
Version 2.5 October 27, 2019
The Current Day VWAP is the volume-weighted average price (VWAP) of a security for the current day’s trading session. The VWAP gives a fair reflection of the market conditions throughout the trading day and is probably the most popular benchmark used by large traders.
The Current Day VWAP can be set to calculate for the entire trading day or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.
Trading hours template: The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.
Full_Session: The VWAP will be calculated for the full session as selected per trading hours template.
Custom_Hours: You may select custom hours for calculating the VWAP in different time zones.
Standard_Deviation: The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session.
Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current session.
Accuracy: The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates. Therefore it is recommended to select an early anchor point and only use VWAP and volatility bands once they have stabilized.
Category NinjaTrader 8 Indicators and More
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