Anchored VWAP in NinjaTrader 8: choosing the anchor and reading the bands

What is anchored VWAP?

VWAP, the volume weighted average price, is the average price of everything traded since a starting point, with each price counted in proportion to the volume traded at it. The starting point is the anchor. A session VWAP restarts every trading day; an anchored VWAP starts where you decide, so it answers a narrower question: what is the average price paid since that moment?

TapeCrest VWAP builds the line one bar at a time. For each bar it takes a price, by default the typical price of (high + low + close) / 3, and weights it by the bar's volume, which on futures is contracts. The VWAP at any bar is the sum of price × volume since the anchor, divided by the sum of volume. A 1-minute chart resolves the line to the minute, a 30-minute chart to the half hour.

Which anchor should you choose?

Choose the anchor that matches your question.

A longer anchor reacts more slowly to what trades now. Session, Week, Month, Quarter and Year also draw the previous period VWAP: the closing VWAP of the period before, as a flat level across the current one. A rolling or pinned anchor has no previous period.

For index futures, where the session starts changes the line. The trading day comes from the chart's Trading Hours template, the session schedule set in the Data Series window (Ctrl+F), not from the calendar date. A 24-hour template (ETH, electronic trading hours) restarts the VWAP at the evening open; a regular-hours template such as CME US Index Futures RTH restarts it at the regular open. To keep the overnight bars on the chart and still start at the regular open, use AnchoredBar and count back to the open bar; that line runs on without restarting, so set it again for the next session.

How do you anchor VWAP to a specific bar in NinjaTrader 8?

TapeCrest VWAP picks the anchor bar by counting, not by a click on the chart. Anchor bar (bars ago) counts back from the newest bar, which is bar 0, at the moment you apply the number, then pins the anchor to that bar so it stays in place as new bars print.

1. In your TapeCrest workspace, add the tool to your library and copy its installation key. Import its ZIP in NinjaTrader 8 with Tools → Import → NinjaScript Add-On.
2. Add TapeCrest VWAP from the Indicators window (Ctrl+I) to a chart with at least five days loaded.
3. The first time only, click VWAP in the chart toolbar, choose TapeCrest access, then Paste key & verify.
4. In the TapeCrest VWAP settings window, opened from the same VWAP button, set Anchor to AnchoredBar.
5. Count back to your bar. On a time-based chart, divide the minutes by the bar size: for example, on a 5-minute chart whose newest bar opened at 11:30, the bar that opened at 09:30 is 24 bars back. Count only bars that exist; the daily break and the weekend have none.
6. Type the number in Anchor bar (bars ago). It applies at once, and the anchor note at the top left of the chart names the anchor that is running.
7. After you reopen the workspace or apply a template, type the number again: the count restarts from the newest bar at that moment.

Nothing is drawn before the pinned bar, and a number larger than the bars loaded moves the anchor to the first loaded bar. To watch a weekly VWAP as well, add TapeCrest VWAP a second time with Anchor on Week, its own VWAP line colour and its bands cleared, and load at least ten days.

How do you read the deviation bands?

A standard deviation (SD) measures how spread out values are around their average. TapeCrest VWAP uses the volume weighted standard deviation: the spread of each bar's price around the VWAP, weighted by that bar's volume, so thin bars count less than busy ones. A quiet overnight session therefore does not widen the bands the way a plain standard deviation of the close would.

With Band basis set to Percentage, the bands sit at a fixed percentage of the VWAP instead, and the labels read +1%.

Ways to read them, as reading exercises rather than trade instructions:

• Early in a period the VWAP rests on few bars, so it moves more and the bands are narrow.
• Location: whether price holds on one side of the VWAP, and whether the line slopes or stays flat.
• Distance: the bands put a number on how far price has travelled from the average paid since the anchor. Compare how often price reaches band 1 or band 2 on different days.
• References: the previous period level and a second copy with a longer anchor show where earlier average prices sit against today's trade.

The bands measure distance from an average. What that distance means for the next move is your reading, and every trading decision stays yours.

What does TapeCrest VWAP need?

• NinjaTrader 8 and a feed that reports volume. When an instrument reports no volume, or reports tick counts as most spot FX feeds do, a caution line on the chart says so.
• Enough history for the anchor. The previous session VWAP needs the previous session loaded, and a Month anchor needs more than a month.
• No Order Flow+ and no Tick Replay. Everything comes from the price and volume of the bars already on the chart.
• For your own NinjaScript, the C#-based scripts you write for NinjaTrader 8: the values VwapValue, DeviationValue and BandValue return NaN (not a number) until access is verified, for example in the first moments after NinjaTrader 8 starts.

If the line differs slightly from another platform's VWAP, compare the same session start, the same Price input and the same bar size. TapeCrest VWAP accumulates one observation per bar of your chart, which is not the tick-exact figure an exchange settlement uses.

Try it

TapeCrest VWAP is free for life: a free account and a licence key, no card and no trial. It comes with an English guide and two templates, TapeCrest Light and TapeCrest Dark, with colours set for white and dark charts. The TapeCrest VWAP page shows how to get access, and the free tools page compares all four free tools. For the first range of the day, read opening range in NinjaTrader 8; for value across a whole session, see Volume Profile vs TPO.