs:
time_start(1530),                       // Start time for calculation in HHMM format
time_stop(2259),                       // End time for calculation in HHMM format
upColor(blue),                         // Color for upward movement
dnColor(red);                          // Color for downward movement

vars:
vwap(0),                               // Variable for VWAP
pv(0),                                 // Price-volume product for VWAP calculation
Totalvolume(0),                        // Accumulator for total volume within time range
Barfromstart(0),                       // Number of bars since start of calculation
Squareddeviations(0),                  // Squared deviations for standard deviation calculation
Probabilityweighteddeviations(0),      // Weighted deviations for volume
deviationsum(0),                       // Sum of deviations
standarddeviation(0),                  // Standard deviation of prices
OncePerDay(0);                         // Flag to ensure VWAP is calculated once per day

// Function to safely perform division
Function SafeDivide(Numerator, Denominator: Numeric): Numeric;
Begin
If Denominator <> 0 Then
    Result = Numerator / Denominator
Else
    Result = 0; // Avoid division by zero by returning zero if denominator is zero
End;

// Reset OncePerDay at the start of a new day
If date > date[1] then OncePerDay = 0;

// VWAP calculation
If Time >= time_start and Time <= time_stop and OncePerDay = 0 then begin
    OncePerDay = 1;                      // Ensure calculations only start once per day
    Barfromstart = 0;                    // Reset bar counter
    pv = AvgPrice * volume;              // Calculate initial price-volume
    Totalvolume = volume;                // Set initial volume
    vwap = SafeDivide(pv, Totalvolume); // Initial VWAP calculation using SafeDivide
end else begin
    Barfromstart = Barfromstart[1] + 1;  // Increment bar count from start
    pv = pv[1] + AvgPrice * Volume;      // Update price-volume accumulation
    Totalvolume = Totalvolume[1] + Volume; // Update volume accumulation
    vwap = SafeDivide(pv, Totalvolume);  // Recalculate VWAP
end;

// Standard deviation calculation
deviationsum = 0;
for value1 = 0 to Barfromstart begin
    Squareddeviations = Square(vwap - avgprice[value1]); // Calculate squared deviation from VWAP
    if Totalvolume > 0 then begin
        Probabilityweighteddeviations = SafeDivide(volume[value1] * Squareddeviations, Totalvolume);
        deviationsum = deviationsum + Probabilityweighteddeviations; // Sum weighted deviations
    end;
end;

standarddeviation = SquareRoot(deviationsum); // Calculate standard deviation

// Plotting and coloring logic
Plot1(vwap, "VWAP", Default, Default); // Plot VWAP on chart
Plot2(standarddeviation, "StdDev", Default, Default); // Plot Standard Deviation

// Change bar colors based on comparison with VWAP
If C > vwap then
    SetPlotColor(1, upColor) // If close is above VWAP, color it blue
else
    SetPlotColor(1, dnColor); // If close is below VWAP, color it red

Posted: **May 21 2024**

// Function to safely perform division
Function SafeDivide(Numerator, Denominator: Numeric): Numeric;

Thanks for your code Mark, it still throws up the following on trying to compile:

syntax error, unexpected 'identificator'
at line 19, column 9 which is the place in the code that is causing the problem see below:

Function SafeDivide(Numerator, Denominator: Numeric): Numeric;
Begin
If Denominator <> 0 Then
Result = Numerator / Denominator
Else
Result = 0; // Avoid division by zero by returning zero if denominator is zero
End;

Posted: **May 21 2024**

sforbes,

Function SafeDivide(Numerator, Denominator: Numeric): Numeric;

- I wish MultiCharts allowed inline functions; that would help de-clutter my code database, but alas, no.

For error trapping an indicator that shows on the main subchart; it is not a good idea to just zero out the result to avoid division by zero. That has the effect of compressing the price chart because of the scale. It is better to just use the #Return keyword to avoid plotting that result.

For those that write and distribute indicators, I prefer if they would briefly explain its use in comments on the first lines of code and the bar interval it should use and where the idea came from so I can give them credit if I modify.

It is also a good idea to idiot-proof signals and indicators using alerts. Here is your original indicator re-worked so that it tells you more information if something is wrong:

MultiCharts: Trading Software for Automated Trading and Backtesting

VWAP Bands Problem with Exception Floating-point division by zero

VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero

Re: VWAP Bands Problem with Exception Floating-point division by zero