Attachments: Intraday VWAP

Intraday VWAP

#1
First Post: Nov 11, 2019 12:53pm Nov 11, 2019 12:53pm

mw108
Joined Aug 2016 | Status: Trader | 353 Posts

Traditional intraday timeframe independent VWAP indicator.

Attached Image (click to enlarge)

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Watch this video to learn how to utilize the VWAP:

Inserted Video

Download source code & indicator for MT4:

Attached File(s)

VWAP_v1.00.ex4 7 KB | 9,714 downloads

VWAP.mq4 3 KB | 12,373 downloads

#2
Feb 16, 2020 6:38am Feb 16, 2020 6:38am

Hmsr
| Joined May 2016 | Status: Trader | 322 Posts

So what is the theory behind the VWAP indicator,? How does it calculate its link between volume and price?

HMSR

#3
Feb 16, 2020 6:51am Feb 16, 2020 6:51am

mw108
Joined Aug 2016 | Status: Trader | 353 Posts

The theory, pros and cons of the VWAP indicator are nicely explained here: https://www.investopedia.com/terms/v/vwap.asp

#4
Jul 22, 2020 10:36am Jul 22, 2020 10:36am

enochben
Joined Dec 2007 | Status: a.k.a. the speculator | 931 Posts

Quoting Hmsr

Disliked

So what is the theory behind the VWAP indicator,? How does it calculate its link between volume and price?

Ignored

VWAP is the volume weighted average price. An easy way to think of it is - of all the trading that has occurred thus far during the trading day, the VWAP is the average price of all of those trades. Institutional investors might request a large trade at VWAP - so if the order is too large to get a a single price level the trader who has to fill this order will just wait and fill all he/she can when price comes back to the VWAP.

If you understand VWAP it is a very important price point. It gives you real time data and does not repaint.

I use the VWAP in conjunction with the POC to determine what kind of trading day is developing. If the VWAP is approximately the same as the POC then I know we are most likely going to have an accumulation day and I can safely fade the extremes.

Google: JPerl trading with market statistics for a masterclass on VWAP

#5
Dec 27, 2020 12:02pm Dec 27, 2020 12:02pm

EZbucksniper
| Joined Aug 2019 | Status: Trader | 11 Posts

Quoting enochben

Disliked

{quote} VWAP is the volume weighted average price. An easy way to think of it is - of all the trading that has occurred thus far during the trading day, the VWAP is the average price of all of those trades. Institutional investors might request a large trade at VWAP - so if the order is too large to get a a single price level the trader who has to fill this order will just wait and fill all he/she can when price comes back to the VWAP. If you understand VWAP it is a very important price point. It gives you real time data and does not repaint. I...

Ignored

Thanks enochben for the information.

how do you calculate POC, do you have indicator for that?

#6
Jun 27, 2021 6:19am Jun 27, 2021 6:19am

MountainKing
| Joined Mar 2013 | Status: Trader | 6 Posts

So we need the VOLUME to apply this indicator, right?

In Forex there is no volume information compared with other instruments.
But I often see guys in live trades on youtube using the vwap on the 3 min TF in Forex.
Does it make sense in your opinion?

#7
Jun 28, 2021 12:29pm Jun 28, 2021 12:29pm

qasd1
| Joined Feb 2021 | Status: Trader | 13 Posts

Hello,pl help for vwap. I have been searching for past few days for a vwap which is exactly in the tradingview. I have noticed that in tradingview and in MT4 the vwap are different.
i have tried using all formulas Nothing is working https://forex-station.com/images/smilies/icon_e_sad.png Please help make one for MT4 which is exactly same as tradingview. I have found the the code for tradingview in this site. Great thanks and Regards

The code in trading view is as somone else was facing the same Issue
https://www.mql5.com/en/forum/357780

#8
Jul 20, 2021 11:50am Jul 20, 2021 11:50am

aahan
| Joined Jul 2021 | Status: Trader | 1 Post

Hi,

Thanks for sharing the VWAP indicator. I have downloaded and am now trying to add this to my EA. When I use the iCustom function, I am not getting the right value for VWAP as there are no input parameters in the indicator. How can I leave this space blank while using the iCustom function?

Thanks

#9
Sep 27, 2021 9:37am Sep 27, 2021 9:37am

abarrett
| Joined Jan 2017 | Status: Trader | 23 Posts

Quoting MountainKing

Disliked

So we need the VOLUME to apply this indicator, right? In Forex there is no volume information compared with other instruments. But I often see guys in live trades on youtube using the vwap on the 3 min TF in Forex. Does it make sense in your opinion?

Ignored

There is volume, but only from your broker, so will vary between brokers. Shame it Isn't centralised like with Stocks etc. Just need to add and test it and see if useful.

#10
Oct 21, 2021 9:54am Oct 21, 2021 9:54am

mw108
Joined Aug 2016 | Status: Trader | 353 Posts

Quoting aahan

Disliked

Hi, Thanks for sharing the VWAP indicator. I have downloaded and am now trying to add this to my EA. When I use the iCustom function, I am not getting the right value for VWAP as there are no input parameters in the indicator. How can I leave this space blank while using the iCustom function? Thanks

Ignored

You don't need input parameters for iCustom in this case. Just use iCustom( NULL, PERIOD_CURRENT, 0, 0 ). It should give you the current VWAP value.

#11
Oct 25, 2021 11:31am Oct 25, 2021 11:31am

catlitter
| Joined Jul 2018 | Status: Trader | 25 Posts

Quoting MountainKing

Disliked

So we need the VOLUME to apply this indicator, right? In Forex there is no volume information compared with other instruments. But I often see guys in live trades on youtube using the vwap on the 3 min TF in Forex. Does it make sense in your opinion?

Ignored

Reply:There is volume, but only from your broker, so will vary between brokers. Shame it Isn't centralised like with Stocks etc. Just need to add and test it and see if useful.

Clearly in FX, a retail brokers volume is at best irrelevant, on a similar subject, folks trade 100% the sentiment on retail brokers, its the big actual money that matters IMO, you don't have to agree & I respect if you don't !

My Question: VWAP, weather its on a brokers chart, or a self installed indicator, the only Volume which matters is the actual Stock Exchange of the particular stock or indices. Most of us here trade CFD;s from a retail broker, does any know of any who uses the actual volume form the actual exchange?

#12
Mar 1, 2025 3:30pm Mar 1, 2025 3:30pm