Vwap Dicussion ....

[T2020]

I thought since there's been a lot of interest in this indicator (and perhaps some confusion ) I'd put in my 2 cents worth .
I have an account at Think or Swim ( ToS) and decided to compare the values of VWAP between the two . 1st I want to
thank " higler " for the changes made to the original version . Being able to plot accross the midnight barrier has made it
possible to even make this comparison . What I found was that ToS starts it's Vwap at the end of the regular session ,not
the beginning like the original Ninja version defaulted to . I'm sure a case can be made for doing it either way , but when
I started the hVwap at the end of the regular session the 2 softwares plotted the exact same values .... Then I tried comparing
the weekly Vwaps ...(.ToS / and iVwap_w ..) . They didn't match up at all . Not saying iVwap_w is wrong , just that it
doesn't match ToS . Also I found that in using the ( iVwapMultij ) setting it to one day look back on Monday and two day
look back on Tuesday etc , etc , etc , ,,, it would match up with the weekly ToS Vwap either right to the tick or maybe off
one tick , but pretty close . Normally the source code is available on ToS indicators , but for some reason it's not for the
Vwap ??? ,but maybe that's how they do there weekly Vwap ,,,, by adding a look back of one day each day of the week
until you reach 5 days ??? . Anyway , by setting things up this way I can stay in sync on both softwares . If anybody else
has done some comparisons like ,it'd be nice to see . I think if your on the same page with other softwares you have a
better chance of making the right decisions . Hope this is helpful .

[Harry]

VWMA and VWAP

I am using VWAP in my trading approach in two ways.

(1) Anchored volume weighted moving average VWMA of the current session tells me whether big money is buying or not. Example below shows ES session of today. You will notice that the VWMA was bought repeatedly. My interpretation is that there are larger buying orders being executed and VWAP - the end-of-session VWMA - is used as a benchmark. I guess institutions and large brokers have alogrithms to minimize market impact of large orders and need to show their customers that they have executed better than the benchmark.

To get your Anchored VWMA, you would want to define a session for ES. Then you need to attach your VWMA to the beginning of the session. I think the beginning of the night session is much better than the day session, because volume often picks up before 9:30 ET. So the chart below shows my personal version of Anchored VWMA. I use the typical price instead of the close to calculate it.

(2) I use the VWAP of yesterday (or prior week, month) as a support or resistance line. I have integrated this with the session pivots indicator, so you can download it in the indicator section. The VWAP is not calculated from DailyBars but from the actual session that you selected.

[T2020]

I am using VWAP in my trading approach in two ways.

(1) Anchored volume weighted moving average VWMA of the current session tells me whether big money is buying or not. Example below shows ES session of today. You will notice that the VWMA was bought repeatedly. My interpretation is that there are larger buying orders being executed and VWAP - the end-of-session VWMA - is used as a benchmark. I guess institutions and large brokers have alogrithms to minimize market impact of large orders and need to show their customers that they have executed better than the benchmark.

To get your Anchored VWMA, you would want to define a session for ES. Then you need to attach your VWMA to the beginning of the session. I think the beginning of the night session is much better than the day session, because volume often picks up before 9:30 ET. So the chart below shows my personal version of Anchored VWMA. I use the typical price instead of the close to calculate it.

(2) I use the VWAP of yesterday (or prior week, month) as a support or resistance line. I have integrated this with the session pivots indicator, so you can download it in the indicator section. The VWAP is not calculated from DailyBars but from the actual session that you selected.

Thanks Harry .
Had a few questions ,if that's OK .
No sure what you mean by :
Anchored volume weighted moving average :
Also , I live in PST and not sure as to the correct settings . Looking at 6C I
have values starting at approx- 14:00 on 1/7/2010 and carrying thru all
the way to market close today with the same values. This is the daily
Pivots . I guess this is plotting correctly ? There's quite a lot to your indicators . Given my time zone , do the snapshots have the correct
settings ? Thanks again for posting .

[Harry]

Settings: The only setting you need to get right for VWAP is the session time. Session times are in time zone of the exchange. For example, for 6C the Globex session starts at 17:00 CET and ends at 16:00 CET. Your indicator settings are 17:00 CET for Session Begin Globex Currencies and Session End Globex Currencies. These are the default settings and they work best.

The VWAP is calculated from the typical price and the volume of each bar. If you have a 1 min chart, the value of VWAP will be pretty accurate. If you take a 60 min chart or a 120 min chart, there will be a small error, because the whole volume of each bar is affected to the typical price, which is a close guess. (N.B. I also could have chosen the median price as well).

The anchor of the VWMA is just the starting point. So for the first bar - the anchor - the VWMA is identical with the typical price of this bar. Starting from the bar after the anchor bar an average calculation is performed that is being ponderated by the volume of each bar. As a starting point you can choose the begin of the electronic session - or any other time. For example you could choose 6:00 AM CET for ES to take into account any news of the morning.

The VWMA of NinjaTrader has a period and does not calculate a value for a defined session, but just for the last 14 bars with default settings. So it cannot be used for this approach.

There is a VWAP indicator by Josh in the forum that can be used, although it does not catch the exact start of a session. It also includes standard deviations.

http://www.ninjatrader-support2.com/vb/local_links.php?action=jump&catid=1&id=71

[T2020]

Thanks Harry .
I did see after plotting the hVwap by higler on the ES (starting at the previous days close ) that it matched up nicely with your snap shot .
So I'm on the same page there and thanks for confirming the correct
settings . Your improvements in V8 are greatly appreciated . It always
bugged me having the labels on the left covering price . Thanks again.

[Amarillo]

noone use a vwap weekly, i can't say how to plot it...it's work only for intradey volume....

[Harry]

noone use a vwap weekly, i can't say how to plot it...it's work only for intradey volume....

Here is a weekly VWAP:

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/974-download.html?view

Download requires elite membership. You can also contact me via private message.

Attached is a chart of the enhanced version, which comes with prior week's VWAP and value area.