Description

The Anchored VWAP[Advanced] is a premium NinjaTrader 8 indicator which has the following features

• Display of VWAP in 2 modes
  • Session Mode: Display VWAPs defined on a time interval for each trading session
  • Click & Drag Mode: This mode allows to interactively creates VWAPs on the chart using mouse clicks
• Works Seamlessly with or without OrderFlow Data or Tick replay
• Works Seamlessly on any timeframe including Renko Bars
• Export of VWAP levels as Plots that can be used from the Ninjatrader Strategy Builder, AlgoStudio or Bloodhound 3rd-party Software

We highly recommend joining our discord community by following this invite link

Examples

Here are few examples of the indicator in action:

RTH Session VWAP

The most straightforward usage of the indicator is to draw the VWAP on the RTH (Regular Trading Hours) session times of a US Future instrument

Off course you can change the session time interval to whatever session suits the instrument. The time interval works seemlesly on time-based Timeframes and on price-based timeframes such as Renko bars or Range Bars. If you want to draw the VWAP indicator on two or more seperate intervals for the same trading session, you can add as many instances of the indicator to the chart, each with its own session interval

Click & Drag Mode

The Anchored VWAP indicator can be operated under the Click & Drag mode, which allows to add VWAPs on the chart with mouse clicks. On the below example you can see how to create a VWAP. First you click on a start index, then drag the mouse into the target inde, then click a second time to trasform the selection into a VWAP

Click & Drag to anchor VWAPs from Price Swings

One of the usage cases of the indicator is to draw VWAPs from anchor price points such as price swings. The VWAP in this case, can be used as an alternative to moving averages, and signals can be generated where inverse VWAPs intersect

Parameters

We always try to keep the parameters to minimum.

License
License	This is the license key you get when you create an account on automated-trading.ch. After creating an account, copy your license key from the billing page. You need to set this parameter only once per month, once the license key is validated it will be remembered for the rest of the month.
VWAP
VWAP Mode	This parameter allows you to switch between two modes: Session Interval: This will make the indicator draw one VWAP per trading session according to the below Session Interval parameter Click & Drag: This will make the indicator draw VWAPs interactivley based on the user click and drag mouse commands
Time Zone	This parameter sets the time zone to be used for setting the Session Interval parameter below. Since futures markets are open and closed based on US market time zone which is EST (US Eastern, New York), this parameter allows you to specifiy trade time interval on another timezone which is your local machine timezone or European central EST: This will use EST (Eastern Time) timezone while setting the Session Interval CET: This will use CET (Central European Time) timezone while setting the Session Interval Local Time: This will use the local machine timezone
Session Interval (hh:mm-hh:mm)	This parameter sets the time interval that defines the trading session. For example if you want to draw VWAP on the RTH session, the value of this parameter should be "09:30-16:15" while setting the timezone to EST
Std Dev Bands	Selects the number of standard deviation bands to display. From None to 3
Std Dev 1 Multiplier	Sets the multiplier for the first standard deviation band.
Std Dev 2 Multiplier	Sets the multiplier for the second standard deviation band.
Std Dev 3 Multiplier	Sets the multiplier for the third standard deviation band.
Rendering
Color for Above Price	Defines the color of the VWAP line when it is above the price.
Color for Below Price	Defines the color of the VWAP line when it is below the price.
Std Dev 1 Area Color	Sets the fill color around the first standard deviation line area
Std Dev 1 Area Opacity	Determines the opacity of the first standard deviation line area
Std Dev 2 Area Color	Sets the fill color around the second standard deviation line area
Std Dev 2 Area Opacity	Determines the opacity of the second standard deviation line area
Std Dev 3 Area Color	Sets the fill color around the third standard deviation line area
Std Dev 3 Area Opacity	Determines the opacity of the third standard deviation line area

Interactive Commands On the Click & Drag Mode

Extend To Last Bar
	The Extend to Last Bar command will extend the clicked VWAP until the most recent bar on the chart. Hence, the vwap will be active and it will be extended to new bars created and it will be recalculated at each new bar
Stop Extending & Remove VWAP
	The Stop Extending command will mark the clicked VWAP as inactive and it will stop extending it to new bars The Remove VWAP command will remove the profile from the chart. This is required as the "Delete" Keyboard button cannot be used to remove the profile, so this menu entry was created for this purpose.
Toggle Enable/Disable Anchored VWAP
	Manipulating VWAPs on the chart can interfere with trading. Or can lead to unwanted effects on the chart like creating a click'n'drag vwap where the user wanted to just scroll the chart or close a trade. For this, the indicator expose a toolbar button that allow to enable toggling on/off the VWAP mouse interactions. When this button is lighting Green, it means it is active and when it is Grey it means it is deactivated

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Signals & Usage in Strategy Builder

The indicator exposes signals that can be used from the Strategy Builder and Third-party software such as Bloodhound and AlgoStudio.

Those signal plots are transparent and are not drawn on the chart. To use them from the strategy builder you can select them and build a logic upon their values like this:

Download & Installation Instructions

Frequantly Asked Questions

Release Notes

User Comments & Feedback

You can find feedback of our users and ask questions about this strategy by joining our discord community by following this invite link or clicking on the Discord logo image. Joining is completely free