Current Week VWAP

The Weekly Time Weighted Average Price (TWAP)

The Current Week VWAP is the volume-weighted average price (VWAP) of a security for the current trading week. The VWAP gives a fair reflection of the market conditions throughout the trading week 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 Week VWAP is the volume-weighted average price (VWAP) and reflects how the asset’s market price has developed during the current week. The VWAP takes into account trading volume and large trades will have more than small ones.

Many institutional traders have trade execution measured by the volume weighted average price (VWAP). Execution is measured as good vs. bad based on how it was from the average price. Therefore, they will try to buy/sell as close as possible to the VWAP benchmark. Accordingly, there are two ways of using the VWAP, namely as trend filter or as support and resistance indicator.

The weekly VWAP can be set to calculate using the full session. Alternatively, it can calculate based on custom hours or the regular session. When a custom/regular session is used the VWAP calculation will pause outside the selected custom hours.

The VWAP furthermore comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, recommend setting it to “Calculate” = “On price change”. There is no added benefit of recalculating it with each incoming tick.

This indicator will calculate an accurate weekly VWAP and accurate bands when applied to high resolution charts. When used with higher timeframe charts, the plots may be few ticks off the correct value.

The indicator is available for NinjaTrader 8. The Indicator Library also features the Current Day VWAP, Current Month VWAP, Current N-Month, in addition to our Premium VWAP Package.