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Is the weekly vwap supposed to start plotting at the beginning of the new week, or should it be continuous?Essentially, for forex, the new wvwap sarted yest at 17:30.So on the 1st day of the trading week, the wvwap is the same as the dvwap.Is this how it should be?
Can you help answer these questions from other members on NexusFi?
Hey bob, yes - I have two trading platforms and they both track daily and weekly VWAP in alignment for the first day of the week, this was also confirmed by others from FIO who used both - so what you see is as expected.
The daily and weekly VWAP are identical for Monday's session.
This is because they use the same anchor point.
Things are different, if you use a VWAP that does not come with an anchor point, but is calculated from all transactions inside a rolling window (same principle as a moving average).
On a minute chart you can do this by calculating a volume-weighted moving average. For example, if you wish to display a VWAP for a rolling week on a 15 minute chart for ES for the full session, you would count the 15 minute bars per session, which are 23 hours x 4 bars - 1 bar (for the break after the regular close) = 91 bars per session. For 5 days this would result in 455 bar. Therefore a VWMA (455) would be a good approximation except when there are holiday sessions with lesser bars.
I had coded a time-based rolling VWAP which would display the VWAP for any multiple of 24 hours for NinjaTrader 7, but not yet found the time to do this for NinjaTrader 8.
Interesting....i just started to track w vwap.I wonder what the industry standard is for this?Do they accept that Monday is the start point for the weekly(actually sunday evening for forex) and lean on last weks levels until tuesday? I know, vague question, just wondering!
I've always used the vwap to track how good or bad executions are over a certain period of time. sometimes you have orders that need to get filled in a couple of hours or sometimes the trader has all day to execute them. some traders even guarantee the vwap as execution. that's why traders keep a close eye on it and act accordingly.
that was and is always the primary reason. of course there're orders in the market that can take weeks to fill. but I would say this is the minority. not saying a weekly or monthly vwap is useless, still can act as support or resistance. but not the same way like a daily vwap.
