VWAP reset interval in weeks

[Acrux]

Hi guys!

I'm very not a developper... I want my VWAP it in weeks and not in sessions, someone can help me with this line :

OrderFlowVWAP(VWAPResolution.Standard, TradingHours, VWAPStandardDeviations.Three, 1, 2, 3);

Thanks in advance!

[NinjaTrader_ChrisL]

Hi Acrux, thanks for your question.

This would be done by adding a Weekly data series to your script and applying that data series to your OrderFlowVWAP indicator.

We have a guide on multi time frame and instrument scripts here:

https://ninjatrader.com/support/helpGuides/nt8/?multi-time_frame__instruments.htm

e.g.

namespace NinjaTrader.NinjaScript.Indicators
{
    public class WeeklyVWAP : Indicator
    {
        private OrderFlowVWAP _WOF;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                //...
            }
            else if (State == State.Configure)
            {
                AddDataSeries(Data.BarsPeriodType.Tick, 1);
                AddDataSeries(Data.BarsPeriodType.Week, 1);
            }
            else if (State == State.DataLoaded)
            {
                _WOF = OrderFlowVWAP(BarsArray[2], VWAPResolution.Standard, TradingHours.String2TradingHours("CME US Index Futures RTH"), VWAPStandardDeviations.Three, 1, 2, 3);
            }
        }

        protected override void OnBarUpdate()
        {
            if(BarsInProgress != 0)
            {
                return;
            }

            if(CurrentBars[2] < 1) 
            {
                return;
            }

            Print(_WOF.VWAP[0]);
        }
    }
}

Please let me know if I can assist any further.

[facuevasm]

Hello guys!

I tried the code as Chris suggested. But I'm not getting the exact same values that I get when I load the VWAP indicator on chart when I print the values on the Output Window if I use the code inside a strategy. The code I'm using inside the script is this one:

VWAP = OrderFlowVWAP(BarsArray[1],VWAPResolution.Standard, TradingHours.String2TradingHours("CME US Index Futures RTH"), VWAPStandardDeviations.Two, 1, 2, 3).VWAP[0];
VWAP_High_2 = OrderFlowVWAP(BarsArray[1],VWAPResolution.Standard, TradingHours.String2TradingHours("CME US Index Futures RTH"), VWAPStandardDeviations.Two, 1, 2, 3).StdDev2Upper[0];
VWAP_Low_2 = OrderFlowVWAP(BarsArray[1],VWAPResolution.Standard, TradingHours.String2TradingHours("CME US Index Futures RTH"), VWAPStandardDeviations.Two, 1, 2, 3).StdDev2Lower[0];
VWAP_High_1 = OrderFlowVWAP(BarsArray[1],VWAPResolution.Standard, TradingHours.String2TradingHours("CME US Index Futures RTH"), VWAPStandardDeviations.Two, 1, 2, 3).StdDev1Upper[0];
VWAP_Low_1 = OrderFlowVWAP(BarsArray[1],VWAPResolution.Standard, TradingHours.String2TradingHours("CME US Index Futures RTH"), VWAPStandardDeviations.Two, 1, 2, 3).StdDev1Lower[0];

Print("VWAP: "+VWAP);
Print("VWAP_High_2: " + VWAP_High_2);
Print("VWAP_Low_2: " + VWAP_Low_2);
Print("VWAP_High_1: " + VWAP_High_1);
Print("VWAP_Low_1: " + VWAP_Low_1);

I already load the Weekly dataseries as suggested, so I call it on BarsArray[1].

Please let me know what I'm doing wrong.

[NinjaTrader_ChrisL]

Hi facuevasm, thanks for posting.

Is your chart indicator VWAP applied to a weekly series and are the parameters exactly the same? I would need to see screenshots of exactly what you are doing to identify why you are not seeing the same values show up.

Best regards,
-ChrisL