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gbDWAP

gbDWAP, Ver 1.0, TraderGB, June 24, 2021

Description:
gbDWAP is the Delta Volume Weighted Average Price. I was interested in what it would look like if regular volume in VWAP was replaced with the 'absolute value' of the delta volume. Note, since delta volume can be either positive or negative, the absolute value is used rather than the signed value. The Typical price is used in the calculation for this indicator.

The attached chart shows VWAP (Yellow), DWAP-BidAsk (Cyan), and DWAP-UpDownTick (Pink) side-by-side so you can see how they appear relative to one another. At this point, this indicator is only an experiment born out of curiosity and I have not studied it much to determine what value it may have, if any. My initial thought is that it adds no additional value over VWAP.

Notes:
1) Make sure you enable Tick Replay for this indicator.
2) This indicator requires that you have the NT8 OrderFlowCumulativeDelta indicator. If you have the NinjaTrader Lifetime license you should have this.

Parameters:
* DeltaType: Base the DWAP on either BidAsk or UpDownTick

Category NinjaTrader 8 Indicators and More

Details: gbDWAP
Category: NinjaTrader 8 Indicators and More

June 25th, 2021
Size: 2.49 KB
Downloaded: 605 times

Comments/ratings

Zenersev June 25th, 2021 07:17 AM

Thank you very much,

I was looking for an indicator like this for a long time

bobc635 June 28th, 2021 09:11 AM

Great idea GB.... nice job!!!! Thanks

Ganymed July 1st, 2021 02:30 AM

No Comment

faithdefender July 4th, 2021 08:28 PM

No Comment

agan1337 July 8th, 2021 10:19 AM

No Comment

agan1337 July 8th, 2021 10:19 AM

Thank you

nothingbutprofits September 9th, 2021 06:58 AM

I experiment your indicator - and agreed with your assessment about the delta type (bidask/updowntick) - not much difference from original VWAP. Thanks for your experiment..as I learned from it.

Jim G June 4th, 2022 04:01 PM

No Comment

ballhaj March 3rd, 2023 09:03 AM

thanks