One thing I have sporadically messed around with is this: Mess around with it and feel free to comment on any ideas or observations you may have! Fixed an error in the formatting. I asked for some indicator requests on Twitter. I like my boxes to have source code. It seems to do different things when plotted on daily vs. There are many ways to define a VWAP.
To remain true to this definition, we would have to calculate VWAP from the tape itself, using time and sales data. Think or Swim does not yet support this. The smallest duration we have to work with is the tick chart. As the day starts out, VWAP responds quickly to price changes, but by the end of the day the volume of each bar becomes small compared to total volume. The final value of VWAP on this tick chart at the close should be near to the actual value as calculated from the individual trades.
To me, the idea would be that intraday traders near the end of the day can be far removed from the action at the open. They probably have already closed positions from the early morning and are likely to be trading from a different perspective.
Calculating a rolling VWAP would let you find a more recent volume-weighted consensus of value. I also added the option to specify the number of shares as an increment for VWAP rather than just number of bars.
There are many different ways to use VWAP, and hopefully one of these will help you in your trading. Here is the code: Some Work In Progress: This is typically done over a 1 day timeframe.More...