BrioQuant Anchored VWAP

BrioQuant Anchored VWAP plots the volume weighted average price from a chosen anchor point, with optional standard deviation bands.

Alongside the usual calendar anchors it can re-anchor at the start of each trading session. Asia, London and New York each get their own developing VWAP, which resets when that session opens and stops when it closes. The hour inputs match the BrioQuant Trading Sessions indicator, so the two line up on the same chart.

Anchor modes

• Session - Asia, London or New York, or Auto to follow the session that is currently open
• Daily, Weekly and Monthly, with a configurable start hour
• Rolling N bars - a continuous VWAP with no reset
• Manual - a draggable vertical line, anchored at any bar

Deviation bands

• Three band pairs, each with its own multiplier, switched on or off separately
• Defaults are 1.0, 2.0 and 3.0
• The bands use the volume weighted standard deviation of price around the running VWAP
• Calculated with a weighted Welford accumulator, which holds precision on high priced instruments where the sum of squares method loses it

Previous period levels

• The closing VWAP of a finished session or period is kept on the chart as a horizontal level
• The number of levels retained is configurable

Calculation

• The forming bar is recalculated from the previous bar rather than added to a running total, so values do not drift on repeated ticks
• Closed bars do not repaint
• Several copies can run on one chart by setting the instance tag
• Chart objects are removed when the indicator is removed

Related

POC, VAH and VAL: how to read a volume profile in MetaTrader 5 explains what volume-by-price is showing, and why tick volume on forex is a proxy rather than a measurement - which applies to the VWAP on this page just as much.

Inputs

• Anchor - Session, Daily, Weekly, Monthly, Rolling or Manual
• Session - Auto, Asia, London or New York
• Hour inputs are in - Server (broker) time or GMT with auto offset
• Session hours - Asia 1-10, London 10-19, New York 16-23 by default, in server time
• Day start hour - for the Daily, Weekly and Monthly anchors
• Bars - rolling window length, up to 5000
• Applied price - Typical, Weighted, Median or Close
• Applied volume - Tick or Real
• Real volume fallback - use tick volume where real volume is unavailable
• Bands 1 to 3 - on or off, each with its own multiplier
• Carry closed VWAPs - on or off, and how many to keep
• Instance tag - set a unique tag when running two or more copies on one chart

Volume and time

Tick volume is the default, as most forex brokers do not report real volume. If real volume is selected on a symbol that does not provide it, the indicator states this on the chart rather than substituting tick volume without notice.

Session hours are given in broker server time by default. The GMT option offsets to the broker clock using the current offset. MetaTrader does not provide a broker's historical daylight saving schedule, so anchors may be an hour out either side of a past DST change. Use server time where exact history matters.

Tell me what would make this more useful. Post the change you want in the comments - I read every one and build what I can.