Session VWAPS

The Session VWAPS indicator automatically calculates and plots Volume Weighted Average Price (VWAP) anchored to three specific benchmarks within a user-defined trading session: the session start, the session high, and the session low. This tool is designed to help traders identify dynamic support and resistance levels based on institutional volume distribution relative to intraday extremes.

Usage

The tool can be used to monitor how price interacts with volume-weighted levels established at key turning points.

• Session Start VWAP: Useful for identifying the overall trend bias of the current session from its inception.
• Session High VWAP: Provides a resistance level anchored to the session's peak; if price remains below this level, it suggests sellers are defending the high.
• Session Low VWAP: Provides a support level anchored to the session's trough; if price remains above this level, it suggests buyers are defending the low.
• Previous Sessions: By enabling the previous session option, traders can see if historical volume-weighted levels act as support or resistance in the current session.

Details

Unlike a standard daily VWAP that resets only at the start of a new day, this script utilizes the "Anchored VWAP" concept. It dynamically re-anchors a new VWAP calculation whenever a new high or new low is printed during the active session window. This allows the indicator to track the average price paid since the most recent extreme was formed, providing a more granular view of market participants' positioning.

Settings

Sessions Settings

• Time Zone: Sets the GMT offset to ensure the session times align with your local chart time.
• Session: Defines the start and end times for the session calculation (e.g., '0600-0900').
• Highlight Session: Toggles a background color to visually distinguish the active session period on the chart.

VWAP Settings

• VWAP Source: Determines the price source used for the VWAP calculation (default is ohlc4).
• Session High VWAP: Toggles the visibility, color, and thickness of the VWAP anchored to the session high.
• Session Low VWAP: Toggles the visibility, color, and thickness of the VWAP anchored to the session low.
• Session Start VWAP: Toggles the visibility, color, and thickness of the VWAP anchored to the session start.
• Show Previous Session VWAPs: When enabled, the indicator will maintain the VWAP lines from the immediately preceding session for comparison.

FAQ

How do I access Session VWAPS?

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

Can I change the session times for different markets?

Yes, you can adjust the "Session" input in the settings to match any specific market hours or custom periods like the London Open or New York Power Hour.

Does the High/Low VWAP move during the session?

Yes, the anchors for the High and Low VWAPs will update in real-time if the session makes a new higher high or lower low, resetting the volume-weighted calculation from that new point.