Midas (VWAP) is normally applied over a period of several days or day tickets.
Or, on a very short period of 30 Mn and 60 Mn.
In all cases, each time we reset the vaiables and you begin to calculate the value continuously.
In this version, we chose a period of calculation, the latter value is added at the end of the Plot which gives it a continuous does not depend on a break.
The first images below a 12 Period, UT 5 Mn, gives us the progression of Midas in the last hour.
On the second image, a period 168, UT 5 Mn (session 14 hours, 12 * 5 = 168), we can see that Midas Custom Period and daily VWAP have the same value at the end of the day.
I hope it will serve you.
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Generally MIDAS refers to an anchored volume weighted moving average (VWAP), where as your indicator is a simple volume weighted moving average.
The VWMA is a NinjaTrader default indicator. If I use it with a period of 168, I get exactly the same picture as yours.
But this is not MIDAS.
It is still one of my projects, to attach the VWAP to the swing points of a zig zag and use it for establishing support and resistance. For FOREX you would need to replace the VWAP with a TWAP, as there is no volume information.
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I did a few quick hacks on the indicator from Gold Standard's thread to make it work in NT7.
(The DrawText and DrawLine signatures had to be updated from the NT6.5 syntax.)
Because the labels have a white background, you might want to put this indicator on a chart with a white background.
There are too many labels, so I added a parameter to turn them on and off. If they are turned off, the indicator looks fine on a dark background. You can also set the color of the zigzag lines to transparent.
There is a lot more that can be done with this. It's a diamond in the rough.
Last edited by Zondor; January 6th, 2012 at 03:00 AM.
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It's very nice of you to step in and provide us w/ this indicator for NT7.
I was going to post an indicator request but since I have your attention here and you are THE Authority from futures.io (formerly BMT) on volume study I'll just ask about it here.
I just took an interest on tape reading and wonder if there's any indicator that could spot such instances when market orders get absorbed by resting limit orders. I think they call it iceberg.
I've noticed these situations a few times. The most recent one was at the top of ES on Tuesday.
I can't remember exact price but it was ****.00 at ask and ****.75 at bid.
I wanted to sell at ****.00 and never got filled for at least 2 minutes while there were plenty of orders going through at ****.00 at ask.
Then it was the top of the day.
If we have such an indicator it help see if key S/R will hold and reverse.
And if I go a step further from here and if we can monitor the activity of cancelled or pulled limit orders after the hold or breakout of such S/R we can go in with the flow with more conviction??
For the case of top of the day above if we see the increase of cancelled or pulled BUY limit orders when price's going down
it's more conviction I guess.
I've seen some tape or DOM where they show pulled/cancelled resting orders but I don't know how they calculate but I'm sure YOU know.
You think I'm doing the price/volume analysis right and if so do-able?