Fat Tails 

Both can be used. The value area calculated from market profile is probably better known. I hope that somebody else answers the question, maybe my friend @tigertrader.

@FatTails Would you please explain the method on how you use VWAP in your trading? Thanks in advance and sorry if this has been answered previously.

bmtrading9 

@FatTails Would you please explain the method on how you use VWAP in your trading? Thanks in advance and sorry if this has been answered previously.

@bmtrading9: In short I use it has a gauge or as a filter. I also use it for exits.

above upper 2 SD band -> exit part of long position, filter short for new entries
above VWAP, but below upper 1SD band -> filter long
below VWAP, but above lower 1SD band -> filter short
below lower 2 SD band -> exit part of short position, filter long for new entries

I might also buy the VWAP, if price has been above the VWAP for a few hours. I might sell it, if it price has been below the VWAP for a few hours. But in general, I do not use the VWAP to trigger entries. For that purpose I have different indicators.

Fat Tails 

@bmtrading9: For that purpose I have different indicators.

Hello Harry @Fat Tails , 1st THANK YOU! for all you do here in this wonderful place.
I will bite and ask out of curiosity, What might those indicators be?
Thanks in advance for any response you feel appropriate.

there're many ways a vwap can be used. here're some more examples:

on a daily chart, often a move past the 2nd sd band (using a rolling vwap) will show the extremes of that day



to get some help trying to figure out if the market is more likely in a trending or ranging mood, yesterday's vwap and vah (upper 1st sd band) and val (lower 1st sd band) can be of assistance. as well as a cumulative session vwap (in my example I used a 2 and 3 day)



in a trending day, the 1st sd band can often be used as a pullback



in a ranging day, the 2nd sd bands can often be used as entry points




those are just a few examples, there're many more ways the vwap can be used.
should also mention, for triggering a trade I have a different tool

learning0101 

Hello Harry @Fat Tails , 1st THANK YOU! for all you do here in this wonderful place. I will bite and ask out of curiosity, What might those indicators be? Thanks in advance for any response you feel appropriate.

Oscillators and volume analysis.

@Silvester17

Nice looking charts man....and good analysis to share on VWAP. Thanks for both. Dan

@Fat Tails and @Silvester17

Thanks for sharing. By chance did you guys thought about VWAP and $TICK chart to enter a long or short position, I know there is a old thread about this but I don't think anyone developed anything based on that.

bmtrading9 

@Fat Tails and @Silvester17 Thanks for sharing. By chance did you guys thought about VWAP and $TICK chart to enter a long or short position, I know there is a old thread about this but I don't think anyone developed anything based on that.

@bmtrading9,

I do look at the $TIKSP (s&p 500 tick), however for day trading I would never use internals to enter a trade.

if I know that someone has big orders (stocks) that could influence the market, how do I take advantage of that? I probably would use derivatives (futures, options). with other words, there's a fair chance that the cash market (stocks = $TICK) will follow the futures market and not the other way around.

not saying internals don't have any value. but for very short term trading, I don't think looking at $TICK will provide a significant, dependable edge. I much more prefer order flow for entering.

Silvester17 

@bmtrading9, I do look at the $TIKSP (s&p 500 tick), however for day trading I would never use internals to enter a trade. if I know that someone has big orders (stocks) that could influence the market, how do I take advantage of that? I probably would use derivatives (futures, options). with other words, there's a fair chance that the cash market (stocks = $TICK) will follow the futures market and not the other way around. not saying internals don't have any value. but for very short term trading, I don't think looking at $TICK will provide a significant, dependable edge. I much more prefer order flow for entering.

Thanks a bunch, frankly I am new to futures and I don't know about $TIKSP, you are right for ES I should be looking at VWAP and $TIKSP instead of $TICK...what order flow method you use, sorry for my ignorance.

bmtrading9 

Thanks a bunch, frankly I am new to futures and I don't know about $TIKSP, you are right for ES I should be looking at VWAP and $TIKSP instead of $TICK...what order flow method you use, sorry for my ignorance.

the $TIKSP is just my preference. I would say the majority is watching the $TICK.

I use a custom dom for order flow. one important part is the volume at bid and ask (aka footprint)