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.
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 January 03, 2015: Bug removed. Indicator did not work with setting "Monthly".
The indicator displays the Time 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 theTWAP shall be shown.
Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.
Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.
ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.
RTH session: It is possible to display the TWAP 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 TWAP 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 TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.
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 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
The indicator displays the Time 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 theTWAP shall be shown.
Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.
Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.
ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.
RTH session: It is possible to display the TWAP 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 TWAP 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 TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.
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.
The indicator displays the Time 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 theTWAP shall be shown.
Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.
Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.
ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.
RTH session: It is possible to display the TWAP 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 TWAP 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 TWAP 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 TWAP. 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: TWAP can now be displayed for RTH and after-session, see option RTH-multi. Three different types of TWAP bands added.
Update July 26, 2011: SessionTWAP 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 July 4, 2012: Serialization of plot parameters changed.
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.
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.
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.
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.
Indicators will only run on NT 7.0.1000.5 or later.
This is an indicator that plots pivots for a n-day rolling period. It has similar features as the Daily Pivots indicator from the Session Pivots family. The default setting for the lookback period is 3 days. The midline is identical with the 50% Balance Point Indicator.
Options: Floor pivots, pivot range, midpivots, floor pivots wide, Jackson Zones, Fibonacci pivots, Camarilla pivots, VWAP of the rolling period .
Chart settings: Please set the right side margin under chart properties to 200 to allow for correct display of the labels. The colors are adapted to dark chart backgrounds.
Session templates: The indicators require the use of a correct session template for the instrument shown on the chart. With an ETH template retracements and expansions can be only calculated from the full session high and low. If you want to calculate retracements and expansions from the regular session, it is recommended to use a multi-session template that divides the day into the night session, regular session and after-session.
Use of daily data on intraday charts: The rolling pivot indicator is designed to load daily data, if the option for "Calculate from session" is set to “Daily Bars”. This the data used by the indicator:
"Calculate from session" = "DailyBars": Pivots are entirely calculated from daily data.
"Calculate from session" = "ETH" & "Settlement/Close" = "DailyBars": High and low are taken from the full intraday sessions. The close or settlement price is taken from daily data.
"Calculate from session" = "RTH" & "Settlement/Close" = "DailyBars": High and low are taken from the regular intraday sessions. The close or settlement price is taken from daily data.
"Calculate from session" = "ETH" & "Settlement/Close" = "Intraday Close": High and low are taken from the full intraday sessions. The close is the last price traded for the full session.
"Calculate from session" = "RTH" & "Settlement/Close" = "Intraday Close": High and low are taken from the regular intraday sessions. The close is the last price traded for the regular session.
Auto setting: The Auto setting will preselect ETH for FOREX and all CME currency futures, but preselect RTH for all other instruments.
VWAP: The VWAP of the rolling period is always calculated from intraday data. Depending on the chart resolution it can be a few ticks off the correct value.
GLOBEX holiday sessions with settlement next day: The indicators are preconfigured for Globex holiday sessions without settlement for trade date next day or later. These trade dates are President’s Day, Martin-Luther-King Day, Memorial Day, Independence Day, Labour Day and Thanksgiving. The indicators will display double day sessions for these days for all GLOBEX and NYMEX traded instruments.
Update Jan 23 2011: Globex Holiday Calendar for 2011. Holiday sessions will only be applied to Globex instruments. Price markers are now correctly formatted for US interest rate futures and FOREX.
Update June 5, 2011: New signature for GetNextBeginEnd() implemented.
Update June 21, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update July 20, 2011: Serialization of the plots changed.
Update December 17, 2011: Levels R5, S5 and pivot range added. Label size is now adjustable. Globex Holiday Calendar for 2012 added.
Update July 7, 2012: Shading for Jackson Zones added.
Update December 15, 2013: Indicator entirely redesigned. Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
Detailed explanations how to use the indicator can be found here:
Options for the Pivot indicators: Floor pivots, pivot range, midpivots, floor pivots wide, Jackson Zones, Fibonacci pivots, Camarilla pivots, VWAP of the prior session.
Chart settings: Please set the right side margin under chart properties to 200 to allow for correct display of the labels. The colors are better adapted to dark chart backgrounds.
Session templates: The indicators require the use of a correct session template for the instrument shown on the chart. With an ETH template only ETH pivots can be displayed. For displaying RTH pivots, it is recommend to use a multi-session template that divides the day into the night session, regular session and after-session.
Use of daily data on intraday charts: The 3 pivot indicators are designed to load daily data, if the option for Settlement/Close is set to “Daily Bars”. This the data used by the indicator:
"Calculate from session" = "DailyBars": Pivots are entirely calculated from daily data.
"Calculate from session" = "ETH" & "Settlement/Close" = "DailyBars": High and low are taken from the full intraday sessions. The close or settlement price is taken from daily data.
"Calculate from session" = "RTH" & "Settlement/Close" = "DailyBars": High and low are taken from the regular intraday sessions. The close or settlement price is taken from daily data.
"Calculate from session" = "ETH" & "Settlement/Close" = "Intraday Close": High and low are taken from the full intraday sessions. The close is the last price traded for the full session.
"Calculate from session" = "RTH" & "Settlement/Close" = "Intraday Close": High and low are taken from the regular intraday sessions. The close is the last price traded for the regular session.
Auto setting for the 3 pivot indicators: The Auto setting will preselect ETH for FOREX and all CME currency futures, but preselect RTH for all other instruments.
VWAP: The VWAP of the prior day is always calculated from intraday data. Depending on the chart resolution it can be a few ticks off the correct value.
GLOBEX holiday sessions with settlement next day: The indicator is preconfigured for Globex holiday sessions without settlement for trade date next day or later. These trade dates are President’s Day, Martin-Luther-King Day, Memorial Day, Independence Day, Labour Day and Thanksgiving. The indicators will display double day sessions for these days for all GLOBEX and NYMEX traded instruments.
Update Jan 23 2011: Globex Holiday Calendar for 2011. Holiday sessions will only be applied to Globex instruments. Price markers - only available for zone width 0 - are now correctly formatted for US interest rate futures and FOREX.
Update June 5, 2011: New signature for GetNextBeginEnd() implemented.
Update June 21, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update July 20, 2011: Serialization of the plots changed.
Update September 13, 2011: Zones were not plotted correctly, when indicator was set to "UserDefinedValues".
Update December 12, 2011: Weekly and monthly pivots added. Levels R5, S5 added. Some labels changed. Label size is now adjustable. Globex Holiday Calendar for 2012 added.
Update July 26, 2012: Weekly and monthly pivot zones could be displayed for incomplete periods in DailyBars mode. Indicators now check whether the data for the prior week / prior month is complete.
Update December 13, 2013: Indicators entirely redesigned. Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
Detailed explanations how to use the indicator can be found here: