Vwap?

[Ad_Trader]

Can anyone please point me to where I can find accurate VWAP indicator, I don't seem to find any, Thank you in advance

[NinjaTrader_Lance]

Hello,

We don't have the VWAP available on our forums however you can find a popular version of the indicator here: https://www.bigmiketrading.com/downl...load.html?view

We have several 3rd party indicator providers and others may have there own versions as well available here: http://www.ninjatrader.com/Ecosystem/NonBroker.php#78

Let me know if I can further assist.

[Ad_Trader]

Ok I just coded it, can you please tell me how to make the indicator stop drawing during after-market and pre-market hours (first statement after OnBarUpdate), Thank you

protected override void OnBarUpdate()
{

// Stop drawing during after-market and pre-market hours
if(ToTime(Time[0]) >= 160000 && ToTime(Time[0]) <= 093000 ){ }

// Calculate TypVical Price * V
TypV += ((Close[0]+High[0]+Low[0])/3 )*Volume[0];

//Calcualte the cumulative volume
cumulativeVolume += Volume[0];
Plot0.Set(TypV/cumulativeVolume);

// If at 9:30 or 16:00 then reset TypV
if( ToTime(Time[0]) == 93000 || ToTime(Time[0]) == 160000 ){
TypV=0;cumulativeVolume=0; }
}

[NinjaTrader_Lance]

Looks like you have the filter setup you just need to return if it's true

if(ToTime(Time[0]) >= 160000 && ToTime(Time[0]) <= 093000 )
return;

Also because you are setting things at 9:30 you'll want to change the condition to

if(ToTime(Time[0]) > 160000 && ToTime(Time[0]) < 093000 )

[Ad_Trader]

Thank you for your reply, actually I don't want the indicator to plot anything during this time. any thoughts

[NinjaTrader_Lance]

Perhaps I'm misunderstanding.

Not setting the Plots would prevent it from plotting. This is prevented by returning before calling Plot0.Set(TypV/cumulativeVolume);

Let me know how I can further assist.

[Ad_Trader]

I did it but it still plotting in the pre-market and after hours

protected override void OnBarUpdate()
{
// Use this method for calculating your indicator values. Assign a value to each
// plot below by replacing 'Close[0]' with your own formula.

// Stop drawing during after-market and pre-market hours
if(ToTime(Time[0]) > 160000 && ToTime(Time[0]) < 093000 ){
return;
}



// Calculate TypVical Price * V
TypV += ((Close[0]+High[0]+Low[0])/3 )*Volume[0];

//Calcualte the cumulative volume
cumulativeVolume += Volume[0];

// Plot the VWAP indicator
Plot0.Set(TypV/cumulativeVolume);

// If at 9:30 or 16:00 then reset TypV
if( ToTime(Time[0]) == 93000 || ToTime(Time[0]) == 160000 ){
TypV=0;cumulativeVolume=0; }

}

[NinjaTrader_Lance]

Didn't see this sooner but

if(ToTime(Time[0]) > 160000 && ToTime(Time[0]) < 093000 )

should be

if(ToTime(Time[0]) > 160000 || ToTime(Time[0]) < 093000 )

Let me know if I can further assist.

[Ad_Trader]

What a mistake, Thank you.
OK if anyone is visiting this page searching for the simple VWAP here it is attached

[Harry]

Daily (weekly and monthly) VWAP with standard deviation bands and yesterday's (prior week's and prior month's) value area. Calculated from 1-minute data or tick data.

[siroki]

Thanks for your work. I will use your code and tweak it into my strategy. Much appreciated.