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Daily Pivots


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Daily Pivots

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  #1 (permalink)
 aquila 
South Africa
 
Experience: Intermediate
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The NT7 version of amaDailyPivots had a VWMA included as a straight line at a certain price point but it's missing from the NT8 version. Is there a way it can be added? It's always been a key price point for reversals in my opinion. Currently I'm getting the level out of NT7 and then plotting it as a line in the NT8 version

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  #2 (permalink)
 Fat Tails 
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aquila View Post
The NT7 version of amaDailyPivots had a VWMA included as a straight line at a certain price point but it's missing from the NT8 version. Is there a way it can be added? It's always been a key price point for reversals in my opinion. Currently I'm getting the level out of NT7 and then plotting it as a line in the NT8 version

I am only reading this message now.

The VWAP plot of the anaPivotsDaily ("ana" refers to indicators for NT7) shows the VWAP of the prior day's session. This is indeed an important benchmark for the current day. As long as prices stay above the prior day's average price (VWAP) the sentiment remains bullish, and buyers will take the opportunity to enter new positions when price approaches the prior day's VWAP from above. Likewise, as long as prices remain below the prior day's average price, sellers will take the opportunity to enter new positions when price approaches the prior day's VWAP from below.

The reason that I have not integrated the plot with the new version of the amaPivotsDaily indicator for NinjaTrader 8 is that the level displayed by the anaPivotsDaily could be inaccurate for higher timeframe charts. Right now on May 3rd, when adding the indicator to a 15-min chart for NQ 06-21, the anaPivotsDaily would show Friday's VWAP as 13881.75. Switching to a 1-min chart, the value becomes 13880.75. This is the accurate value, while the value displayed on a 15-min chart would be 4 ticks off.

On the other hand, all values for floor pivots are fully accurate on a 15-min chart, as they are calculated from high, low and close. There is no loss of accuracy, when you switch to higher timeframes.
It is only the VWAP that becomes inaccurate, because the price volume distribution inside each of the 15-min bars is not known. Therefore I have taken out the plot.

In case you wish to display the value on your chart for NinjaTrader 8, you may use the amaCurrentDayVWAP indicator and add a horizontal line at the end point of yesterday's VWAP curve.
Again that value will not be accurate on a 15-min chart for similar reasons. For an accurate VWAP value you would need to calculate the VWAP from all transactions, and this requires that the indicator loads a secondary bar series of high resolution data. For fully accuracy the indicator needs to load 1-tick data. However, you will also get accurate results when loading 1-minute or 50-tick data. That way the indicator will load much faster and remain low on resource utilization such as CPU or RAM while the error of the calculate value will remain below 1 tick.

We do have indicators available that display accurate VWAP levels, but they are not free of charge. as too much work went into building them.






NQ 06-21 (300 Tick) 2021_05_03 (10_57_32)

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 aquila 
South Africa
 
Experience: Intermediate
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Broker: Mirus / Zenfire
Trading: ES
 
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Thank you for the reply. I did eventually figure it out and found your VWAP indicator.

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