order flows vwap standard deviation calculations

[pjsmith]

Hello,

Could you please confirm for me what calculation is being used in the NT8 default order flows vwap indicator to calculate standard deviation bands?

I recently tried it alongside several other established vwap indicators, and the bands often don't line up. I realise that vwap values will vary a little with data resolution, but I apply these all on a 1 minute chart which all are using for their calls and the vwaps align, but the sd bands often do not. I tried with my own interpretation of the way to calculate standard deviation also, and that provides a different result to nt8 vwap too. Example below.

Just trying to determine which ones are valid as in some cases, per the attached which has 2 vwap indicators with a single 1 sd band. You can see they can get quite out of sync in volatility on occasion. Almost 10 nq points here. Thanks.

[NinjaTrader_Marco]

Hello,

Thanks for your post.

Below the Help Guide article for the NinjaScript Reference page can be found:

https://ninjatrader.com/support/helpGuides/nt8/?order_flow_vwap2.htm

Please let me know if I may be of any further assistance.

[pjsmith]

Thank you for not even reading my question.

[NinjaTrader_RyanS]

Hello pjsmith,

Can you clarify what calculation method you are looking for more information on?

[saxit]

Hi pjsmith,

I believe the answer is that it's vwap +/- (the standard deviation of previous candle closes * 1/2/3), not the standard deviation of previous vwap values.

[NinjaTrader_ChrisL]

Hi mendshop, thanks for posting. We do not have the source code for the OrderFlow VWAP so I can not copy/paste the source code, but it does use the StdDev() calculation that is built into the platform:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?standard_deviation_stddev.htm