Vwap for trading futures

[milkman13ui]

Anyone here use Vwap in daytrading the eminis? I have watched it for awhile now and was wondering if anyone use it in their system.

[dtrend]

Re: Vwap for trading futures

 

Dear milkman13ui,

 

I haven't made use of the vwap (yet) but I've filed it away with "market profile" and imagine that I will soon do so.

 

Here are a few useful references that I have found:

 

The VWAP is considered to be a fair benchmark for comparison of the institutional trade desks ability to execute trades on behalf of the customer. Here's a short explanation.

hXXp://alphatrends.blogspot.com/2007/11/institutional-trading-benchmark.html

 

In case you want to plot the vwap but don't have the capability on your platform

At hXXp://www.freestockcharts.com/ you can add the vwap indicator on any chart eg. eurusd.

 

Here's the formula for the vwap:

hXXp://www.northerntrust.com/pws/jsp/display2.jsp?XML=pages/nt/0802/search&q=vwap

 

 

I hope you find this useful.

 

- dtrend

[⭐ Maggoo]

Re: Vwap for trading futures

 

Hi,

 

I found VWAP code for TS or Multicharts, is it useful to post it ?

Have a nice sunday :)

[cashinvestor]

Re: Vwap for trading futures

 

yes, please post it. I'm trying to understand how volume works with price and other indicators. I'm looking for easylanguage source.

[⭐ Maggoo]

Re: Vwap for trading futures

 

Please let me know if it is what you were looking for.

 

 

   inputs:

   EC3 (false),
   EC4 (false),
   colorup(blue),
   colordn (red);

   vars:
   PrixW(0),
   TitreW(0),
   Count(0),
   VWAPValue(0),
   VWAPVar(0),
   VWAPEC(0),
   up(0),
   dn(0);

   If close>close[1] then up=1;
   If close<close[1] then dn=0;

   if date > date[1] then begin
   PrixW = 0;
   TitreW = 0;
   Count = -1;
   Value1 = 0;
   Value2 = 0;
   VWAPValue = 0;
   end;

   PrixW = PrixW + AvgPrice;
   TitreW = TitreW + 1;
   Count = Count + 1;
   Value3 = 0;

   if TitreW <> 0 then begin
   VWAPValue = PrixW / TitreW;
   For Value1 = 0 To Count Begin
   Value2 = ((up[Value1]+dn[Value1])/TitreW) * (Square(AvgPrice[Value1]-VWAPValue));
   Value3 = Value3 + Value2;
   end;
   end;

   VWAPVar = Value3;
   VWAPEC = SquareRoot(VWAPVar);

   Plot1(VWAPValue,"VWAP",white);
   Plot2(VWAPValue + VWAPEC,"VWAP1ECUp",colorup);
   Plot3(VWAPValue - VWAPEC,"VWAP1ECDn",colordn);
   Plot4(VWAPValue + (2*VWAPEC),"VWAP2ECUp",colorup);
   Plot5(VWAPValue - (2*VWAPEC),"VWAP2ECDn",colordn);

   If EC3 = true then begin
   plot6(VWAPValue + (3*VWAPEC),"VWAP3ECUp",colorup);
   plot7(VWAPValue - (3*VWAPEC),"VWAP3ECDn",colordn);
   end;

   If EC4 = true then begin
   plot8(VWAPValue + (4*VWAPEC),"VWAP4ECUp",colorup);
   plot9(VWAPValue - (4*VWAPEC),"VWAP4ECDn",colordn);
   end;

[milkman13ui]

Re: Vwap for trading futures

 

Hey guys, Vwap is a very good tool to use for trading futures imo. It shows the current dominate trend for the giving day. I'm at still a student of it, so I will continue to monitor the indicator until I have more to post.