1.7 KiB
VWAP
This indicator plots the Volume Weighted Average Price (VWAP).
This exists because NinjaTrader's built-in VWAP indicator is not easily accessed via other NinjaScript indicators and strategies.
The built-in indicator may also not be available to NinjaTrader users unless they have purchased a lifetime license.
Parameters
Precision: Whether to calculate the VWAP using every tick or just once per bar on the chart. (Default: Chart)
The possible values for Precision are as follows:
- Chart
- Tick
Price: How to determine the price used in the VWAP calculation. (Default: (High + Low + Close) / 3)
The possible values for Price are as follows:
- High
- Low
- Close
- (High + Low) / 2
- (High + Low + Close) / 3 [the "typical" price]
- (Open + High + Low + Close) / 4
Standard Deviation Multiplier: The multiplier to use when calculating the upper and lower standard deviations of VWAP. (Default: 1.0)
Plots
VWAP: The volume weighted average price. (Default: Yellow Solid Line 3px)
Upper Standard Deviation: The upper standard deviation of price from VWAP. (Default: Transparent Solid Line 3px)
Lower Standard Deviation: The lower standard deviation of price from VWAP. (Default: Transparent Solid Line 3px)
The standard deviation levels are transparent by default.
To view them, just assign them any other color in the indicator settings.
Note that there is currently only 1 standard deviation that can be plotted above and below VWAP.
If you need more than that, you can add multiple instances of the indicator to the chart and assign a different multiplier to each.
Screenshots
Default Settings:
With Standard Deviation:
