VWAP stands for Volume Weighted Average Price. It is a market benchmark and one of the indicators most used by both professional traders and high frequency robots. The reason for this is because its mathematical model associates price and volume in a single indicator.
"High Frequency Trading, A Pratical Guide to Algorithmic Strategies and Trading Systems (Aldridge, Irene)"
- The calculation of VWAP is in accordance with the literature.
- 4 types of VWAPs, daily, monthly, yearly, moving. Note: Daily is the most popular form, the calculation is performed from the beginning to the end of each trading session (Market benchmark). In the moving, the calculation is carried out from n periods past to the current period, as with the famous moving averages, however weighted by volume.
- Possibility to choose between 2 types of volume calculation, real volume or tick volume.
- A label is displayed with the VWAP price calculation, which is allowed to change the size and style the border.
- Possibility to change the width and stylize the VWAP's historic line.
Input Parameters tab
- VWAP Type - VWAP type, daily, monthly, yearly or moving.
- Period - Period to be considered in the moving VWAP calculation.
- Volume Type - Type of volume. By real volume or tick volume.
- Color - Line color.
- Width - Line width.
- Style - Line style.
- Border Width - Size of the digits and the label's border.
- Border Style - Label border style.
版本 1.6 2020.03.01
Melhorias no algoritmo.
版本 1.5 2020.02.29
New VWAP type parameters: Monthly and yearly.
版本 1.4 2020.02.29
New VWAP Type parameter. Allows you to change the type of VWAP to mobile or daily.
版本 1.3 2020.02.28
Optimizations in the code.
版本 1.2 2020.02.28
Fixed, the label was not displayed when adding more than 1 VWAP.
版本 1.1 2020.02.27
Added new data entry, to allow selection of the volume type.