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Updated February 28, 2018
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December 22nd, 2015, 03:49 AM
Brisbane Australia
Experience: Advanced
Platform: Ninja; Amibroker; TWS
Broker: Kinetick, IB
Trading: Stocks, Futures
Posts: 46 since Dec 2009
Thanks Given: 28
Thanks Received: 6
Big Mike
That's not how
VWAP works.
A proper VWAP will be identical on a 1-second chart, a 1 minute chart, a 60 minute chart, etc. VWAP's should be calculated from underlying tick data, and their values do not change based on the time frame of the chart.
You can find a VWAP indicator for NT here:
Mike
Thanks Mike,
I'm not sure you've understood the question though: Does VWAP even apply on an INTER-Day level? Each day would have a VWAP point, and you could join them all together with a line, but the market would never really pull away from that line would it? At least that's how I understand it at present. If you plot VWAP INTRA-Day then the price will at some times be above and other times be below, but I'm not sure there's a day to day VWAP concept is there?
Cheers,
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
December 22nd, 2015, 08:06 AM
Columbus, OH
Market Wizard
Experience: None
Platform: NT 8, TOS
Trading: ES
Posts: 3,603 since Aug 2009
Thanks Given: 5,139
Thanks Received: 11,527
waverider
Thanks Mike,
I'm not sure you've understood the question though: Does
VWAP even apply on an INTER-Day level? Each day would have a VWAP point, and you could join them all together with a line, but the market would never really pull away from that line would it? At least that's how I understand it at present. If you plot VWAP INTRA-Day then the price will at some times be above and other times be below, but I'm not sure there's a day to day VWAP concept is there?
Cheers,
yes, you're correct.
I know @Fat Tails vwap indicators will not work with daily charts. one that should work is from @gomi . you can find it here in the misc package:
September 7th, 2017, 09:12 PM
Albuquerque, New Mexico USA
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Crude Oil
Posts: 17 since Sep 2014
Thanks Given: 0
Thanks Received: 4
Does @Fat Tails have an updated vwap posted yet? Or are most of you using @psmf vwap indicator?
Adam
September 8th, 2017, 03:24 AM
London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 6,013 since Sep 2015
Thanks Given: 15,604
Thanks Received: 15,561
DreadChampion
Does @
Fat Tails have an updated
vwap posted yet? Or are most of you using @
psmf vwap indicator?
Adam
https://nexusfi.com/local_links.php?linkid=1897
September 10th, 2017, 02:10 PM
Albuquerque, New Mexico USA
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Crude Oil
Posts: 17 since Sep 2014
Thanks Given: 0
Thanks Received: 4
xplorer
Sorry. I should have clarified. I need a VWAP indicator for NT 7. @Fat Tails , do you have an updated NT7 VWAP by any chance?
Adam
September 10th, 2017, 03:36 PM
London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 6,013 since Sep 2015
Thanks Given: 15,604
Thanks Received: 15,561
DreadChampion
Sorry. I should have clarified. I need a
VWAP indicator for NT 7. @
Fat Tails , do you have an updated NT7 VWAP by any chance?
Adam
Since you said 'updated' I assumed it was for NT8.
What's wrong with the current NT7 one by Fat Tails?
September 10th, 2017, 05:56 PM
Houston, TX
Market Wizard
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus Futures, AMP, CQG
Trading: 6E
Posts: 1,731 since Jun 2009
Thanks Given: 517
Thanks Received: 4,224
DreadChampion
Sorry. I should have clarified. I need a
VWAP indicator for NT 7. @
Fat Tails , do you have an updated NT7 VWAP by any chance?
Adam
@DreadChampion ,
Fat Tails VWAP indicators (anaCurrentDayVWAPV43, anaCurrentWeekWVAPV43, anaCurrentMonthVWAPV43)
https://nexusfi.com/local_links_search.php?action=show&literal=1&search=VWAP&desc=1&keys=1
After all, it's what you learn AFTER you know it all, that counts!
February 28th, 2018, 05:59 PM
Chicago US
Experience: Intermediate
Platform: NinjaTrader
Trading: CL GC
Posts: 26 since May 2016
Thanks Given: 4
Thanks Received: 15
Where can I find this indicator with extended prior days VWAPs? I canīt find it in the download section.
Thanks.
Fat Tails
Yes the inner bands can be used as
value area high and low. I do use them that way and display the
value area from the prior trading day on my chart.
However, the value area calculated from a
VWAP can be quite different from the value area as used with market profile. Market profile builds its value area around the mode (
point of control ), while the value area of the VWAP is based on the mean (VWAP). On single distribution days the two
value areas usually align well, but on double distribution days (or triple distribution days, which are pretty rare) the value areas can be quite different. The reason is shown below. The market profile value area is built around the mode (second peak), while the VWAP value area is built around the mean (trough).
Last Updated on February 28, 2018