Looking to make a weekly/monthly vwap indicator

[alcorr247]

I am assuming someone has already made one for NT but I don't seem to be able to find it. If not, I am looking to calculate a vwap for the last 5 rolling trading days (for weekly vwap) or last 30 (for monthly).

[NinjaTrader_ChrisL]

Hi alcorr, thanks for your post.

There is no free open-source VWAP indicator that I am aware of. If you get a lifetime license for NinjaTrader, you get access to the OrderFlow suite of indicators that includes a VWAP indicator. There is a VWAP formula here on this publicly available link:

https://www.investopedia.com/terms/v/vwap.asp

Best regards,
-ChrisL

[robforee2]

After adding volumetric bars to your indicator, loop back over x days something like this.

double volPx = 0;
double vol = 0;
for (var ii = volBarIndex; ii > endBarIndex; ii--)
{
  var ago = volBarIndex - ii;
  var bar = barsType.Volumes[ii];[INDENT]// for each price
for (var px = bar.High;
px >= bar.Low;
px -= Instrument.MasterInstrument.TickSize)
{
  var thisVol = bar.GetTotalVolumeForPrice(px);
  volPx += (thisVol * px);
  vol += thisVol;

}[/INDENT]
 }
if (vol <= 0) return;
var thisVwap = Instrument.MasterInstrument.RoundToTickSize(volPx / vol); ;