Lizard Trader Weighted Average Price

Here are the demos of Lizard Trader's Session VWAPS indicators.Since sinox was looking for some exceptional and super accurate VWAP indicator,I thought I'd post this for him, although being a proprietary indicator,it will need "education treatment",so maybe our top guys like Mr Admis, or sgueta might want to have a crack at it.It includes all the multiple variations of weighted average prices,the Volume weighted(VWAP),Time weighted (TWAP) and Range weighted(RWAP)

http://lizardtrader.com/leading-indicators/

According to their site

"Many institutional traders have their trade execution measured by volume weighted average price (VWAP). The VWAP is a benchmark that tells us the average price for all transaction executed during a day. Because institutional investors have their execution measured as good or bad by how far away they were from the average price, they will try to buy as close as possible to the VWAP. Accordingly, there are two ways of using the VWAP; trend filter and support and resistance level.

The Session VWAP indicator package is available for NinjaTrader 7. The indicator package contains a total of 15 different indicators including 5 VWAPs, 5 RWAPs and 5 TWAPs.

The VWAP indicators display the volume-weighted average price for a selected period. The daily, weekly, monthly and quarterly VWAPs are moving averages, anchored at the beginning of the period. The rolling VWAP calculates a volume-weighted average price of all trades in a moving time-window, and is not anchored at a specific starting point.

All VWAPs are displayed with standard deviation bands calculated as a volume-weighted standard deviation from all trade data. The standard deviation bands may also be replaced by quartered range bands.

If volume data is unavailable (or unreliable), you may choose the range-weighted average price (RWAP) as a substitute for the VWAP. The RWAP indicators have exactly the same properties as the VWAP indicator, however, the weighting is not based on volume data but the squared ranges of the price bars. RWAPs work particularly well for FOREX instruments. The package contains a daily, weekly, monthly, quarterly and a rolling RWAP.

The remaining 5 indicators calculate the time-weighted average price (TWAP). The TWAP is known as a simple order execution algorithm. The price calculation is not based on volume data, but on time lapsed. Our preference for discretionary or automated trading is however the VWAP and RWAP packages.

Aside from the current selected period, all indicators allow for display the average price and the value area for the prior day, week or month. The value area is typically tested during the current period, unless there is a runaway trend.

Furthermore all indicators allow for displaying several average price levels from prior periods. For example, you may display VWAP or RWAP for the prior 3 weeks, then compare them to the VWAP/RWAP of the current week and thereby define the trend."

I have included the LT Session_RWAPS/VWAPS/TWAPS indicators,a screenshot and Ganymed's images of the WAPS, a detailed User Manual PDF and the VWAP/RWAP/TWAP sound and alert files.

Sound/Alert files are to be place in C:\program files\NinjaTrader 7 \sounds

LizardVTRWapsDemos.zip (12.99MB)

Here are the demos of Lizard Trader's Session VWAPS indicators....

although being a proprietary indicator,it will need "education treatment",so maybe our top guys like Mr Admis, or sgueta might want to have a crack at it.

....

Forgive me, but personally, I'd not like to break FatTail's products, as he's a very good programmer who helped a lot to others and he already shared in public a plenty of free indicators.

His protections are very weak. So, even a novice in reversing can break it by himself...

Forgive me, but personally, I'd not like to break FatTail's products, as he's a very good programmer who helped a lot to others and he already shared in public a plenty of free indicators.

His protections are very weak. So, even a novice in reversing can break it by himself...

Thank you Steve, it is good indicator. But agreed with Admis more. Fat tail's products are very accurate. He research a lot before making any indicator, it also have time/price/range selection. Most of vendor copied his stuff. Here is fat tail's and Noft (copied from fat tail) also video explaining VWAP and why to use it.

http://www.forexupload.com/download.php?id=55F6EDA51

Link to Free Indicators that Fat Tails freely and generously shares.

http://lizardtrader.com/fat-tails-indicators/

Thank you Steve, it is good indicator. But agreed with Admis more. Fat tail's products are very accurate. He research a lot before making any indicator, it also have time/price/range selection. Most of vendor copied his stuff. Here is fat tail's and Noft (copied from fat tail) also video explaining VWAP and why to use it.

 

http://www.forexupload.com/download.php?id=55F6EDA51

What's happened to this video ? Link don't open, any help ?