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Start point for daily VWAP?

  #15 (permalink)

Market Wizard
Missoula, MT
Trading Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader
Favorite Futures: CL, ES
michaelleemoore's Avatar
Posts: 3,403 since Nov 2012
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SMCJB View Post
I've always been surprised that exchanges don't actually publish VWAP for liquid contracts, and given the success of TAS/Trade at Settlement and TAM/Trade at Marker products also a TAVWAP/Trade at VWAP product. I would have thought there would be considerable interest in it.

Just curious @michaelleemoore when you talk about VWAP on ES, CL, NQ and YM how are you calculating that? Through an indicator I assume but what resolution do you use?


This is an area where my knowledge is scant. I use the VWAPs created by Fat Tails. I don't know how they're drawn, and my feeling is that he knows far more than I ever will. I'm guessing there are many ways to find the #, but Harry's #s work for me, so I'm sticking with it.

Wish I had a smarter answer, but I'm just a knuckle-dragging scalper/



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