VWAP/TWAP Overview
Volume Weighted Average Price (VWAP) shows the average price of a security over a period of time while taking into consideration both price and traded volume.
Time Weighted Average Price (TWAP) shows the average price of a security over a period of time without considering traded volume.
Indicator Highlights:
- Multiple methods of calculating VWAP/TWAP are offered:
- Regular VWAP:
- Offers many pre-configured reset intervals such as: Swing, RTH or ETH session, Week, Month, Quarter, Year
- Up to 5 customizable Standard Deviation bands
- VWAP Oscillator:
- Offers many pre-configured reset intervals such as: Swing, RTH or ETH session, Week, Month, Quarter, Year
- Difference can be calculated in Points or Percentage
- Anchored VWAP:
- Up to 5 different anchors per indicator instance
- Rolling VWAP:
- Rolling periods in any multiple of days, weeks and months
- Up to 5 customizable Standard Deviation band
- Single Anchored VWAP with up to 5 customizable Standard Deviation bands
- Single Anchored TWAP with up to 5 customizable Standard Deviation bands
- Multiple ways of highlighting when price is above or below VWAP by:
- Changing plot color
- Changing price bar color
- Highlighting chart background
- Automatic Accuracy vs Performance optimization offers highly accurate intraday calculations and faster speeds for higher timeframes (Week, Month, Quarter, Year)
- Enhanced Plots menus allow customization of every aspect of plots including plot names and ability to conveniently turn plots on/off individually
- Does not require NinjaTrader’s Lifetime license
- Does not require Tick Replay