Volume Weighted Average Price
Note: for the Anchored VWAP tool see here.
The Volume Weighted Average Price (VWAP) is an average that looks at the trade volume from a lower timeframe to calculate a weighted average. As such, an intraday datafeed is required for the VWAP to be calculated - click here for compatible data providers.
In a traditional Moving Average the closing price or an average of a combination of open, high, low & close are used to calculate the average for the day. The issue with this is when the day’s trading started low and quickly moved up in the first 10 minutes of trading and stayed near the high all day. The true “average” for the day must take into consideration where the majority of prices took place. This is what the VWAP will calculate.
VWAP starts by loading an intra-day chart and then for each intra-day bar calculate the close using ‘x’ bar’s volume. These are then added up and divided by the total volume for the day.
The Volume Weighted Average Price includes the option of displaying up to three standard deviation channels, as per the below example.
To add the tool to your chart, select the tool from the Averages tool group, and left-click on the chart or indicator on which you wish to add the tool. Optuma will then draw the tool using the default settings.
Scripting Function: VWAP()
Actions & Properties
Copy Data to Clipboard: Will copy the tool’s values to the clipboard which can then be inserted into a spreadsheet, for example, allowing for further analysis.
Add Technical Alert: When selected, a Technical Alert will be created for the selected security.
Add to Toolbar: Adds the selected tool to your custom toolbar.
Apply Settings to All: When multiple Volume Weighted Average Price tools have been applied to a chart, page or workbook, this action can be used to apply the settings of the one selected to other instances of the tool. This is a great time saver if an adjustment is made to the tool - such as line colour - as this allows all the other Volume Weighted Average Price tools in the chart, page or entire workbook to be updated instantly.
Copy Tool: Allows you to copy the selected tool, which can then be pasted onto a different chart window.
Move to Back: If the tool is displaying in front of other tools or indicators clicking this action will move the tool view to the background.
Move to Front: If the tool is displaying behind other tools or indicators on the chart, clicking this action will bring the tool to the forefront.
Restore Default Settings: Click this action if you have adjusted the default settings of the tool, and wish to return to the standard properties originally installed with Optuma.
Save Settings as Default: If you have adjusted any of the tool’s properties (colour, for example) you can save the adjustments as your new default setting. Each time you apply a new Volume Weighted Average Price to a chart, the tool will display using the new settings.
Delete: Deletes the tool from the chart.
Tool Name: Allows you to adjust the name of the tool, as it’s displayed in the Structures Panel.
Calc Using: This option is used to determine which components of the data are used in calculating the VWAP. You can choose from, Open Price, Closed Price, High Price, Low Price, HL (High + Low / 2), HLC (High + Low + Close / 3), OHLC (Open + High + Low + Close / 4), OC (Open + Close / 2) or Median.
Intraday Timeframe: Sets the timeframe that the VWAP is calculated on.
Plot Style: Allows you to change how the tool is displayed on your chart. There are 6 options available: Line, Dot, Histogram, Step, Shaded, Shaded Step.
Line Style: The Line Style property allows you to adjust the type of line displayed. There are 8 options available: Solid, Dots, Dash, Dash Dots, Long Dash, Long Dash Dot, Long Dash Dot Dot, Stippled.
Line Width: Allows you to adjust the width of the line. Moving the slider bar to the right increases the thickness of the line.
Line Colour: Allows you to select the colour of the line. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Show Standard Deviation: When selected the Standard Deviation Channels will be displayed.
Std Dev Period: Sets the standard deviation period.
Std Dev Multiplier: Sets the standard deviation multiplier.
First Deviation: This expands to display the following properties:
- Plot Style - Allows you to change how the VWAP is displayed on your chart. There are 6 options available: Line, Dot, Histogram, Step, Shaded, Shaded Step.
- Line Style - The Line Style property allows you to adjust the type of the line displayed. There are 8 options available: Solid, Dots, Dash, Dash Dots, Long Dash, Long Dash Dot, Long Dash Dot Dot and Stippled.
- Line Width - Allows you to adjust the width of the line. Moving the slider bar to the right increases the thickness of the line.
- Line Colour - Allows you to select the colour of the line. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
- Show Fill - When selected the Standard deviation channel will be filled.
- Fill Colour: When “Show Fill” is selected you are then able to set the fill colour.
- Fill Transparency: When “Show Fill” is selected you are then able to adjust the fill transparency. Moving the slider bar to the right will decrease the transparency.
Second Deviation: This expands to display the same properties as the First Deviation.
Third Deviation: This expands to display the same properties as the First Deviation.
Offset: Moves the tool forward or backwards in time. The offset is measured in bars, so a value of 2 will push the tool forward 2 bars and -2 will move the tool back 2 bars.
Tool Transparency: Use this slider bar to adjust the transparency of the tool. Moving the slider to the left will increase the transparency of the tool.
Visible: Un-tick this checkbox to hide the tool from the chart.
Show in Price Scale: When selected the current VWAP value will be displayed in the Price Scale.