X_STUDY® Documentation
- X_STUDY®
- Launching Charts
- Formatting Charts
- Adding Drawing Tools
- Screen And Field Descriptions
- Adding Technical Indicators
- Linking And Exporting Chart Data
- Context Menus
-
Technical Indicator Definitions
- List of Technical Indicators
- Acceleration Bands (ABANDS)
- Accumulation/Distribution (AD)
- Average Directional Movement (ADX)
- Absolute Price Oscillator (APO)
- Aroon (AR)
- Aroon Oscillator (ARO)
- Average True Range (ATR)
- Volume on the Ask (AVOL)
- Volume on the Bid and Ask (BAVOL)
- Bollinger Band (BBANDS)
- Band Width (BW)
- Bar Value Area (BVA)
- Bid Volume (BVOL)
- Commodity Channel Index (CCI)
- Chande Momentum Oscillator (CMO)
- Double Exponential Moving Average (DEMA)
- Plus DI (DI+)
- Directional Movement Indicators (DMI)
- Ichimoku (ICH)
- Fill Indicator (FILL)
- Keltner Channel (KC)
- Linear Regression (LR)
- Linear Regression Angle (LRA)
- Linear Regression Intercept (LRI)
- Linear Regression Slope (LRM)
- Max (MAX)
- Money Flow Index (MFI)
- Midpoint (MIDPNT)
- Midprice (MIDPRI)
- Min (MIN)
- MinMax (MINMAX)
- Momentum (MOM)
- Adaptive Moving Average (AMA)
- Exponential (EMA)
- Moving Average Convergence Divergence (MACD)
- Simple Moving Average (SMA)
- T3 (T3)
- Triple Exponential Moving Average (TEMA)
- Triangular Moving Average (TRIMA)
- Triple Exponential Moving Average Oscillator (TRIX)
- Weighted Moving Average (WMA)
- Normalized Average True Range (NATR)
- On Balance Volume (OBV)
- Price Channel (PC)
- PLOT (PLT)
- Percent Price Oscillator (PPO)
- Price Volume Trend (PVT)
- Rate of Change (ROC)
- Rate of Change (ROC100)
- Rate of Change (ROCP)
- Rate of Change (ROCR)
- Relative Strength Indicator (RSI)
- Parabolic Sar (SAR)
- Session Cumulative Ask (SAVOL)
- Session Cumulative Bid (SBVOL)
- Standard Deviation (STDDEV)
- Stochastic (STOCH)
- Stochastic Fast (StochF)
- Session Volume (S_VOL)
- Time Series Forecast (TSF)
- TT Cumulative Vol Delta (TT CVD)
- Ultimate Oscillator (ULTOSC)
- Volume At Price (VAP)
- Volume Delta (Vol ∆)
- Volume (VOLUME)
- Volume Weighted Average Price (VWAP)
- Williams % R (WillR)
- Welles Wilder's Smoothing Average (WWS)
- Troubleshooting And Support
Volume Weighted Average Price (VWAP)
Description
The Volume Weighted Average Price is similar to a moving average, except volume is included to weight the average price over a one day period. VWAP resets daily and can be calculated based on exchange session, primary session and custom defined sessions. You can also apply standard deviation bands above and below the VWAP.
In the example below the VWAP line is red with two standard deviations bands above and below. Shading between the bands has been applied to highlight this region.
Note: You cannot apply the VWAP technical indicator to Price Distribution and Tick charts. VWAP applied to a spread chart is based on price updates to the spread chart. Each price update on either leg of a spread chart is assigned a volume value of one.
Formula
where:
- PVWAP = Volume Weighted Average Price
- Pj = price of trade j
- Qj = quantity of trade j
- j = each individual trade that takes place over the defined period of time.
To calculate the standard deviation value to place the upper and lower channel lines use the following formula:
Middle Band = Pvwap
Upper Band = Middle Band + (x) Standard Deviation
Lower Band = Middle Band - (x) Standard Deviation
Note: For the VWAP standard deviation calculation, X represents the VWAP value calculated at each bar and x is the average of the VWAP since the session start. The standard deviation will be zero on the first bar of each session since ( xi - x ) will be zero and N is one.
Additional Bands:
- Price Diff Std Dev: A band calculation type that takes the maximum distance between the VWAP and the High or Low of each bar to use in the standard deviation calculation listed above.
Example: If the VWAP was 102 and the high and low are 104 and 101 respectively, then the max price difference of 2 would be the xi value. X-bar would be the average of these differences for all bars in this session.
- Tick Offset: A band calculation type that adds and subtracts the number of ticks specified from the VWAP. This is similar to a moving average envelope.