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SessionVWAP Monthly V43
Exported using NT Version 7.0.1000.26
Indicator will only run on NT 7.0.1000.5 or later
The indicator displays the
Volume Weighted Average Price
of the selected session. It can be used on all types of charts.
You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session the VWAP shall be shown.
ETH session
: The VWAP will be calculated for the full session, if ETH is selected via indicator dialogue.
RTH session
: It is possible to display the VWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.
Volatility Bands
: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.
Variance_Price
: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.
Variance_Distance
: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.
Session_Range
: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.
Public Holidays
: For Globex instruments the indicator will display the ETH VWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar. If tFriday is a holiday with trade date Monday, it will then be integrated into the following week.
Colors
: Different colors can be selected for rising and falling VWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.
For further details on updates, also see SessionVWAP Daily V43.
Update March 30, 2013: Algorithm improved for both speed and accuracy. VWAP start time can be selected.
Update April 11, 2013: Plot modified for compatibility with charts built from multiple bar series.
Update May 10, 2013: Bug removed, which led to occasional false identification of the RTH session on charts built from ticks.
Update December 9, 2013: Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
Category
NinjaTrader 7 Indicators
Details:
SessionVWAP Monthly V43
Category:
NinjaTrader 7 Indicators
December 28th, 2014
Size: 8.52 KB
Downloaded: 1918 times
Keywords:
bands
eth
range
rth
session
standarddeviation
twap
variance
vwap
1367
Fat Tails
Comments/ratings
Gabriyele
February 23rd, 2013 01:47 AM
goldenriver
July 11th, 2013 06:01 PM
No Comment
MSE1
November 29th, 2013 02:06 PM
Excellent - thanks.
dnkhoward2
March 21st, 2014 11:09 AM
No Comment
DRock306
July 31st, 2016 02:03 PM
No Comment
romus
January 27th, 2021 11:05 PM
Thank you
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