This indicator calculates the Average of the Price weighted by the volume of each bar.
That means that the value of this line is the sum of the average price of each bar multiplied by the volume of that same bar and finally divided by the total volume.
Now, depending on when we start counting the volume ( and also reset the count ) then we have different options for the Vwap.
The most used values are the 24 hs Vwap, where we count the total volume starting from the end of yesterday's session ( blue line ).
We can also consider only the day session, so start counting the volume at this time. ( red line )
And also we do the average starting the sum of the volume at the beginning of the week. ( green line )
On this video where I present the new release of the indicator TIS_Vwap for NinjaTrader 8 ( that also includes the version for Ninjatrader 7 ) I explain how it works an show some examples :
- https://youtu.be/B4I4QsLoz5k
Best Regards, Saludos,
Pablo Maglio
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  Skype id : pmaglio |
can you have it do hourly intraday vwap?
ReplyDeleteYou can use it on an hour timeframe, and summing and averaging the volume of the day, the week or the last N bars
ReplyDelete