Indicator name: ClusterDelta #VWAP
Indicator VWAP - Volume Weighted Average Price (VWAP). In finance, volume-weighted average price (VWAP) is the ratio of the volume traded to the total volume traded over a particular time period (usually one day). It is a measure of the average price a derivative traded at over the trading period.
VWAP is often used as a trading benchmark by investors who aim to be as passive as possible in their execution. Many pension funds, and some mutual funds, fall into this category. The aim of using a VWAP trading target is to ensure that the trader executing the order does so in-line with volume on the market. It is sometimes argued that such execution reduces transaction costs by minimizing market impact (the adverse effect of a trader's activities on the price of a security).
WAP can be measured between any two points in time but is displayed as the one corresponding to elapsed time during the trading day by information provider.
VWAP is often used in algorithmic trading. Indeed, a broker may guarantee execution of an order at the VWAP price and have a computer program enter the orders into the market in order to earn the trader's commission and create P&L. This is called a guaranteed VWAP execution. The broker can also trade in a best effort way and answer to the client the realized price. This is called a VWAP target execution; it incurs more dispersion in the answered price compared to the VWAP price for the client but a lower received/paid commission. Trading algorithms that use VWAP as a target belong to a class of algorithms known as volume participation algorithms.
DESCRIPTION OF THE VWAP INDICATOR PANEL
The VWAP panel contains the "Authorizer" icon, the indicator name, the VWAP periods, the number of VWAP periods to load and display, where the value "None" removes VWAP data from the chart, an Alert icon and an icon (arrow up) to close the current VWAP GUI panel.
To switch between the Alert modes, just click to the Alert Icon
CLUSTERDELTA VWAP PARAMETERS DESCRIPTION
Parameters
Display Indicator GUI is a small graphical panel containing current access status (click to open the Authorizer), name of the indicator, ticker name of the data source and the alert icon
VWAP Build Period is the time range (Hourly, Daily, Weekly, etc) on which indicator is calculated its values.
Instrument as Source of Data - select a futures from the dropdown list as the source for data. Value AUTO causes automatic detection of the instrument using the NinjaTrader ticker.
Amount (-1 is Auto) is an amount of periods to load data for the VWAP indicator. -1 use the entire range of the current chart.
Day Ago (intraday periods) is the option to work with history data. It determines the number of days to skip from the current date and then load the required historical data using the "Amount" parameter.
Moving VWAP (in hours) is the option to calculate VWAP only using the data of the last hours defined by this value. It allows you to cut off the old date that would be outdated for VWAP calculations.
Reverse Data is an option for reverse the indicator data for reversed currency pairs except those that have name "USDJPY", "USDCAD", "USDCHF", "USDMXN". This option was added for compatibility, but in 99.9% of NinjaTrader keep it turned off.
[Expert] Spot/Merge Auto Adjusting is an option that allows you to adjust DPOC data to the spot chart using the latest highs and lows of the current trading session. The difference that is automatically calculated using this option may vary from trading session to trading session, so this may result in incorrect alignment of DPOC data for different trading sessions.
[Expert] Manual Spot Shift in points sets the manual value to be used to adjust DPOC data to the spot chart. If the Spot/Merge Auto option is turned on, Ninjatrader calculates and changes this option automatically during indicator work.
Alert
Alert on VWAP cross initiates the Alert event when the price crosses the VWAP line.
Alert on Deviations cross initiates the Alert event when the price crosses the Deviations line.
Alert File is an option for the sound file to be played when an alert event is triggered. The files located at the NinjaTrader_Install_Directory\Sounds directory
Deviations is the coefficients to build VWAP bands up and down from the VWAP line
In the "Plots" sub window you can choose colors and thickness of the VWAP and Deviation lines.
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