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Looking to make a weekly/monthly vwap indicator

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    Looking to make a weekly/monthly vwap indicator

    I am assuming someone has already made one for NT but I don't seem to be able to find it. If not, I am looking to calculate a vwap for the last 5 rolling trading days (for weekly vwap) or last 30 (for monthly).

    #2
    Hi alcorr, thanks for your post.

    There is no free open-source VWAP indicator that I am aware of. If you get a lifetime license for NinjaTrader, you get access to the OrderFlow suite of indicators that includes a VWAP indicator. There is a VWAP formula here on this publicly available link:
    https://www.investopedia.com/terms/v/vwap.asp

    Best regards,
    -ChrisL
    Chris L.NinjaTrader Customer Service

    Comment


      #3
      After adding volumetric bars to your indicator, loop back over x days something like this.

      Code:
      double volPx = 0;
      double vol = 0;
      for (var ii = volBarIndex; ii > endBarIndex; ii--)
      {
        var ago = volBarIndex - ii;
        var bar = barsType.Volumes[ii];
      // for each price for (var px = bar.High; px >= bar.Low; px -= Instrument.MasterInstrument.TickSize) { var thisVol = bar.GetTotalVolumeForPrice(px); volPx += (thisVol * px); vol += thisVol; }
      } if (vol <= 0) return; var thisVwap = Instrument.MasterInstrument.RoundToTickSize(volPx / vol); ;

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