Order Flow VWAP Resolution

[sjmuk1]

I am using the NT8 VWAP method and want to know how to apply it at the 'Tick' Resolution. Do I have also to have a 1 Tick data series added to the strategy to call a 1 tick resolution VWAP?

[NinjaTrader_ChrisL]

Hi sjmuk1, thanks for posting. There is an example showing how to set the Resolution to tick on the VWAP documentation page:

double VWAPStdDevUp1 = OrderFlowVWAP([B]VWAPResolution.Tick[/B], Bars.TradingHours, VWAPStandardDeviations.Three, 1, 2, 3).StdDev1Upper[0];

The 1 tick series will be required to operate the VWAP in your script. You can do this in OnStateChanged() during State.Configure:

else if (State == State.Configure)
{
    AddDataSeries(Data.BarsPeriodType.Tick, 1);
}​