SD of vwap

[rokafella]

I'm looking for an indicator the plots the standard deviation of vwap ( and vwap of course.) Any help would be most appreciated.
txs,
Rok

[NinjaTrader_Dierk]

Unfortunately there is no off-the-shelf solution available. However, you always could custom code this indicator by using the existing implementations as building blocks.

[rokafella]

thank you ....

[NinjaTrader_JoshP]

Are VWAPs generally only for a single day's intraday charts because looking at the formula it would seem historical data has a large impact on the ending VWAP value? Also it would appear that with lots of historical data after-hour trading will have a nominal impact on the VWAP.


I'll help you code this tomorrow rokafella. The plotting is going to be interesting if you have auto scale on though. The VWAP value can easily be in the $100-$200 range while the std dev value will be in the 0-10 range so it will make the lines very flat in order to plot the whole 0-200 range.

[rokafella]

From what I have gathered, it is meant to be used only during the day.
Trades are meant to be taken depending on where the POC( Point of control) or PVP (Peak volume price) is located in relation to the vwap.
Txs.

[NinjaTrader_JoshP]

rokafella give this a try. Hope it fits to your likings. Please cross check the calculations with another platform's VWAP indicator for me. Let me know of any bugs you find or changes you want. Thanks.

[NinjaTrader_JoshP]

I've adjusted the indicator to your specifications rokafella. Give it a try again.