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SessionVWAP Daily (amaCurrentDayVWAP)
Version 2.5 October 27, 2019
The
Current Day VWAP
is the volume-weighted average price (VWAP) of a security for the current day’s trading session. The VWAP gives a fair reflection of the market conditions throughout the trading day and is probably the most popular benchmark used by large traders.
The Current Day VWAP can be set to calculate for the entire trading day or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.
Trading hours template:
The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.
Full_Session:
The VWAP will be calculated for the full session as selected per trading hours template.
Custom_Hours:
You may select custom hours for calculating the VWAP in different time zones.
Standard_Deviation:
The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session.
Quarter_Range:
The volatility bands are calculated as a selectable multiple of the quarter range for the current session.
Accuracy:
The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates. Therefore it is recommended to select an early anchor point and only use VWAP and volatility bands once they have stabilized.
Category
NinjaTrader 8 Indicators and More
Details:
SessionVWAP Daily (amaCurrentDayVWAP)
Category:
NinjaTrader 8 Indicators and More
September 4th, 2017
Size: 9.72 KB
Downloaded: 4282 times
Keywords:
quarterrange
session
standarddeviation
volatility
volume
volumeweighted
vwap
1897
Fat Tails
Comments/ratings
bradkop
November 22nd, 2017 10:00 PM
5 Stars as always. I've learned 99% of my coding skills from your examples. Can't Thank You enough!
topdogtony
December 8th, 2017 04:43 PM
thanks will try it out
mariohuegon
February 10th, 2018 02:23 PM
Awesome
, Thank you
kiro
March 4th, 2018 11:39 PM
Thank you Harry!!
jtrade
May 31st, 2018 04:40 AM
Thanks as always for your excellent contribution
marc2c
October 1st, 2018 03:40 PM
No Comment
Diddyp1990
October 11th, 2018 11:11 AM
Thank
20YRTRADER
October 26th, 2018 09:46 PM
Great tool.
BoltTrader
November 17th, 2018 06:54 PM
Thank you!
agan1337
May 14th, 2019 01:01 PM
Thank you very much !!!
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All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.