Current Day VWAP

The daily VWAP is the volume-weighted average price (VWAP) of a security for the current day’s session. Our Current Day VWAP indicator for NinjaTrader gives a fair reflection of the market conditions throughout the trading day and is a widely used benchmark by large traders.

The Daily VWAP indicator for NinjaTrader 8

Indicator Description

Apart from the open source version of the daily VWAP described below, we also offer a Professional VWAP Suite. To compare to the Library vs. Premium versions, please refer to this link.

The Current Day VWAP indicator for NinjaTrader 8 is the volume-weighted average price (VWAP) of a security for the current day’s trading session. It will give you a reliable reading on trend bias, value and overbought / oversold scenarios. It is furthermore one of the most widely used price benchmarks among institutional traders. Specifically, the daily VWAP will show you how the asset’s market price has developed during the day. It will dynamically account for trading volume and put greater emphasis on large vs. the smaller trades.

Also, many institutional traders will see their trade execution measured by the daily VWAP. They will seek to buy/sell as close as possible to the VWAP, because execution is determined as good vs. bad by how far away it is from the daily average price. Accordingly, there are two ways of using the Current Day VWAP; as a trend filter and/or as support and resistance indicator.

Full Session vs. Regular Session

By default, our daily VWAP indicator for NinjaTrader is set to calculate for the entire trading day (full session). You may also set it to calculate a custom session, such as the regular session. The Current Day VWAP comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, we recommend the “Calculate” = “On price change” setting. It is not necessary to recalculate it with each incoming tick.

Our Current Day VWAP indicator for NinjaTrader will calculate an accurate VWAP and standard deviation 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.

Other Library Indicators

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. Our Indicator Spotlight newsletter featured the Weekly VWAP (with video) and our sister site, LizardTrader.com has a post on trading VWAP setups.

The daily VWAP indicator is available for NinjaTrader 8.