Not sure if it's useful, but I'll start watching it.
Comments and suggestions are welcome.
The indicator on panel 2 shows the percentage of stocks which are above the vwap*1.001
Panel 2 also shows the percentage of stocks which are below the vwap/1.001
Panel 3 is the cumulative of the (above-below).
The data is calculated using 1-Min bars of 500 stocks (excl. 3-5 symbols with data-errors).
Session time is 9:30-16:00 NY.
The cumulative seems interesting, but I need to test it with more data.
I'll also need to find a better way to filter out the stocks which are trading at the vwap, now I use 0.1% as a filter, but I
think a 2* 10ATR of the 1 min bars could be better.
See also an old post of Brett at TraderFeed: Tracking a Basket of Stocks for Volume Weighted Average Price (