Current Day VWAP

The Daily VWAP indicator for NinjaTrader 8

The Current Day VWAP is the volume-weighted average price (VWAP) of a security for the current day’s trading session. The VWAP gives a fair reflection of the market conditions throughout the trading day and is probably the most popular benchmark used by large traders. The Library VWAP version can be compared to the Premium VWAP version here.

Indicator Description

The Current Day VWAP is the volume-weighted average price (VWAP) of a security for the current day’s trading session. The VWAP indicator gives a fair reflection of the market conditions throughout the trading day. It is today one of the most popular price benchmark indicators used by institutional traders.

The Current Day VWAP is the volume-weighted average price (VWAP) that reflects how the asset’s market price has developed during the day. The VWAP takes into account trading volume such that large trades will have more impact on the benchmark price than small ones.

Many institutional traders have their trade execution measured by volume weighted average price (VWAP). Because their execution is measured as good or bad by how far away they were from the average price, they will try to buy/sell as close as possible to the VWAP. Accordingly, there are two ways of using the VWAP, as a trend filter and/or as support and resistance indicator.

Full Session vs. Regular Session

The Current Day VWAP can be set to calculate for the entire trading day (full session). It can also be set to calculate for custom hours, such as the regular session. The VWAP comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.

The VWAP indicator available here will calculate an accurate VWAP and accurate bands when applied to high resolution charts. When used with higher timeframe charts, the plots may be one or a few ticks off the correct value. Accuracy will be good on a 1- min chart after the first hour counted from the anchor point.

On our blog we have posted additional information on the weekly VWAPs and trading VWAP setups. Our Indicator Library also features the Current Day Median, Current Week VWAP, Current Month VWAP, Current N-Monthly VWAP, Current Day TWAP, Current Week TWAP, Current Month TWAP, Current N-Month TWAP, in addition to our Premium VWAP Package.

The indicator is available for NinjaTrader 8.