ninjatrader/indicators/vwap

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)

Screenshots

Default Settings:

With Standard Deviation:

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