VWAP for stock index futures trading?

September 18th, 2020, 03:25 PM

NT8 - VWAP Chart Template

I figured out a way to get reasonably close to my proprietary VWAP chart setup using NT8 stock indicators and a few that are not. This is for my main chart. It doesn't contain all of the bells and whistle but a fairly reasonable ''copy'' I guess you could say.

I have attached my chart template plus three additional indicators.

The indicators included are:

Rolling RTH VWAP
Labelled Line Drawing Tool
Opening Price (although I didn't attach this to the chart template, you can do this yourself if you need to).

Import the indicators into NT and then watch the video before you attempt to import the chart template. You'll understand why when you watch it.

You will need to copy the chart template to here \Documents\NinjaTrader 8\templates\Chart

Any questions just drop me a note. I am considering starting a new thread instead of continually populating this one. Although I only trade the ES on NinjaTrader, I also use Trading View for stocks and I was thinking about adding those as well. Time is the only factor here, so let's just see where this goes.

September 18th, 2020, 06:52 PM

JonnyBoy

NT8 - VWAP Chart Template

I figured out a way to get reasonably close to my proprietary VWAP chart setup using NT8 stock indicators and a few that are not. This is for my main chart. It doesn't contain all of the bells and whistle but a fairly reasonable ''copy'' I guess you could say.

I have attached my chart template plus three additional indicators.

The indicators included are:

Rolling RTH VWAP
Labelled Line Drawing Tool
Opening Price (although I didn't attach this to the chart template, you can do this yourself if you need to).

Import the indicators into NT and then watch the video before you attempt to import the chart template. You'll understand why when you watch it.

You will need to copy the chart template to here \Documents\NinjaTrader 8\templates\Chart

Any questions just drop me a note. I am considering starting a new thread instead of continually populating this one. Although I only trade the ES on NinjaTrader, I also use Trading View for stocks and I was thinking about adding those as well. Time is the only factor here, so let's just see where this goes.

I downloaded and have been playing around with the setup. I tried it on a 1597 tick as well. The last nt order flow vwap for the monthly won't let you use tick, so it throws a resolution warning. Works fine on tick if I remove that indicator and use a edevaay drawcator vwap 30 days back. This is a really nice setup and much quicker than me having to chart all the vwaps all the time. Thanks for the time and effort you put into this.

Slogging my way through c# by studying ninja indicator code. Trying to make some custom market internal indicators.

September 18th, 2020, 07:25 PM

doobietr4ader

I downloaded and have been playing around with the setup. I tried it on a 1597 tick as well. The last nt order flow vwap for the monthly won't let you use tick, so it throws a resolution warning. Works fine on tick if I remove that indicator and use a edevaay drawcator vwap 30 days back. This is a really nice setup and much quicker than me having to chart all the vwaps all the time. Thanks for the time and effort you put into this.

Slogging my way through c# by studying ninja indicator code. Trying to make some custom market internal indicators.

It will still work but based on minute data resolution. Tick would be more accurate although very chart intensive. I do have edevaay too which is super smooth, but I would be surprised if that was based on tick data. Perhaps comparing the two instances would prove either way. There is nothing wrong with minute resolution over a broad scale, but I guess it depends how granular you want to be.

Yep, keep slogging away. If you have any questions just drop them in here or send me a DM.

September 18th, 2020, 08:06 PM

JonnyBoy

Perhaps comparing the two instances would prove either way. There is nothing wrong with minute resolution over a broad scale, but I guess it depends how granular you want to be.

The monthly nt vwap on both the tick chart and the 5min was slightly off from the edevaay.

I also am getting the 7th and 16th of Sept vpoc expansion running all the way to the end of chart on tick and 5 min. Hmmm.

JonnyBoy

Yep, keep slogging away. If you have any questions just drop them in here or send me a DM.

Last time I did any programming was with Fortran and BAL 30 years ago in college.

Thanks for the offer for help.

September 18th, 2020, 09:36 PM

doobietr4ader

The monthly nt vwap on both the tick chart and the 5min was slightly off from the edevaay.

I also am getting the 7th and 16th of Sept vpoc expansion running all the way to the end of chart on tick and 5 min. Hmmm.

I'll have a look myself at the weekend RE: edvaay with my own VWAP.

With respect to the VPOC level extension to the right of the chart, this is 100% correct as they are naked levels. They will get cut back when price has touched them at the location in which price touched them.

September 20th, 2020, 09:36 AM

@JonnyBoy

Thanks for sharing your ideas and indicators. It's my pleasure to add my modest contribution to your thread. I created an indicator based on the native Order Flow VWAP in order to display the VWAP/Std Dev levels from a previous interval (Session/Week/Month). It is my first indicator for Ninja and i used this project to learn Ninjascript.

Configuration:
If you understand the parameters in the native Order Flow VWAP then you will know how to use this one. I have added the possibility to display the middle level between the VWAP and the Std Dev bands as the seperation between the levels can be quite large at the end of a session. If you don't want to see these middle lines then you just need to set the color to transparent.

For the Trading Hours parameter, you can select any of the native trading hours template that come with Ninja. However, in order to display all of them in a drop down menu, i used an enumerated type known as 'enum'. For those of you not familiar with this ninjascript type, you must know that an enumerated item cannot contain a 'space' or special characters like @-+$%#*() etc. but the underscore '_' also called underline is allowed. So it means each Trading Hours name in the script uses the symbol underscore in lieu of a space.

Here are a few examples in the script:
===========================================

Code

public enum OrderFlowStaticVWAPTradingHours
{
Use_data_series_settings,
...
CME_FX_Futures_ETH,
CME_FX_Futures_RTH,
CME_Global_Index_Futures_RTH,
CME_Housing_Futures_ETH,
CME_US_Index_Futures_ETH,
CME_US_Index_Futures_RTH,
...
US_Equities_ETH,
US_Equities_RTH,
}

===========================================

Why do i tell you this?

Because, i had to edit two entries in the user interface via the Menu Control Center> Tools> Trading Hours.

1) BMnF Bovespa (original entry was 'BM&F Bovespa' edited to remove the '&' was replaced with letter 'n')
2) Nymex Metals Energy ETH (original entry was 'Nymex Metals - Energy ETH' edited to remove '-')

So if you use one of these Trading Hours template then you need to edit them in Menu Control Center> Tools> Trading Hours.

You just need to copy say the 'Nymex Metals - Energy ETH' and edit the name so it becomes 'Nymex Metals Energy ETH'.

Also, if you have created your own trading hours template then you'll need to add it within the enum section of the script. You'll need to open the NinjaScript Editor (Control center> New> NinjaScript Editor). When the editor appears, open the folder Indicators on the panel at the right side and select 'OrderFlowStaticVWAP'. Next, insert the name of your custom template anywhere in the enum list followed by a comma ',' or edit an entry you don't use.

Let's pretend you created a custom Trading Hours
template named 'ABC DEF'

To add this new name in the script...

1) go to the control center
2) Open the menu 'New' and Select 'NinjaScript Editor'
3) open the folder Indicators on the panel at the right side
4) in the list of indicators, select 'OrderFlowStaticVWAP' <- double click on it to open
5) you can add a new blank line between two entries or edit an entry you don't need
6) just make sure you replace any space in the name with an underscore 'ABC_DEF',
7) Compile the script <- press F5 as a short cut to compile
8) return to the chart and press F5 to refresh the chart and see the change

I did a short video to show the procedure.

That's it.

How to create a new template name and add it to the indicator

Example:

ScreenCaptureES_StaticVWAP_Week

September 20th, 2020, 02:40 PM

Anyone know why the VWAP levels are different in NT8 vs Tradingview when using the same instrument?

September 20th, 2020, 02:42 PM

JonnyBoy

The CD you see in that post was very likely to do with some data collection and perhaps some analysis. It was nearly a year ago now, so I can't recall what I was doing with it!

However, CD certainly has its use. If beginning to trade VWAP, a look into the underlying structure of the market could be helpful. Therefore, if you are going to incorporate CD in some form I would advise using an indicator that measures the momentum of the cumulative delta vs. the cumulative delta itself. If you are a lifetime NT8 user there is a great indicator that does this called irDeltaMomentumV2 - you can get it via the NT website via the link below.

https://ninjatraderecosystem.com/user-app-share-download/irdeltamomentumv2-indicator/

It can help clue you in to the underlying structure of the market gauging how much delta momentum there was behind each move and helping to spot divergence. The only reason I didn't include the suggestion of using CD in some form when trading VWAP is because it can give you false positives against valid VWAP trades. This causes indecision and a reason not to take a trade. Adding another layer into the decision making process is something to be avoided.

Personally, I don't think it is necessary to have CD on your chart. VWAP and Price Action has everything you need to discern an entry, or not. VWAP trading literally tells you if you are in oscillating chop / range or in a trend. And therefore you don't need CD for that.

I marked up some obvious divergences in the chart to show what this indicator can do.

Hi @JonnyBoy! Do you know what the irDeltaMomentumV2 equivalent would be for TS?

TIA.

-Lee

September 20th, 2020, 03:10 PM

rb55

Anyone know why the VWAP levels are different in NT8 vs Tradingview when using the same instrument?

Can you post some examples to illustrate? Typically the difference is in the resolution of the VWAP calculation, minute vs. tick. The trading hour template can also be a factor with respect to where the VWAP calculation starts.

September 20th, 2020, 03:20 PM

leescharf

Hi @JonnyBoy! Do you know what the irDeltaMomentumV2 equivalent would be for TS?

TIA.

-Lee

Sorry I don't. My knowledge of TOS is virtually zero, but the coding is very simple and I would be surprised if something like this doesn't exist already.

Essentially the indicator accumulates the volume of orders filled at Bid and Ask prices and adds successive totals to the prior bar total until there is a change from positive to negative or vice versa.

VWAP for stock index futures trading?

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VWAP for stock index futures trading?