VWAP Session and NY Cash

The VWAP Session and NY Cash indicator automatically calculates and plots Volume Weighted Average Price (VWAP) anchored to specific trading sessions, providing traders with intraday benchmarks for price action. By anchoring to the 18:00 EST session start and the 09:30 EST New York cash open, the tool highlights the distinct volume profiles of the extended hours and regular trading sessions.

Usage

The indicator is designed for intraday analysis and can be used to identify trend direction and potential support or resistance levels based on volume-weighted benchmarks.

• Session VWAP: This line anchors at 18:00 EST, representing the cumulative volume-weighted average price starting from the electronic session open. It is often used to gauge the sentiment of the overnight and pre-market activity.
• NY Cash VWAP: This line anchors at 09:30 EST, focusing strictly on the volume and price action during the New York regular trading hours.
• Standard Deviation Bands: Traders can enable up to three sets of standard deviation bands around the Session VWAP to identify overextended price conditions or volatility extremes.
• Multi-Timeframe Accuracy: On timeframes higher than 5 minutes, the script can utilize 5-minute data for internal calculations to prevent "VWAP drift" and ensure high-precision values.

Details

The script uses a custom MyVwap object structure to track cumulative price-volume and total volume. For intraday charts, it detects session transitions using the America/New_York timezone. When the "Use 5-min data for precision" setting is enabled, the script utilizes request.security_lower_tf to fetch granular data, ensuring that the anchor points and average values remain accurate even when viewed on 15-minute or 1-hour charts.

Settings

Calculation

• Use 5-min data for precision: When enabled, the script calculates VWAP using 5-minute bars on higher intraday timeframes to ensure accuracy.
• Debug Logging: Enables technical logs in the Pine Logs console for troubleshooting reset times and data arrays.

NY VWAP

• Color / Width / Style: Customizes the visual appearance of the New York Cash Open VWAP line.
• Show Label: Toggles the text label on the chart.
• Label Offset: Adjusts the horizontal position of the session label.
• Show in Price Scale: Toggles the visibility of the VWAP value in the price axis.

Session VWAP

• Enabled: Toggles the calculation and display of the 18:00 EST anchored VWAP.
• Color / Width / Style: Visual settings for the Session VWAP line.
• Show Label: Toggles the text label for the session.

Session VWAP Bands

• Band Std Dev #1-3: Toggles three different standard deviation multipliers.
• Line / Fill Color: Customizes the colors for the band boundaries and the background fill between the VWAP and the bands.

FAQ

How do I use this indicator to find trade entries? Traders often look for price to hold above the VWAP as a sign of bullish momentum or use the standard deviation bands as targets for mean reversion trades.

Does this work on Daily or Weekly timeframes? Yes, if applied to Daily timeframes, the script automatically switches to a Weekly anchor. On Weekly timeframes, it uses a Monthly anchor.

How can I access VWAP Session and NY Cash? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.