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VWAP SESSION NT indicator problem
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VWAP SESSION NT indicator problem

  #1 (permalink)
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VWAP SESSION NT indicator problem

Can anyone help? I get this error message. http://screencast.com/t/pYixmch9PZ. When trying to load FT's VWAP SESSION?

Also, I'm trying to load a template (Copy and paste the template files into the following directory:
Computer > Documents > NinjaTrader 7 > templates > Chart) I can't find it on the chart were it says load template does not appear?

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  #2 (permalink)
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  #3 (permalink)
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babypowder View Post
Can anyone help? I get this error message. Error - babypowder's library. When trying to load FT's VWAP SESSION?

The indicator only runs on NT 7.0.1000.5 and later. Which version of NinjaTrader do you use?

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Changed thread title from "NT help" to "VWAP SESSION NT indicator problem".

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  #5 (permalink)
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day session only

Not sure why I am having this problem with Session VWAP Daily V42.

I am trying to select day session (RTH) only, e.g. 9:30 eastern start time to calc vwap.

No matter what I do I cannot get the VWAP line to start at market open. It wants to start at midnight or something like that.

What should I have loaded if I want to start the vwap calc at the beginning of the day session?

I am using CME US Index Futures ETH for the data series - so the chart shows a full 24 hours.

This is for a globex es chart.

Any help is appreciated.

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VWAP SESSION NT indicator problem-ft-vwap.png  
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  #6 (permalink)
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mmaker View Post
Not sure why I am having this problem with Session VWAP Daily V42.

I am trying to select day session (RTH) only, e.g. 9:30 eastern start time to calc vwap.

No matter what I do I cannot get the VWAP line to start at market open. It wants to start at midnight or something like that.

What should I have loaded if I want to start the vwap calc at the beginning of the day session?

I am using CME US Index Futures ETH for the data series - so the chart shows a full 24 hours.

This is for a globex es chart.

Any help is appreciated.

@mmaker,

this is no problem with @Fat Tails vwap indicator

if you use an eth session template, you need to select "calculate from session = eth" (you took rth). also you need to adjust the "offset eth". if my math is correct, the offset should be "15:30". this is the difference from eth starting time at 6:00 pm eastern time, till rth open at 9:30 am eastern time.

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  #7 (permalink)
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Thank You

Silvester you nailed it again.

I did try eth but I only had 9:30 for the hours. (I have this thing in my head that the trading session starts at midnite but it doesn't).

I knew it was something I was doing wrong and I wondered why I was special because it has been downloaded close to 6,000 times.

I won't even mention I tried to hardcode a start time lol.

Anyways thanks very much for your help Silvester. You have helped me twice in 24 hours .

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  #8 (permalink)
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Settings for display of RTH VWAP


mmaker View Post
Silvester you nailed it again.

I did try eth but I only had 9:30 for the hours. (I have this thing in my head that the trading session starts at midnite but it doesn't).

I knew it was something I was doing wrong and I wondered why I was special because it has been downloaded close to 6,000 times.

I won't even mention I tried to hardcode a start time lol.

Anyways thanks very much for your help Silvester. You have helped me twice in 24 hours .



@mmaker: The indicator can be used in two different ways to display an RTH VWAP.

(1) The original design requires a subdivided session template. I will explain this by selecting ES as an example.
Taking the contractual trading times for ES, you will find

-> night session from 5:00 PM Central to 8:30 AM Central
-> regular session from 8:30 AM Central to 3:15 PM Central
-> evening session from 3:30 PM Central to 4:15 PM Central

The session template is attached below.

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The use of this session template allows the indicator to autodetect the regular session with default settings, when you set the indicator to RTH. Personally, I have created such specific session templates for all instruments that I trade and selected these templates as default templates via the instrument manager. Then I open all charts with <instrument settings>.The advantage is that I can toggle between instruments without any need to change indicator settings, although different instruments have different trading times. The indicator auto-adjusts to all instruments.


(2) As many users do not use those subdivided templates, I have added an offset to the indicator. The offset allows to shift the anchor point of the VWAP away from the session start. Below are a few charts that show how to make use of the offset to create a RTH VWAP or a VWAP with a different anchor point.


Standard case: Regular session start at 8:30 AM Central

The first chart uses the divided session template. With an offset of 0:00 the indicator aligns to the session break. The second chart uses an ETH template for US index futures. In this case an offset of 15:30 hours needs to be set to shift the anchor point of the VWAP from 5:00 PM Central to 8:30 AM Central.

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Other cases: The VWAP with SD bands is an indicator that puts on weight throughout the life of the session. During the first 30 to 60 minutes it can be pretty unreliable, as a few high volume bars can move it around. Therefore I would recommend to use an anchor point prior to the session start. One option is simply to use the ETH VWAP, another option would be to let it start two hours earlier than the session, see chart below.

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  #9 (permalink)
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Fat Tails View Post
@mmaker: The indicator can be used in two different ways to display an RTH VWAP.

(1) The original design requires a subdivided session template. I will explain this by selecting ES as an example.
Taking the contractual trading times for ES, you will find

-> night session from 5:00 PM Central to 8:30 AM Central
-> regular session from 8:30 AM Central to 3:15 PM Central
-> evening session from 3:30 PM Central to 4:15 PM Central

The session template is attached below.

The use of this session template allows the indicator to autodetect the regular session with default settings, when you set the indicator to RTH. Personally, I have created such specific session templates for all instruments that I trade and selected these templates as default templates via the instrument manager. Then I open all charts with <instrument settings>.The advantage is that I can toggle between instruments without any need to change indicator settings, although different instruments have different trading times. The indicator auto-adjusts to all instruments.


(2) As many users do not use those subdivided templates, I have added an offset to the indicator. The offset allows to shift the anchor point of the VWAP away from the session start. Below are a few charts that show how to make use of the offset to create a RTH VWAP or a VWAP with a different anchor point.


Standard case: Regular session start at 8:30 AM Central

The first chart uses the divided session template. With an offset of 0:00 the indicator aligns to the session break. The second chart uses an ETH template for US index futures. In this case an offset of 15:30 hours needs to be set to shift the anchor point of the VWAP from 5:00 PM Central to 8:30 AM Central.

Other cases: The VWAP with SD bands is an indicator that puts on weight throughout the life of the session. During the first 30 to 60 minutes it can be pretty unreliable, as a few high volume bars can move it around. Therefore I would recommend to use an anchor point prior to the session start. One option is simply to use the ETH VWAP, another option would be to let it start two hours earlier than the session, see chart below.


just remembered something. the offset option does not work for all products.

with the russell 2000 (tf) you'll encounter some problems when applying an rth vwap on a eth chart. the reason is, not every day has the same session start time. monday to friday the market opens at 8:00 pm est. but on sunday at 6:00 pm est.

so you either have to change your offset settings every monday, or you create a custom session template with eth and rth time. I would prefer a custom session template.

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  #10 (permalink)
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Silvester17 View Post
just remembered something. the offset option does not work for all products.

with the russell 2000 (tf) you'll encounter some problems when applying an rth vwap on a eth chart. the reason is, not every day has the same session start time. monday to friday the market opens at 8:00 pm est. but on sunday at 6:00 pm est.

so you either have to change your offset settings every monday, or you create a custom session template with eth and rth time. I would prefer a custom session template.

@Silvester17: Thank you for your qualified remark. You are absolutely correct. If you want to use the anaCurrentDayVWAPV42 (latest version) with TF, then you need a custom session template to display the VWAP for the RTH session. Just using ETH and offset to display the RTH VWAP would lead to a false anchor point on Monday.

Below is a sample template that can be used for this purpose.

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