Volume Weighted Average Price

 PV_VWAP Indicator

Volume Weighted Average Price (VWAP), quite a common indicator, and I was surprised that it does not come as a standard with NT. Currently, part of Order Flow set.

Anyway here is the PV version, fast one if Calculate: OnBarClose (Typical price for the bar used) and accurate one (every single tick calculated separately, internally own tick data series added, so slower too) if Calculate is something else that OnBarClose (like OnEachTick or OnPriceChange).

Parameters (None):

• But important! see the Calculate settings as it defines a lot 

Pictures:

Here is a comparison with the exact value (OnEachTick (Pink))  and estimate (Typical, OnBarClose (Blue)). In practice, not so much difference!

Download: NT8

Rolling Volume Weighted Average Price (PV_RVWAP) added to that download too, you are welcome.

Purchase: PriceGroup2

License: PVVWAP (Or PVFullSet)

Drawing Tool Anchored VWAP added, and that use same license so install that too. It has StdDev areas (based on VWAP fluctuation)  and those can be added in this indicator version if needed? Just send me a note so.. 

Update: 20250220 StdDev lines added (based on price fluctuation)

20250221 Start Time and StdMultiplier added if misc start time needed other than session start

Misc: 

Other platforms generally use Typical Price for this calculation plus of course Volume  (= same as this if Calculate = OnBarClose )