Order Flow VWAP

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Order Flow VWAP

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Description
Volume Weighted Average Price. A total of the dollars traded for every transaction (price multiplied by number of shares traded) and then divided by the total shares traded for the day. Also included are standard deviation bands.

 

tog_minus        Order Flow VWAP Overview

Display
The VWAP line is the green and red line. The VWAP by default is LimeGreen when below the price and Red when above the price.

The blue bands are the standard deviations of the VWAP. By default the closest one is a 1X multiplier, followed by a 2X multiplier, and a 3X multiplier.

 

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Using the Order Flow VWAP
When using the Order Flow VWAP it is typical that users look for purchase signals when the price is below the VWAP. This would indicate that the purchase would be at a lower price than what is the average purchase per share for traders during the VWAP period. The price being below the VWAP can also result in pressure for the market to move back towards the VWAP. The opposite would be true for when the VWAP is above the price.

 

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The VWAP and standard deviations are often used to indicate potential levels of support and resistance.

 

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Since the Order Flow VWAP is a cumulative indicator, the longer it runs for the more the VWAP can lag. Using the Trading hours parameter you can adjust during what times the indicator will run for. These settings work in combination with the selected Data Series Trading hours and will not calculate outside of that.

 

 

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tog_minus        Order Flow VWAP Parameters

 

Resolution

 

Standard

Runs indicator on selected Input series

Tick

Runs indicator on a 1 tick time frame of the selected Input series (most accurate and most resource intensive)

Trading hours

Selection for what session to calculate on

Std Dev bands

Selection for how many standard deviation bands to display

Std Dev 1 multiplier

Input for what multiplier to use for standard deviation 1

Std Dev 2 multiplier

Input for what multiplier to use for standard deviation 2

Std Dev 3 multiplier

Input for what multiplier to use for standard deviation 3

Color for above price

Color for when the VWAP line is above the price

Color for below price

Color for when the VWAP line is below the price

Color for band area

Fill in color between the standard deviation lines

Base opacity for band area

Opacity for the most outer standard deviation band. The opacity for each inner band is increased by 10%

 

tog_minus        Order Flow VWAP Values NinjaScript or Strategy Builder access

For information on how to access the Order Flow VWAP values in NinjaScript, please see the Order Flow VWAP page in the NinjaScript section of the Help Guide.

 

Critical: You will want to make sure to add a 1 tick series in the Additonal Data section of the Strategy Builder, when working with the Order Flow VWAP in this context and the Resolution is set to .Tick