Order Flow VWAP

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Order Flow VWAP

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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

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.





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.





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





Since the Order Flow VWAP is a cumulative indicator, the longer it runs for the more the VWAP can lag. Using the Start time and End time parameters you can adjust during what times the indicator will run for. Having a Start time and End time of 12:00 AM will run off the data series selected Trading hours. These settings work in combination with the selected Trading hours.


Notes: The indicator will always reset at the Trading hours End time. Adjusting the Trading hours may be needed to run the VWAP during the desired time.

The Start time must be before the End time.





tog_minus        Order Flow VWAP Parameters





Runs indicator on selected Input series


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

Start time

Time in which the indicator restarts it's values

End time

Time in which the indicator ends calculating it's values

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%