Formulas for calculating the VWAP, POC, VAH, and VAL ?

[aekzof]

Hello
As you may know, The Order Flow cannot be accessed via NinjaScript.
Is there a formula for calculating the VWAP?
Additionally, are there any formulas for calculating the POC, VAH, and VAL for the Order Flow volume profile?
Thank you in advance

[QuantKey_Bruce]

VWAP is the sum of the products of the trade prices and their respective trade sizes, divided by the sum of the trade sizes.

Point of control is the "mode", or price at which the highest volume of trading took place.

There are some different variations for how VAH and VAL are calculated, but the general principle is to expand around POC until about 2/3 of the day's volume is included, adding prices up or down from POC based on whichever one has more volume. This "sort of" approximates a standard deviation band, but not very well.

[NinjaTrader_Emily]

Hello aekzof,

Thank you for your post.

Although the Order Flow Volume Profile tool is not accessible via NinjaScript, the Cumulative Delta, Volumetric Bars, and VWAP do have some NinjaScript access:

• Cumulative Delta - https://ninjatrader.com/support/help...ive_delta2.htm
• Volumetric Bars - https://ninjatrader.com/support/help...tric_bars2.htm
• VWAP - https://ninjatrader.com/support/help...flow_vwap2.htm
  • This would allow you to access the VWAP value directly rather than having to calculate it yourself

As for getting POC and Value Area information, I suggest reviewing the following post from my colleague that explains how you could use the Volumetric Bars as a tool for finding the POC and Value Area information:

https://forum.ninjatrader.com/forum/ninjatrader-8/indicator-development/1112672-get-price-of-poc-and-value-area-order-flow-volume-profile-indicator-in-ninjascript?p=1112679#post1112679

Please let us know if we may be of further assistance.

[QuantKey_Bruce]

aekzof NinjaTrader_Emily offers a good option here. If you access the VWAP or POC through the order flow volume profile it will be faster than calculating it yourself - not just less code but faster running. That would be the far superior option if that's all you need and you have access to the inbuilt indicator. Rolling your own, in this case, will be slower and a lot more work just to get back to the same place you're already at.

You asked how they're calculated and I answered, but if all you want is the answer, the inbuilt indicator is the way to go for sure.

[aekzof]

Thank you .