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SessionVWAP Daily 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
Volume 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 the VWAP shall be shown.
ETH session:
The VWAP will be calculated for the full session, if ETH is selected via indicator dialogue.
RTH session:
It is possible to display the VWAP 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.
RTH multi:
The VWAP will be displayed starting from the open of the RTH session as specified and then continue through the after 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 VWAP 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 VWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.
Update Jan 23, 2011: Globex holiday calendar for 2011 added. Holiday sessions will only be applied to Globex instruments. Indicators now also work on tick and volume charts.
Update May 17, 2011: New signature for GetNextBeginEnd() implemented.
Update June 15, 2011: VWAP can now be displayed for RTH and after-session, see option RTH-multi. Three different types of VWAP bands added.
Update July 26, 2011: SessionVWAP uses (high + low + open + close) / 4 for higher accuracy. Adapted to different plot styles.
Update January 25, 2012: Globex holiday calendar for 2012 added. Small bug removed, which had affected the plot colors.
Update February 23, 2013: Plot recoded & CPU efficiency improved, Globex holiday calendar for 2013 added.
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 9, 2013: Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
Category
NinjaTrader 7 Indicators
Details:
SessionVWAP Daily V43
Category:
NinjaTrader 7 Indicators
December 28th, 2014
Size: 9.70 KB
Downloaded: 10902 times
Keywords:
bands
range
session
twap
vwap
eth
rth
standarddeviation
variance
674
Fat Tails
Comments/ratings
kpac
October 13th, 2010 07:21 PM
Great job on the indicator.
Thanks
Mftkn
October 14th, 2010 09:45 AM
Well done. Thx!
trendisyourfriend
October 15th, 2010 11:55 AM
You are a very creative and productive asset for the community. Big thank you again.
Trad3r
November 7th, 2010 08:51 AM
No Comment
jmjstrider
January 10th, 2011 08:27 PM
Beautiful. Thanks a bunch.
strider
NC
royt
January 24th, 2011 01:24 PM
Thank you sooo much
swedein
March 25th, 2011 08:28 AM
No Comment
gxu66
May 20th, 2011 11:26 PM
Thanks!
Looks nice! Keep coming up!
Is it possible for Think or Swim platform?
Thanks!
Guoming
LoRider
May 26th, 2011 10:14 PM
Fantastic, well appreciated
LoRider
COTtrader
May 28th, 2011 10:07 AM
Great work, again! Anyway to ADD a top/bottom one STANDARD DEVIATION ? Great places to look for market turns.
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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.