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SessionVWAP Weekly 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 the SessionVWAP Daily V43.

Update January 25, 2012: Minor enhancements. Small bug removed, which had affected the plot colors.
Update February 23, 2013: Plot recoded & CPU efficiency improved, Globex holiday calendar for 2013 added.
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 Weekly V43
Category: NinjaTrader 7 Indicators

December 28th, 2014
Size: 8.56 KB
Downloaded: 2954 times

Keywords: bands eth range rth session standarddeviation twap variance vwap

Comments/ratings

mea109 August 9th, 2011 02:48 AM

ca manquait, merci beaucoup

djkiwi August 9th, 2011 04:16 AM

Fat Tails, incredible work as usual, thanks again

Abde August 14th, 2011 10:06 AM

Fat Tails, you are the best, thanks

willo September 4th, 2011 03:57 AM

No Comment

learning0101 September 5th, 2011 09:12 AM

No Comment

renvik September 14th, 2011 08:24 PM

Harry Rocks!

Thank you for all your work.

I have just put all your latest indicators on a single chart and am trying to figure out how it all comes together.

Cheers,
Kumar

Flamehh December 14th, 2011 04:14 AM

No Comment

xaugh January 26th, 2012 09:09 PM

I am told that the most useful starting point for the VWAP when trading the current RTH open is yesterdays RTH, followed by the 5 day (week) and then the 20 day (month). This indicator would be much more versatile if the starting point was adjustable. Your an amazing programmer (but I guess you already know that).

Thanks

mkoning June 8th, 2012 06:00 AM

Thanks

Quantum March 29th, 2013 05:51 AM

No Comment

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