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I figured out a way to get reasonably close to my proprietary VWAP chart setup using NT8 stock indicators and a few that are not. This is for my main chart. It doesn't contain all of the bells and whistle but a fairly reasonable ''copy'' I guess you could say.
I have attached my chart template plus three additional indicators.
Opening Price (although I didn't attach this to the chart template, you can do this yourself if you need to).
Import the indicators into NT and then watch the video before you attempt to import the chart template. You'll understand why when you watch it.
You will need to copy the chart template to here \Documents\NinjaTrader 8\templates\Chart
Any questions just drop me a note. I am considering starting a new thread instead of continually populating this one. Although I only trade the ES on NinjaTrader, I also use Trading View for stocks and I was thinking about adding those as well. Time is the only factor here, so let's just see where this goes.
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- Trade what you see. Invest in what you believe -
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I downloaded and have been playing around with the setup. I tried it on a 1597 tick as well. The last nt order flow vwap for the monthly won't let you use tick, so it throws a resolution warning. Works fine on tick if I remove that indicator and use a edevaay drawcator vwap 30 days back. This is a really nice setup and much quicker than me having to chart all the vwaps all the time. Thanks for the time and effort you put into this.
Slogging my way through c# by studying ninja indicator code. Trying to make some custom market internal indicators.
It will still work but based on minute data resolution. Tick would be more accurate although very chart intensive. I do have edevaay too which is super smooth, but I would be surprised if that was based on tick data. Perhaps comparing the two instances would prove either way. There is nothing wrong with minute resolution over a broad scale, but I guess it depends how granular you want to be.
Yep, keep slogging away. If you have any questions just drop them in here or send me a DM.
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- Trade what you see. Invest in what you believe -
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I'll have a look myself at the weekend RE: edvaay with my own VWAP.
With respect to the VPOC level extension to the right of the chart, this is 100% correct as they are naked levels. They will get cut back when price has touched them at the location in which price touched them.
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- Trade what you see. Invest in what you believe -
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Thanks for sharing your ideas and indicators. It's my pleasure to add my modest contribution to your thread. I created an indicator based on the native Order Flow VWAP in order to display the VWAP/Std Dev levels from a previous interval (Session/Week/Month). It is my first indicator for Ninja and i used this project to learn Ninjascript.
Configuration:
If you understand the parameters in the native Order Flow VWAP then you will know how to use this one. I have added the possibility to display the middle level between the VWAP and the Std Dev bands as the seperation between the levels can be quite large at the end of a session. If you don't want to see these middle lines then you just need to set the color to transparent.
For the Trading Hours parameter, you can select any of the native trading hours template that come with Ninja. However, in order to display all of them in a drop down menu, i used an enumerated type known as 'enum'. For those of you not familiar with this ninjascript type, you must know that an enumerated item cannot contain a 'space' or special characters like @-+$%#*() etc. but the underscore '_' also called underline is allowed. So it means each Trading Hours name in the script uses the symbol underscore in lieu of a space.
Here are a few examples in the script:
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Why do i tell you this?
Because, i had to edit two entries in the user interface via the Menu Control Center> Tools> Trading Hours.
1) BMnF Bovespa (original entry was 'BM&F Bovespa' edited to remove the '&' was replaced with letter 'n')
2) Nymex Metals Energy ETH (original entry was 'Nymex Metals - Energy ETH' edited to remove '-')
So if you use one of these Trading Hours template then you need to edit them in Menu Control Center> Tools> Trading Hours.
You just need to copy say the 'Nymex Metals - Energy ETH' and edit the name so it becomes 'Nymex Metals Energy ETH'.
Also, if you have created your own trading hours template then you'll need to add it within the enum section of the script. You'll need to open the NinjaScript Editor (Control center> New> NinjaScript Editor). When the editor appears, open the folder Indicators on the panel at the right side and select 'OrderFlowStaticVWAP'. Next, insert the name of your custom template anywhere in the enum list followed by a comma ',' or edit an entry you don't use.
Let's pretend you created a custom Trading Hours
template named 'ABC DEF'
To add this new name in the script...
1) go to the control center
2) Open the menu 'New' and Select 'NinjaScript Editor'
3) open the folder Indicators on the panel at the right side
4) in the list of indicators, select 'OrderFlowStaticVWAP' <- double click on it to open
5) you can add a new blank line between two entries or edit an entry you don't need
6) just make sure you replace any space in the name with an underscore 'ABC_DEF',
7) Compile the script <- press F5 as a short cut to compile
8) return to the chart and press F5 to refresh the chart and see the change
Can you post some examples to illustrate? Typically the difference is in the resolution of the VWAP calculation, minute vs. tick. The trading hour template can also be a factor with respect to where the VWAP calculation starts.
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- Trade what you see. Invest in what you believe -
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Sorry I don't. My knowledge of TOS is virtually zero, but the coding is very simple and I would be surprised if something like this doesn't exist already.
Essentially the indicator accumulates the volume of orders filled at Bid and Ask prices and adds successive totals to the prior bar total until there is a change from positive to negative or vice versa.
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- Trade what you see. Invest in what you believe -
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