OPEN-SOURCE SCRIPT

Intrabar VWAP

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If your chart timeframe is 1 hour, then each candle show you the OHLC over an hour.
The OHLC price information is rather course grained and does not include the volume.

What if you could split each 1h candle into smaller candles and calculate the Volume Weighted Average Price (VWAP) on those ?
That is exactly what this indicator does. It virtually splits your chart's candles into 1 minute candles and calculates the VWAP on those to give you a better aggregated price per candle, which includes the volume information too.

Known Limitation:
  • The intra-bar timeframe is 1 minute for simplicity and highest accuracy. I can make this configurable you have a good case.

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