Volume Indicators for MetaTrader
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Indicators for МТ4 / VWAP



Indicator VWAP

Indicator VWAP - Volume Weighted Average Price (VWAP). In finance, volume-weighted average price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price a stock traded at over the trading horizon.

VWAP is often used as a trading benchmark by investors who aim to be as passive as possible in their execution. Many pension funds, and some mutual funds, fall into this category. The aim of using a VWAP trading target is to ensure that the trader executing the order does so in-line with volume on the market. It is sometimes argued that such execution reduces transaction costs by minimizing market impact (the adverse effect of a trader's activities on the price of a security).

VWAP can be measured between any two points in time but is displayed as the one corresponding to elapsed time during the trading day by information provider.

VWAP is often used in algorithmic trading. Indeed, a broker may guarantee execution of an order at the VWAP price and have a computer program enter the orders into the market in order to earn the trader's commission and create P&L. This is called a guaranteed VWAP execution. The broker can also trade in a best effort way and answer to the client the realized price. This is called a VWAP target execution; it incurs more dispersion in the answered price compared to the VWAP price for the client but a lower received/paid commission. Trading algorithms that use VWAP as a target belong to a class of algorithms known as volume participation algorithms.

Description of parameters:

  • Instrument (default value "AUTO") - The brokers can use different tickers on the same instruments so you can use name of exact futures to get data from it. On value "AUTO" server try to determine futures using broker's ticker name.
  • Update_in_sec (default value "every_1min") - This parameter set frequency of data update. Only two modes are allowed. Every_1min (1 time per minute) and Every_5min (1 time per 5 minute)
  • MetaTrader_GMT (default value "AUTO") - each broker setup his MT server with different GMT. Unfortunately there are no bultin methods to determine it so server compares last time from terminal with its own. During any periods while market is off you should adjust this parameter manually.
  • VWAP_Period (default value "Daily") - period for VWAP building. Depends on choice some variables may not be used during calculations.
    Available values of VWAP_Period:
    • Custom_Period - custom mode, VWAP chart will be calculated by period between values in Custom_Start_time and Custom_End_time
    • per_Hour - VWAP chart will be calculated for every hour.
    • Daily - VWAP chart will be calculated for every day. Start of day is moment when Globex starts trading after break
    • Weekly - VWAP chart will be calculated for a whole week
    • per_Asia - - VWAP chart will be calculated for asian session time (00:00 - 09:00 GMT+2)
    • per_Europe - VWAP chart will be calculated for european session time (09:00 - 15:00 GMT+2)
    • per_NYSE - VWAP chart will be calculated for american session time (15:00 - 24:00 GMT+2)
    • per_CME - VWAP chart will be calculated for CME work time (16:30 - 23:30 GMT+2)
    • per_Contract - VWAP chart will be calculated for a whole contract
  • Amount_of_VWAPs (default value "1") - number of VWAP repeatly charts based on VWAP_Period. Maximum value is 10
  • Forex_auto_shift (default value "true") - on "true" value indicator automatically search for shift between forex and futures markets.
  • Forex_Shift - manual set for point number for shifting DPOC values up or down if Forex_auto_shift is "false". This value may be positive so negative.
  • Custom_Period_Settings (default value "--- Settings for Custom Period ") - text comment that has no affect to indicator.
  • Get_Custom_Period_from_Chart (default value "true") - if dPOC_Period=Custom_Period values for Custom_Start_Time and Custom_End_Time are taken from vertical lines that appears when custom period is on.
  • Custom_Start_time (default value "2017.01.01 00:00") - if Custom_Start_Time and Custom_End_Time are different to value "2017.01.01 00:00" server loads history using custom period related to your parameters.
  • Custom_End_time (default value "2017.01.01 00:00") - see Custom_Start_Time
  • Comment_On_TimeFrame (the default value of "0-All, 1-M1, 2-M5, 4-M15, 8-M30,") is a text comment, it has no effect on the indicator
  • Comment_On_TimeFrame_ (the default value of "16-H1, 32-H4, 64-D1) - can be mixed") is a text comment, it has no effect on the indicator
  • Only_On_TimeFrame (the default value is "0") - used to display profiles on certain timeframes. As objects are plotted directly on the chart the tab "display" and the data in it are ignored. In order to apply the profile to certain timeframes it is necessary to add the numbers of these timeframes (the numbers are mentioned in comments above). For all timeframes, leave "0", to display only on the M5 timeframe, put "2", for example, for timeframes only M30 and H1 it is necessary to add 8 and 16 and insert the sum 24 into the value Only_On_TimeFrame.
  • Deviation_Settings (default value "--- Deviation_Channels ") - это текстовый коментарий, на работу индикатора никак не влияет
  • numDev1 (default value "1") - coefficient for building of 1-st channel
  • numDev2 (default value "-1") - coefficient for building of 1-st channel
  • numDev3 (default value "2") - coefficient for building of 2-nd channel
  • numDev4 (default value "-2") - coefficient for building of 2-nd channel
  • numDev5 (default value "3") - coefficient for building of 3-rd channel
  • numDev6 (default value "-3") - coefficient for building of 3-rd channel
  • Reverse Settings (default value "--------- Reverse for USD/XXX symbols ---------") - this is just text comment, it has no effect to indicator
  • ReverseChart (default value "false") - for USD/ forex pairs (exceot USD/JPY, USD/CAD, USD/CHF) you should set it to "true" so indicator data turn over to match chart of forex pair.
  • DO_NOT_SET_ReverseChart (default value "...for USD/JPY, USD/CAD, USD/CHF --") - this is just text comment, it does not any effect to indicator. The comment just shows the tip that you do not need to use ReverseChart for pairs like USD/JPY, USD/CAD, USD/CHF because indicator founds them automatically

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