-- More information about this indicator can be found at:
-- http://fxcodebase.com/code/viewtopic.php?f=17&t=65661
-- Id:

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function AddDev(id, def)
    indicator.parameters:addDouble("dev_" .. id, "Deviations " .. id, "", def);
    indicator.parameters:addColor("dev_" .. id .. "_color", "Color", "Color", core.colors().Red);
    indicator.parameters:addInteger("dev_" .. id .. "_width", "Width", "Width", 1, 1, 5);
    indicator.parameters:addInteger("dev_" .. id .. "_style", "Style", "Style", core.LINE_SOLID);
    indicator.parameters:setFlag("dev_" .. id .. "_style", core.FLAG_LINE_STYLE);
end

function Init()
    indicator:name("Any Time Frame VWAP")
    indicator:description("Any Time Frame VWAP")
    indicator:requiredSource(core.Bar)
    indicator:type(core.Indicator)
    indicator:setTag("group", "Volume Indicators")

    indicator.parameters:addGroup("Calculation")
    indicator.parameters:addString("TF", "Bar Size to display High/Low", "", "D1")
    indicator.parameters:setFlag("TF", core.FLAG_PERIODS)
    indicator.parameters:addGroup("Style")
    indicator.parameters:addColor("color", "Color of Daily Line", "", core.rgb(0, 255, 255))
    indicator.parameters:addInteger("width", "Width", "", 1, 1, 5)
    indicator.parameters:addInteger("style", "Style", "", core.LINE_SOLID)
    indicator.parameters:setFlag("style", core.FLAG_LINE_STYLE)

    indicator.parameters:addInteger("dev_period", "Dev period", "", 14);
    AddDev("1", 0.5);
    AddDev("2", 0.75);
    AddDev("3", 1);
    AddDev("4", 1.25);
    AddDev("5", 1.5);
end

local WP, TF
local source, first, dev_period
local devs = {};

function Prepare(nameOnly)
    dev_period = instance.parameters.dev_period;
    source = instance.source
    first = source:first()
    local name = profile:id() .. "(" .. source:name() .. ")"
    instance:name(name)
    if nameOnly then
        return
    end

    TF = instance.parameters.TF

    WP = instance:addInternalStream(0, 0)

    VWAP = instance:addStream("VWAP", core.Line, name, "VWAP", instance.parameters.color, 0)
    VWAP:setWidth(instance.parameters.width)
    VWAP:setStyle(instance.parameters.style)

    for i = 1, 5 do
        local dev = {};
        dev.streamUp = instance:addStream("devup" .. i, core.Line, "Up Dev " .. i, "Up Dev " .. i, instance.parameters:getColor("dev_" .. i .. "_color"), 0, 0);
        dev.streamUp:setWidth(instance.parameters:getInteger("dev_" .. i .. "_width"));
        dev.streamUp:setStyle(instance.parameters:getInteger("dev_" .. i .. "_style"));
        dev.streamDn = instance:addStream("devdn" .. i, core.Line, "Down Dev " .. i, "Down Dev " .. i, instance.parameters:getColor("dev_" .. i .. "_color"), 0, 0);
        dev.streamDn:setWidth(instance.parameters:getInteger("dev_" .. i .. "_width"));
        dev.streamDn:setStyle(instance.parameters:getInteger("dev_" .. i .. "_style"));
        dev.val = instance.parameters:getDouble("dev_" .. i)
        devs[#devs + 1] = dev;
    end
end

function Calculate(period, Index1)
    local index = period
    local Sum1 = 0
    local Sum2 = 0

    for index = Index1, period, 1 do
        Sum1 = Sum1 + WP[index]
        Sum2 = Sum2 + source.volume[index]
    end
    if Sum2 ~= 0 then
        return Sum1 / Sum2
    else
        return 0
    end
end

function Update(period)
    WP[period] = source.volume[period] * (source.high[period] + source.low[period] + source.close[period]) / 3

    local L1 =
        core.getcandle(
        TF,
        source:date(period),
        core.host:execute("getTradingDayOffset"),
        core.host:execute("getTradingWeekOffset")
    )

    Index1 = core.findDate(source, L1, false)

    if Index1 == -1 then
        return
    end

    VWAP[period] = Calculate(period, Index1)
    local dev = mathex.stdev(VWAP, core.rangeTo(period, dev_period));
    for i, val in ipairs(devs) do
        val.streamUp[period] = VWAP[period] + dev * val.val;
        val.streamDn[period] = VWAP[period] - dev * val.val;
    end
end