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Overnight and Regular Trading Hours VWAP

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[2021-05-19 14:03:57] #1 [Go To First Post]
User450463 - Posts: 118
Is there a way to get Overnight VWAP (1700-0830) and RTH (0830 - 1500) CDT on the same chart? Whenever I include evening hours, it screws up the RTH VWAP level. Date Time Of Last Edit: 2021-05-19 14:04:40

[2021-05-19 15:07:34] #2 [Go To First Post]
John - SC Support - Posts: 31627
You would need to have a separate chart that just has the Overnight Session times and the VWAP for the Overnight on it. Then use the Study/Price Overlay to overlay that evening VWAP to your regular chart. As long as you keep the option for Fill Blanks with Last Value to Yes, then it will display the last VWAP data across your RTH data. Also, make sure you have the option for Bar Time Matching Method to Containing Match in order to ensure that you get the last evening data all the way through the day. Refer to the information for the Study/Price Overlay here: Study/Price Overlay Study For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2021-07-12 00:46:50] #3 [Go To First Post]
ivory - Posts: 84
There is another way that works exactly like you want it to, but it requires a different study. Volume by Price is used for Volume Profiles, but can be configured to only show VWAP line. You need to add two different Volume by Price studies. Here are some parameters you need to set: 1) Draw Mode: POC, VAH, VAL, VWAP Lines Only 2) Volume Graph Period Type: Multiple Profiles from Start Time to End Time 3) Start Time/End Time - set it up to RTH hours for the first VbP study and to Overnight hours for the second VbP study 4) On the Subgraphs tab change Draw Style from Line to "Line - Skip Zeroes". Without this, there will be a straight line from the end of the OVN session all over to the next OVN session, covering RTH bars and lines 5) Finally, on the Subgraphs tab, change Draw Style to "Ignore" for all lines you do not want to see, such as Value Area High/Low Value Attached is a screenshot of this approach showing VWAP and POC lines only. One downside, as far as I can tell, is that you won't be able to add stddev bands this way. Date Time Of Last Edit: 2021-07-12 00:49:42


sierra_vwap.png / V - Attached On 2021-07-12 00:46:41 UTC - Size: 189.91 KB - 293 views

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