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Forex with Ninjatrader

  #12 (permalink)

Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,798 since Mar 2010
Thanks: 4,236 given, 26,404 received


mrphr View Post
@bobarian VWAP will not work with FOREX remember there is no volume with FOREX however you can use TWAP - Time Weighted Average Price, the calculation is different than VWAP but it works in a similar way it takes the length of the bars or candles into account and not volume, I did use TWAP it in the past.

I saw on your journal that you are using @Fat Tails studies you should definitely talk to him, he have done some coding for me back in the days when I was trading FOREX, he will be able to help you out.

VWAP may work with FOREX in case that the FOREX data provider supplies tick volume. Otherwise it is possible to replace volume with the square of the tick range and get an excellent approximation without using volume.

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