Anchored VWAP Indicator for NinjaTrader 8
Created 10 May 2025
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Updated 25 Dec 2025
The Anchored VWAP[Advanced] is a Premium NinjaTrader 8 indicator.
Prerequisites
To use this indicator you should have the following prerequisites available.
- NinjaTrader 8, with any license type. Click here to download
- Order Flow data is not required to use this indicator — you don't need a NinjaTrader Lifetime license.
- An automated-trading.ch account with an active Premium Subscription
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 you to interactively create 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
Examples
Here are a 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 futures instrument.
Of course you can change the session time interval to whatever suits the instrument. The time interval works seamlessly 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 separate 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 you to add VWAPs on the chart with mouse clicks. First you click on a start index, then drag the mouse to the target index, then click a second time to transform 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. In this case, the VWAP 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 a 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:
|
| Time Zone |
This parameter sets the time zone used for the Session Interval parameter below. Since futures markets open and close based on US market time (EST — US Eastern, New York), this parameter allows you to specify the trade time interval in another time zone, such as your own machine's local time zone or Central European time.
|
| Session Interval (hh:mm-hh:mm) | This parameter sets the time interval that defines the trading session. For example, if you want to draw the VWAP on the RTH session, set this parameter to "09:30-16:15" while setting the time zone 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. |
| DataSeries Source |
This parameter sets the source for the VWAP calculation. You can choose among the following options:
|
| 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 band's area. |
| Std Dev 1 Area Opacity | Determines the opacity of the first standard deviation band's area. |
| Std Dev 2 Area Color | Sets the fill color around the second standard deviation band's area. |
| Std Dev 2 Area Opacity | Determines the opacity of the second standard deviation band's area. |
| Std Dev 3 Area Color | Sets the fill color around the third standard deviation band's area. |
| Std Dev 3 Area Opacity | Determines the opacity of the third standard deviation band's area. |
Interactive Commands on the Click & Drag Mode
Extend to Last Bar
The Extend to Last Bar command extends the clicked VWAP to the most recent bar on the chart. The VWAP stays active and will be extended to new bars as they're created, being recalculated at each new bar.
Stop Extending & Remove VWAP
The Stop Extending command marks the clicked VWAP as inactive and stops extending it to new bars.
The Remove VWAP command removes the VWAP from the chart. This is required since the "Delete" keyboard button can't be used to remove it, so this menu entry was created for that purpose.
Toggle Enable/Disable Anchored VWAP
Manipulating VWAPs on the chart can interfere with trading, or lead to unwanted effects such as creating a click-and-drag VWAP when you only meant to scroll the chart or close a trade. For this, the indicator exposes a toolbar button that lets you toggle the VWAP mouse interactions on/off. When this button is lit green it is active; when it is grey it is deactivated.
Change DataSource of Anchored VWAPs
On both Click & Drag and Click & Auto Extend VWAPs, the DataSource can be changed by right-clicking on the VWAP and selecting another DataSource from the available options. Once a selection is made, the VWAP updates instantaneously.
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 logic based on their values.
Download & Installation Instructions
License Requirements
At automated-trading.ch you can choose to either purchase a monthly subscription to use our premium products, or use our free products without subscribing.
In both cases, you need to create an account so you can get a License you can use for both premium and free products.
To obtain your license, simply sign up and then get your license on the billing page.
Download
You can also download this strategy — and every other automated-trading.ch strategy or indicator — anytime from your centralized Downloads page.
Installation Steps
Frequently Asked Questions
General
Release Notes
- Drawing of vwap pushed behind chart candlestick for better clarity; Added DataSource parameter (Open, close, High, Low, (H+L)/2, ...); Added new VWAP mode: Click & Auto Extend
- Fix Bug: Import issue class conflict with Open Range Breakout strategy; Fix Bug: indicator hides Grid lines when added to chart
- Fix Bug: Std Dev bands don't take the input parameters
- Fix Bug: Std bottom Signals not having values; Fix Bug: Saving template file generates an error
- Fix Bug related to Timezone
- Fixed Importing Error
- First Release of the indicator