Anchored VWAP bands

// VWAP from a moment picked on the chart: in the settings, press "Pick on chart" and click the
// bar to start from. Until one is picked it starts at the first loaded bar. The bands sit a
// chosen number of volume-weighted standard deviations either side, as TradingView's anchored
// VWAP draws them, and a label marks the anchor.
indicator('Anchored VWAP bands', { shortName: 'AVWAP bands', overlay: true });

const anchor = input.time('Anchor', null);
const source = input.source('Source', 'hlc3');
const width = input.float('Bands (deviations)', 1, { min: 0.5, max: 3, step: 0.5 });
const note = input.string('Anchor label', 'Anchor');

const chart = bars();
const volume = state.bar<number>(0);
const weighted = state.bar<number>(0);
const squares = state.bar<number>(0);

const tone = color.study(3);
const vwap = plot.line('VWAP', { width: 2, color: tone });
const upper = plot.line('Upper band', { color: color.withAlpha(tone, 0.55) });
const lower = plot.line('Lower band', { color: color.withAlpha(tone, 0.55) });
const band = plot.fill('Band', upper, lower, { color: color.withAlpha(tone, 0.07) });
const start = plot.shape('Anchor', { shape: 'labelUp', location: 'below', color: tone, text: note });

chart.onBar(() => {
  if (anchor !== null && chart.time < anchor) return;
  const first = volume.value === 0;
  const price = chart.source(source);
  // A bar with no volume yet (a minute with no trades, or one just opened) adds nothing and keeps the VWAP.
  const traded = isNa(price) ? 0 : nz(chart.volume);
  if (traded > 0) {
    volume.value += traded;
    weighted.value += price * traded;
    squares.value += price * price * traded;
  }
  if (volume.value === 0) return;
  const mean = weighted.value / volume.value;
  const deviation = Math.sqrt(Math.max(0, squares.value / volume.value - mean * mean));
  vwap.set(mean);
  upper.set(mean + width * deviation);
  lower.set(mean - width * deviation);
  start.set(first);
});