VWAP is the volume weighted average price for a futures contract plotted as a line on the price chart. The calculation is the sum of traded volume times the price divided by the sum of the traded volume.
This study has a number of uses. It provides the current volume weighted average price for the trading day or the trading session. Traders can compare the current price to the VWAP. In addition, the VWAP can be calculated using a set look back period and smooth the price data similar to a standard moving average.
VWAP = (Sum of traded volume*price)/(Sum of the traded volume)
VWAP Parameters
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Parameter |
Description |
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Display |
Opens sub-window to set parameters •Color = Line color. •Weight = Line thickness. •Display = Line style: line or histogram.. |
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Period |
Number of bars in the lookback range of the average to weight. Required when Start from = None. |
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Start from |
Begin calculation at. •None = period used instead of start of. •StartofDay •StartofSession |
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Price |
Price used to calculate study values. |
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Contract or Commodity |
Values: •Auto = existing volume type •Contract •Commodity |