Volume Weighted Average Price

//@version=5
indicator(title="Volume Weighted Average Price", shorttitle="VWAP", overlay=true, timeframe="", timeframe_gaps=true)

var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")
    
computeVWAP(src, isNewPeriod, stDevMultiplier) =>
    var float sumSrcVol = na
    var float sumVol = na
    var float sumSrcSrcVol = na

    sumSrcVol := isNewPeriod ? src * volume : src * volume + sumSrcVol[1]
    sumVol := isNewPeriod ? volume : volume + sumVol[1]
    // sumSrcSrcVol calculates the dividend of the equation that is later used to calculate the standard deviation
    sumSrcSrcVol := isNewPeriod ? volume * math.pow(src, 2) : volume * math.pow(src, 2) + sumSrcSrcVol[1]

    _vwap = sumSrcVol / sumVol
    variance = sumSrcSrcVol / sumVol - math.pow(_vwap, 2)
    variance := variance < 0 ? 0 : variance
    stDev = math.sqrt(variance)

    lowerBand = _vwap - stDev * stDevMultiplier
    upperBand = _vwap + stDev * stDevMultiplier

    [_vwap, lowerBand, upperBand]

hideonDWM = input(false, title="Hide VWAP on 1D or Above", group="VWAP Settings")
var anchor = input.string(defval = "Session", title="Anchor Period",
 options=["Session", "Week", "Month", "Quarter", "Year", "Decade", "Century", "Earnings", "Dividends", "Splits"], group="VWAP Settings")
src = input(title = "Source", defval = hlc3, group="VWAP Settings")
offset = input(0, title="Offset", group="VWAP Settings")

showBands = input(true, title="Calculate Bands", group="Standard Deviation Bands Settings")
stdevMult = input(1.0, title="Bands Multiplier", group="Standard Deviation Bands Settings")

timeChange(period) =>
    ta.change(time(period))

new_earnings = request.earnings(syminfo.tickerid, earnings.actual, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_dividends = request.dividends(syminfo.tickerid, dividends.gross, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_split = request.splits(syminfo.tickerid, splits.denominator, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)

isNewPeriod = switch anchor
    "Earnings" => not na(new_earnings)
    "Dividends" => not na(new_dividends)
    "Splits" => not na(new_split)
    "Session" => timeChange("D")
    "Week" => timeChange("W")
    "Month" => timeChange("M")
    "Quarter" => timeChange("3M")
    "Year" => timeChange("12M")
    "Decade" => timeChange("12M") and year % 10 == 0
    "Century" => timeChange("12M") and year % 100 == 0
    => false

isEsdAnchor = anchor == "Earnings" or anchor == "Dividends" or anchor == "Splits"
if na(src[1]) and not isEsdAnchor
    isNewPeriod := true

float vwapValue = na
float std = na
float upperBandValue = na
float lowerBandValue = na

if not (hideonDWM and timeframe.isdwm)
    [_vwap, bottom, top] = computeVWAP(src, isNewPeriod, stdevMult)
    vwapValue := _vwap
    upperBandValue := showBands ? top : na
    lowerBandValue := showBands ? bottom : na

plot(vwapValue, title="VWAP", color=#2962FF, offset=offset)

upperBand = plot(upperBandValue, title="Upper Band", color=color.green, offset=offset)
lowerBand = plot(lowerBandValue, title="Lower Band", color=color.green, offset=offset)

fill(upperBand, lowerBand, title="Bands Fill", color= showBands ? color.new(color.green, 95) : na)