VWAP Order Flow script for Week or Month instead of just session? Lifetime License.

[focus333]

How to use week or month VWAP order flow inside a strategy?

This line seems to grab the values for the session VWAP.
VWAPs[0] = OrderFlowVWAP(VWAPResolution.Standard, TradingHours.String2TradingHours("US Equities ETH"), VWAPStandardDeviations.Three, 1, 2, 3).VWAP[0];

The indicator itself has settings for Month, Week or session. How can use month or day in the script editor? It seems that there is no signature for selecting Week or Month?

If yo could provide an example to grab the week or month values inside a strategy script it would be great.

Also, it would be VERY helpful if the order flow could simply calculate based on the time period loaded in the chart (or custom) instead of simply week, month or daily is this not possible?


Thank you.

[NinjaTrader_PaulH]

Hello focus333,

Thanks for your post.

As you have observed they will default to the session VWAP.

In order to use multiple OrderFlowVWAPs with different intervals, we have to use a coding workaround.

The workaround is to set one of the parameters differently and then to use "ResetInterval" and finally reset the parameter.

I've attached an example strategy that demonstrates the process required to get a session, weekly and monthly VWAP. The code is commented to explain the process.

ExampleVWAP.zip


"Also, it would be VERY helpful if the order flow could simply calculate based on the time period loaded in the chart (or custom) instead of simply week, month or daily is this not possible?" Thanks for your suggestion. I will write this up as a feature request and will update this thread when I have the feature request number. If this has already been suggested, we will add your vote to that feature request. In either case, I will update the thread with the feature request number.

[focus333]

NinjaTrader_PaulH Thank you. I am VERY impressed with the support and the forum, this is the best platform I've used, HANDS DOWN. Congrats you guys. It was expensive but I am glad I bought the Lifetime License!

[NinjaTrader_PaulH]

Hello focus333,

Just following up with the feature request information.

Your vote was added to the existing feature request identified as SFT-3032, "OF Cumulative Delta/VWAP to have more time slice options".

Thanks for your interest in improving the NinjaTrader8 platform.

Feature Request Disclaimer.
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When new features are implemented, they will be listed in the Release Notes page of the Help Guide. The ID number will be different than the internal feature request tracking ID, but the description of the feature will let you know if that feature has been implemented.
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