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Partner 728x90
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NinjaTrader
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).Tags: None
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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:
Best regards,
-ChrisLChris L.NinjaTrader Customer Service
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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];[INDENT]// 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; }[/INDENT] } if (vol <= 0) return; var thisVwap = Instrument.MasterInstrument.RoundToTickSize(volPx / vol); ;
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