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Orderflow VWAP across multiple days

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    Orderflow VWAP across multiple days

    Hi, Is it possible to chart Orderflow VWAP across multiple days, say a week or month? using a hidden data series?

    I have attached a screenshot that shows the VWAP restarting the calculation every day. is there a possibility to change the parameters StartTime and EndTime to be "StartDateTime" and "EndDateTime" or something similar to achieve a VWAP across a number of days or weeks or months?

    Thanks,
    Attached Files

    #2
    Thanks for the suggestion. I'll forward this feature request to the Development Team. I'll edit this post once I receive a tracking number.

    EDIT: The tracking number is SFT-3032.
    Last edited by NinjaTrader_PatrickG; 11-19-2021, 06:12 AM.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Morning Patrick,

      has there been any update on this subject from NT Development? I'm interrested in a VWAP calculation looking back 2, 3 and 5 days.

      Thx.
      Stefan

      Comment


        #4
        Id be interested in this also, I have an indicator that shows these.. NOBS indicator but works only when tick replay is unticked. Would love for it to work on tick replay as I have other indicators on this setting. Thanks for your time.

        Kind Regards,
        Josh

        Comment


          #5
          tappps , to clarify, the 'Reset interval' property doesn't meet your needs for this? By default, it's 'Sessions', however, there are other options that may meet your needs.

          Also keep in mind that by the very nature of VWAP calculations, the bands become less precise over time, which is why the daily VWAP is the standard chosen in NinjaTrader.
          Last edited by NinjaTrader_PatrickG; 11-05-2021, 07:00 AM.
          Patrick G.NinjaTrader Customer Service

          Comment


            #6
            Hi NinjaTrader_PatrickG thanks for your response.

            Unfortunately the reset interval only has session, week and month to choose from. I'm looking for both 2 Day and 3 Day VWAP.

            Have a look at this website, it will show you what I'm trying to achieve.

            I have these indicators already which is great - but I have other indicators that I would like to use in unison but require 'tick replay' to be checked.

            I hope this makes sense. Please let me know about the other options - Id be super appreciative.

            Thanks for your time.

            Kind Regards,
            Josh

            Comment


              #7
              HI @NinjaTrader_PatrickG

              Ps sorry forgot to attached website

              https://www.nobstools.com/big-picture/vwap-map

              Comment


                #8
                The additional 'Session' properties are defined in the help guide here:I'll add your vote to SFT-3032.
                Last edited by NinjaTrader_PatrickG; 11-19-2021, 06:12 AM.
                Patrick G.NinjaTrader Customer Service

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                  #9
                  Thanks Patrick G

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