Description
Volume Weighted Average Price. A total of the dollars traded for every transaction (price multiplied by number of shares traded) and then divided by the total shares traded for the day. Also included are standard deviation bands.
Order Flow VWAP Overview
Order Flow VWAP Parameters
Reset Interval
|
Session
|
Resets VWAP calculations every session
|
Week
|
Resets VWAP calculations weekly*
|
Month
|
Resets VWAP calculations monthly*
|
|
Resolution
|
Standard
|
Runs indicator on selected Input series
|
Tick
|
Runs indicator on a 1 tick time frame of the selected Input series (*most accurate and most resource intensive, therefore not available for Reset Intervals of Week and Month*)
|
|
Trading hours
|
Selection for what session to calculate on if VWAP is in Reset Interval Session mode
|
Std Dev bands
|
Selection for how many standard deviation bands to display
|
Std Dev 1 multiplier
|
Input for what multiplier to use for standard deviation 1
|
Std Dev 2 multiplier
|
Input for what multiplier to use for standard deviation 2
|
Std Dev 3 multiplier
|
Input for what multiplier to use for standard deviation 3
|
Color for above price
|
Color for when the VWAP line is above the price
|
Color for below price
|
Color for when the VWAP line is below the price
|
Color for band area
|
Fill in color between the standard deviation lines
|
Base opacity for band area
|
Opacity for the most outer standard deviation band. The opacity for each inner band is increased by 10%
|
|
Order Flow VWAP Values NinjaScript access
For information on how to access the Order Flow VWAP values in NinjaScript, please see the Order Flow VWAP page in the NinjaScript section of the Help Guide.
|