VWAP indicator: Average price shown based on price, volume 

March 21st, 2024

The volume-weighted average price (VWAP) indicator is a popular tool used by futures traders to measure support and resistance levels and trend strength, determine market direction, and manage trade entries and exits.

VWAP is used for technical analysis on intraday charts and is a benchmark that shows the average price an asset has been traded at during the day, based on price and volume.

VWAP calculation

Price movement is dependent on whether buyers or sellers were more aggressive during a trading session and is connected to total volume traded during the session. Together, price and volume are important aspects of order flow data. The formula for calculating VWAP is:

VWAP = E (Volume x Price) / E Volume

VWAP shows up as a single line on intraday charts and looks much like a moving average line. The VWAP indicator is used commonly among traders who live in short time-frame charts.

Applications for VWAP indicators

The NinjaTrader Ecosystem has several third-party providers offering VWAP indicators and other indicators for futures traders, many of which are either free or available to test through a free trial. Some examples are:

  • Session VWAPs by LizardIndicators tells traders the average price for all transactions executed during a trading session, such as a day, week, month, or quarter. Many institutional traders execute based on the VWAP, so it’s an important price benchmark to control transaction costs.
  • Anchored VWAP by MczAbs is a dynamic tool for trading strategies. One of its standout features is coding friendliness: users can seamlessly integrate it into the code of any NinjaTrader strategy, allowing for easy implementation and customization.
  • VWAP Bands Pro Indicator by Tarding-revealed.com is a must-have for traders who want to see the market map in real –time, along with precise support/resistance levels used by the big firms’ algorithms.

To learn more about VWAP indicators and for full access to a growing library of popular indicators, plus market analyzer and SuperDOM add-ons and more, visit the NinjaTrader Ecosystem’s trading apps and services section.

How to Add 3rd Party App to NinjaTrader

To import your 3rd party app or add-on to NinjaTrader, simply follow these 3 steps:

  1. Download the app or add-on file to your desktop
  2. From the NinjaTrader Control Center window, select the menu Tools > Import > NinjaScript Add-On…
  3. Select the downloaded file from your desktop

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