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.
Order Flow VWAP Overview
Order Flow VWAP Parameters
Reset Interval

Session

Resets VWAP calculations every session

Week

Resets VWAP calculations weekly*

Month

Resets VWAP calculations monthly*


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, therefore not available for Reset Intervals of Week and Month*)


Trading hours

Selection for what session to calculate on if VWAP is in Reset Interval Session mode

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%


Order Flow VWAP Values NinjaScript 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

