Custom Timeframe VWAP

The Custom Timeframe VWAP indicator calculates and plots a Volume Weighted Average Price (VWAP) starting from a user-defined time of day, allowing for alignment with specific exchange sessions or custom intraday resets. This tool is essential for traders who operate on markets that do not follow standard GMT open times, providing a more accurate reflection of volume-weighted value relative to specific market events.

Usage

The indicator can be used to track institutional value areas based on custom session starts. Users can plot both a standard Daily VWAP (resetting at the daily open) and a Custom VWAP simultaneously to identify areas of confluence or divergence. The script includes dynamic coloring: the VWAP line turns green when the price is above it and red when the price is below it, serving as a visual trend filter.

Details

Standard VWAP calculations typically reset at 00:00 GMT. However, many crypto exchanges (like Deribit) or specific futures sessions utilize different anchor times. This script allows you to specify the exact hour and minute for the VWAP calculation to restart. The calculation uses the HLC3 (High, Low, Close average) and volume to derive the standard VWAP, and HL2 for the custom timeframe version. To maintain chart cleanliness, the indicator includes a visibility filter that hides the plots on timeframes higher than a user-defined threshold.

Settings

• Show Custom VWAP?: Toggles the visibility of the VWAP anchored to the custom time.
• Show Standard VWAP?: Toggles the visibility of the standard daily reset VWAP.
• Custom timeframe Hours: Defines the hour (0-23) at which the custom VWAP calculation resets.
• Custom timeframe Minutes: Defines the minute (0-59) at which the custom VWAP calculation resets.
• Highest visible timeframe (minutes)?: Sets the maximum chart timeframe where the indicator will remain visible; plots are hidden above this value to prevent distortion on higher timeframes.

FAQ

How do I use the Custom Timeframe VWAP?

Simply input the hour and minute that corresponds to your target exchange's open time in the settings. The indicator will then anchor its volume-weighted calculation to that specific moment every day.

Why is the VWAP not appearing on my daily chart?

Check the "Highest visible timeframe" setting. If your current chart timeframe is higher than the value set in this field (default is 240 minutes), the indicator will automatically hide itself to ensure data relevancy.

Where can I access this indicator?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.