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SessionVWAP Daily (amaCurrentDayVWAP) 5 *
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 
 
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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
SessionVWAP Daily V43 5 *
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.

RTH multi: The VWAP will be displayed starting from the open of the RTH session as specified and then continue through the after 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.

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.

Update Jan 23, 2011: Globex holiday calendar for 2011 added. Holiday sessions will only be applied to Globex instruments. Indicators now also work on tick and volume charts.
Update May 17, 2011: New signature for GetNextBeginEnd() implemented.
Update June 15, 2011: VWAP can now be displayed for RTH and after-session, see option RTH-multi. Three different types of VWAP bands added.
Update July 26, 2011: SessionVWAP uses (high + low + open + close) / 4 for higher accuracy. Adapted to different plot styles.
Update January 25, 2012: Globex holiday calendar for 2012 added. 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 
 
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Details: SessionVWAP Daily V43
Category: NinjaTrader 7 Indicators 


December 28th, 2014
Size: 9.70 KB
Downloaded: 10902 times

Keywords: bands range session twap vwap eth rth standarddeviation variance
SessionVWAP Monthly (amaCurrentMonthVWAP) 5 *
Version 2.0 August 11, 2017

The Current Month VWAP is the volume-weighted average price (VWAP) of a security for the current month. The VWAP gives a fair reflection of the market conditions throughout the trading month and is one of the most popular benchmarks used by large traders.

The Current Month VWAP can be set to calculate for the entire trading month 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 and week.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current month.

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.


Category NinjaTrader 8 Indicators and More 
 
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SessionVWAP Monthly V43 5 *
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 
 
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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
SessionVWAP Weekly (amaCurrentWeekVWAP) 5 *
Version 2.0 August 11, 2017

The Current Week VWAP is the volume-weighted average price (VWAP) of a security for the current week. The VWAP gives a fair reflection of the market conditions throughout the trading week and is one of the most popular benchmarks used by large traders.

The Current Week VWAP can be set to calculate for the entire trading week 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 and week.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current week.

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.


Category NinjaTrader 8 Indicators and More 
 
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Details: SessionVWAP Weekly (amaCurrentWeekVWAP)
Category: NinjaTrader 8 Indicators and More 


September 4th, 2017
Size: 9.89 KB
Downloaded: 1693 times

Keywords: session standarddeviation volatility volume volumeweighted vwap weekly
SessionVWAP Weekly V43 5 *
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 
 
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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
Set overall max profit/loss for a strategy 5 *
Here's some code I came up with from various samples to give me some peace of mind if you were to run your strategies unattended.

Nothing fancy, but it can be easily personalized with your own messages, input variables, etc.

Please test before using with real money!!!

Place in the Variables section...
 
Code
        private double    priorCumProfit    = 0;
Place at the beginning of the OnBarUpdate() section...
 
Code
// At the start of a new session calculate the prior cum profit so it won't be included in the 
// calculation. Need this for historical testing.
if (Bars.FirstBarOfSession)
    {priorCumProfit = Performance.AllTrades.TradesPerformance.Currency.CumProfit;}

// *** Calculate the toal profit (cumulative profit minus prior profit plus the current position profit 
double myMaxProfit = (double) 1000;
double myMaxLoss = (double) -1000;
double cumProfit = (double) Performance.AllTrades.TradesPerformance.Currency.CumProfit;
double curPosition = (double) Position.GetProfitLoss(Close[0], PerformanceUnit.Currency);
double totCumProfit = (double) cumProfit - priorCumProfit + curPosition ;
            
// *** STOP the strategy! if a total profit or loss exceeds the max
if (totCumProfit <= myMaxLoss || totCumProfit >= myMaxProfit)
    {
    if (Position.MarketPosition == MarketPosition.Long) {ExitLong("DMA: Exit Long - max Profit/Loss exceeded", "");}
    if (Position.MarketPosition == MarketPosition.Short) {ExitShort("DMA: Exit Short - max Profit/Loss exceeded", "");}
    Print(Time[0] + ": EXIT STRATEGY - Max Profit/Loss exceeded: $" + myMaxProfit + "/$" + myMaxLoss + ", Current: $" + totCumProfit);
    return;
    }


Category NinjaTrader 6.5 Miscellaneous 
 
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Details: Set overall max profit/loss for a strategy
Category: NinjaTrader 6.5 Miscellaneous 


July 1st, 2009
Size: 1.59 KB
Downloaded: 78 times
shark's template 11 range
Here is my "11 range bars" template.
last update to template july409


Category NinjaTrader 6.5 Templates 
 
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Details: shark's template 11 range
Category: NinjaTrader 6.5 Templates 


July 1st, 2009
Size: 3.29 KB
Downloaded: 1380 times
SharkTrend
There is nothing really new in the coding here as all I did was create an indicator from the ZSharkTrendStoch that paints the background of price based on the ZSharktrendStoch being under 10 or greater than 90. I am more of a visual trader so if I can modify things into arrows, lines on price or whatever makes things easier for me to see, then that is what I do.


Category The Elite Circle 
 
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Details: SharkTrend
Category: The Elite Circle 


July 24th, 2012
Size: 8.06 KB
Downloaded: 1328 times
sharky's templates 4 range 5 *
Here is my trade chart template (4 range bars), my confirmation chart (11 range bars) is above
last update july409


Category NinjaTrader 6.5 Templates 
 
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Details: sharky's templates 4 range
Category: NinjaTrader 6.5 Templates 


July 1st, 2009
Size: 3.65 KB
Downloaded: 1328 times
 



 
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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.
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