Moving VWAP with Standard Deviation indicator
Moving VWAP with Standard Deviation indicator
(New version and changes in pricing! Please see post https://bookmap.com/forum/viewtopic.php ... 0a71#p5906)
Last bugfix version: https://bookmap.com/forum/download/file.php?id=974
I would like to introduce a new indicator to the General Indicator Package, the Moving Volume Weighted Average Price with Standard Deviations (wow, what a name, let's call it Moving VWAP). The idea behind is, that instead regularly resetting the VWAP to 0, the indicator calculates the VWAP on the last X trades. It does not use time as a lookback, since the intensity of the trading might reflect better the behaviour of the market.
The indicator looks like below:
The settings are similar to the VWAP settings, but instead of the reset interval the "Trade Count for Period" has to be defined. It has to be adjusted according to the instrument, the thick markets will need a higher count, the thin ones smaller ones. This count as mentioned above is the number of trades the calculation will look back to:
The package containing the indicator is below:
Last bugfix version: https://bookmap.com/forum/download/file.php?id=974
I would like to introduce a new indicator to the General Indicator Package, the Moving Volume Weighted Average Price with Standard Deviations (wow, what a name, let's call it Moving VWAP). The idea behind is, that instead regularly resetting the VWAP to 0, the indicator calculates the VWAP on the last X trades. It does not use time as a lookback, since the intensity of the trading might reflect better the behaviour of the market.
The indicator looks like below:
The settings are similar to the VWAP settings, but instead of the reset interval the "Trade Count for Period" has to be defined. It has to be adjusted according to the instrument, the thick markets will need a higher count, the thin ones smaller ones. This count as mentioned above is the number of trades the calculation will look back to:
The package containing the indicator is below:
Last edited by zcsoka on Wed Sep 14, 2022 6:24 am, edited 3 times in total.
Re: Moving VWAP with Standard Deviation indicator
Hi Geonss,
The Anchor if I understood it correctly is bound to a time stamp reset. As you might have realised, in the package there is a normal VWAP with STDV, I think that is what you are looking for. Right now I have only period based reset, but I am working on a timestamp based reset option, which will allow you to "anchor" your VWAP. Please keep in mind, that the indicators cannot use historical data, so your anchor point has to be during Bookmap running time. Would it fulfil your requirement?
The Anchor if I understood it correctly is bound to a time stamp reset. As you might have realised, in the package there is a normal VWAP with STDV, I think that is what you are looking for. Right now I have only period based reset, but I am working on a timestamp based reset option, which will allow you to "anchor" your VWAP. Please keep in mind, that the indicators cannot use historical data, so your anchor point has to be during Bookmap running time. Would it fulfil your requirement?
Re: Moving VWAP with Standard Deviation indicator
Dear Geonss,
Please check the thread VWAP with Standard Deviation Indicator
I have posted a new package both with periodic and time stamp based resets. That might work as an Anchored VWAP for you.
Please check the thread VWAP with Standard Deviation Indicator
I have posted a new package both with periodic and time stamp based resets. That might work as an Anchored VWAP for you.
Re: Moving VWAP with Standard Deviation indicator
Does this work with DXFeed? I’m getting an error on mine but not sure if I’ve done something wrong with the setup..!
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Re: Moving VWAP with Standard Deviation indicator
UPDATE: ... unless they're signed with Bookmap.No loaded indicators are ever supposed to work with dxFeed real-time due to license limitations.
So you get either an exception with older Bookmap builds or a not-working indicator with newer builds.
'Not-working' indicator here means that it's unable to get launched, or, once launched, the indicator's lines or widgets won't show.
Indicators by zcsoka are/will be signed soon.
Sorry for misunderstanding.
Re: Moving VWAP with Standard Deviation indicator
The General Indicator package including this plugin will introduce a package subscription fee of 5 $/month as of 01.08.2021. The fee will be applied at the next renewal. If you do not agree, please unsubscribe prior to renewal. The add-on also introduces a new version for Bookmap 7.2+, calculating the indicators on backfilled historical data as well. The new plugin also accepts alphanumerical parameter without pressing the ENTER. If you have any questions, please post it on the corresponding indicator’s forum..The Bookmap 7.2+ compatible version is here: