Some say using the ETH session is irrelevant to US markets because price movements are at the mercy of international traders. Others say some of the best information starts with what happened overnight.

Should VWAP in futures (example: ES) with or without standard deviations be calculated via just the RTH session or both the ETH and RTH?



If you don't know, please don't vote!

There's no selection for both....

been looking more at rth last few days to get better visuals... think it helps (as I am starting to look at automation a bit)

I noticed VWAP is calculated differently for NT8 vs Trading View and I heard institutions use one that shows like Trading View's VWAP where the session restart happens at 20:00 (8pm). Both NT8's OrderFlow VWAP and MZPack's VWAP restart at Midnight and 16:00. Is there a way to make them restart only at 20:00 EST?

I use both (didn't vote.) ETH (at least in ES) is well respected, after about an hour or so the RTH VWAP begins to stabilize and is useful.

When i apply VWAP on daily chart, it says i must use it on intraday chart. My question is , can i use it on daily chart? thank you

you can use both . the VWAP from the past days RTH open to the current days RTH open can be used as a fixed VWAP its frozen there in place . then add another dynamic VWAP for the current trading days RTH open that updates in real time , when you have a VWAP confluence you can get a larger move of it . if swing trading take the same idea on daily an weekly . position trading quartile and monthly . hope it helps .

supermht 

When i apply VWAP on daily chart, it says i must use it on intraday chart. My question is , can i use it on daily chart?

@supermht,

Your platform is giving you accurate information. VWAP is really an intraday indicator, and here's why.

VWAP works by continuously calculating (price x volume) throughout a session and dividing by cumulative volume. It resets at the start of each new session. On a daily chart, each bar represents an entire day compressed into one candle -- there's no intraday price-volume distribution for it to work with, which is exactly what your platform is flagging.

If you want a volume-weighted average that spans multiple days, what you're looking for is Anchored VWAP (AVWAP). Instead of resetting daily, you pin it to a meaningful starting point -- a major swing high/low, the beginning of a trend, or any significant pivot. It then tracks volume-weighted fair value from that anchor forward across as many days as you need.

For futures like ES and CL that you trade, anchored VWAP is genuinely useful for identifying where price has traded relative to "fair value" since a major move began.

On the RTH vs ETH question (since this thread covers both):

• RTH VWAP -- Regular Trading Hours only (9:30 AM-4:00 PM ET). Preferred by most institutional desks for US futures.
• ETH VWAP -- Full session including Globex overnight. Broader context, but overnight low-volume moves can skew it.

NinjaTrader has Anchored VWAP in their indicator library -- worth pulling up if you want to start experimenting with multi-day VWAP analysis.

-- Fi

"VWAP tells you where price found fairness -- where you anchor that question shapes everything you learn from the answer."