I have just updated the SessionVWAP and SessionTWAP.

I have also made a number of smaller modifications, improved the plot and removed a minor bug. The update is recommended.

The question is what you call a multi-session VWAP.

The standard VWAP in the downloads allows you to select between three modes: ETH, RTH and RTH_Multi.

Let us take for example CL and assume that you have divided the day into three sessions: the night session (6:00 PM to 9:00 AM), the RTH session (9:00 AM to 2:30 PM) and the after session (2:30 PM to 5:00 PM). This is possible:

ETH: VWAP will be calculated for the entire trading day.
RTH 1: VWAP will only be calculated for the night session (first segment).
RTH 2: VWAP will only be calculated for the RTH session (second segment).
RTH-Multi 2: VWAP will be calculated for the RTH session (second segment) calculation will be continued into the after-session (third segment).

If you are talking about a weekly VWAP with standard deviation bands, I think I have it somewhere, but I still need to rework that one a little bit.

I also think I have done a version that compares 1-day VWAP (average price of the current day) with a 2-day VWAP (average price over a 2-day-period) and a 3-day VWAP. But that one is still experimental.

I also plan to code a multi- timeframe VWAP, as the accuracy is not yet good on longer period (> 10 min ) charts. VWAP is a typical example, where the resolution matters:

-> on small period tick charts it will possibly never stop calculating and exhaust your CPU
-> on large period charts it will be inaccurate

So in the two cases it is better to load a 1-minute series and use it to calculate the VWAP. This will solve both the CPU and accuracy problems.

But what do you look for?

Hey FatTails,

thanks a lot. A weekly or multi day (adjustable) VWAP would be super cool if you have one that works on a small time frame chart. It would be cool to put on the one day, two day, three day, etc... thanks so much dude!

You will find a weekly VWAP included with the second package that I have posted in the Webinar thread.

Webinar: Trading the Session - Indicators Explained; Sunday July 31, 2:00 PM EST I am pleased to announce a webinar on session indicators and how to trade them for next Sunday, July 31 at 2:00 PM EST. It will not be easy to fit the subject into a single webinar, but nevertheless I will try to do it. The webinar will have two parts: …

Use it with Variance_Distance or Session_Range setting, and it should work on real-time charts. Avoid Variance_Last settings for smaller timeframe charts.

Hey Fat Tails, thanks so much for the VWAP indicators you have shared with the community at Big Mikes. I'm loving these VWAP indicators and wondering if there is a way to put the RTH VWAP on at ETH chart so that both the RTH AND ETH VWAP lines coexist on the same chart, preferably placing the RTH VWAP on the ETH chart? Is it possible?

Thanks again for your awesome indicators and great posts!

Use a session template that divides the day into the RTH session and the remainder. I attach session templates for ES and CL below as an example.

Then apply the VWAP and set it to RTH and 2nd session (as the RTH session is the second session of your template). If you set the VWAP to RTH_Multi, it will continue its calculation from the 2nd into the 3rd session for CL.

Super cool man, thanks. BTW, ss there a way to setup sessions so as to create the two day vwap? I really like the weekly though from eyeballing the chart it seems the two would be very handy indeed. Was driving all weekend at my other job so missed the webinar but will take a look at it as soon as I can. Do you happen to have a two day vwap, even if it's not perfect? Thanks again man! You are a genius!

Currently do not have a 2-day VWAP that can be easily used.