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SessionTWAP Monthly V43
Exported using NT Version 7.0.1000.26
Indicator will only run on NT 7.0.1000.5 or later
The indicator displays the
Time Weighted Average Price
of the selected session. It can be used on all types of charts.
You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session theTWAP shall be shown.
Use with time-based charts
: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.
Use with tick based charts
: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.
ETH session
: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.
RTH session
: It is possible to display the TWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.
Volatility Bands
: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.
Variance_Price
: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.
Variance_Distance
: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.
Session_Range
: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.
Public Holidays
: For Globex instruments the indicator will display the ETH TWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar.
Colors
: Different colors can be selected for rising and falling TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.
Update March 30, 2013: Algorithm improved for both speed and accuracy. VWAP start time can be selected.
Update April 11, 2013: Plot modified for compatibility with charts built from multiple bar series.
Update May 10, 2013: Bug removed, which led to occasional false identification of the RTH session on charts built from ticks.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
Category
NinjaTrader 7 Indicators
Details:
SessionTWAP Monthly V43
Category:
NinjaTrader 7 Indicators
December 28th, 2014
Size: 9.10 KB
Downloaded: 1188 times
Keywords:
bands
range
session
twap
vwap
eth
rth
standarddeviation
variance
1368
Fat Tails
Comments/ratings
Gabriyele
February 23rd, 2013 01:48 AM
lexem
February 23rd, 2013 04:10 PM
djoyce854
September 26th, 2013 10:58 PM
Thanks alot Mr. Fat Tails!
stef
December 29th, 2014 07:44 AM
Thanks !!
Portland
July 27th, 2015 03:25 AM
No Comment
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All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.