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VWAP for stock index futures trading?


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VWAP for stock index futures trading?

  #1 (permalink)
Paris + France
 
Experience: Advanced
Platform: Sierra Chart
Trading: Futures stock indices
 
Posts: 51 since Feb 2014
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VWAP for stock index futures trading?

Hello,
in the stock world, vwap is an indicator widely used in particular with big professional money managers that use it to asses the performance of traders.

Is this indicator relevant in the stock index futures world? Is it used and watched by large professionals? Should I even bother watching in when trading intraday on the ES/MES?

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  #3 (permalink)
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brakkar View Post
Hello,
in the stock world, vwap is an indicator widely used in particular with big professional money managers that use it to asses the performance of traders.

Is this indicator relevant in the stock index futures world? Is it used and watched by large professionals? Should I even bother watching in when trading intraday on the ES/MES?

It's very widely used. Essentially, anything that works in the stock market will also have application in the stock futures market. Probably most trading platforms have it available.

Your profile says you use NinjaTrader. I believe that in NT8 VWAP is natively available in the more expensive lifetime license, although I could be wrong about that. But there is an excellent free VWAP for NT in the FIO download section, and it's what most NT users generally have used: https://futures.io/local_links.php?action=ratelink&catid=27&linkid=1897

It is a strategic choice, though. Many use it, and many do not. It depends on what your overall approach is to the market. You can't use everything.

Bob.

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  #4 (permalink)
Legendary Market Wizard
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brakkar View Post
Hello,
in the stock world, vwap is an indicator widely used in particular with big professional money managers that use it to asses the performance of traders.

Is this indicator relevant in the stock index futures world? Is it used and watched by large professionals? Should I even bother watching in when trading intraday on the ES/MES?

VWAP is the ONLY moving average you need on your chart. The VWAP is a key measure of execution quality for large orders used by institutional investors. There is no playing down its importance.

There is so much more to VWAP. Some traders either don't know or have undervalued its importance. It goes way beyond the VWAP for the current day. You can use static historical VWAPs, historical rolling VWAPs, static ETH VWAPs, rolling ETH VWAPs, a developing VWAPs pinned to a swing high or swing low as key reference points. You can determine a VWAP test, a VWAP cross, a VWAP reversion and of course you can apply these to the STD DEV of VWAP too. And so much more!

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  #5 (permalink)
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JonnyBoy View Post
VWAP is the ONLY moving average you need on your chart. The VWAP is a key measure of execution quality for large orders used by institutional investors. There is no playing down its importance.

There is so much more to VWAP. Some traders either don't know or have undervalued its importance. It goes way beyond the VWAP for the current day. You can use static historical VWAPs, historical rolling VWAPs, static ETH VWAPs, rolling ETH VWAPs, a developing VWAPs pinned to a swing high or swing low as key reference points. You can determine a VWAP test, a VWAP cross, a VWAP reversion and of course you can apply these to the STD DEV of VWAP too. And so much more!

I guess you like VWAP.

Good hearing from you.

Bob.

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  #6 (permalink)
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bobwest View Post
I guess you like VWAP.

Good hearing from you.

Bob.

Nah, I can take it or leave it! Seriously though, when I got enlightened with the vast possibilities of VWAP and the reasons why it is used as a benchmark, I sat up and listened. It is more important than most traders realise. It is more important than "order flow" - I only mention order flow because those words to some traders seem to hold a mystical power. But they forget that order flow is just subjective information (at best) and execution / implementation can't be quantified or related back to any market benchmark.

Traders bonuses don't get paid because they executed well using order flow. They get paid because they beat market VWAP and thus considered had good executions.

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  #7 (permalink)
Paris + France
 
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JonnyBoy View Post

Traders bonuses don't get paid because they executed well using order flow. They get paid because they beat market VWAP and thus considered had good executions.

On stock index futures like ES also?

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  #8 (permalink)
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Yes, particular ES

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  #9 (permalink)
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brakkar View Post
On stock index futures like ES also?

Of course.



Bob.

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  #10 (permalink)
Paris + France
 
Experience: Advanced
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tr8er View Post
Yes, particular ES

Should it be calculated including pre stock market hours, or should it be calculated on stock market hours regular session? (in the case of the ES)

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