VWAP Market Session Anchored

The VWAP Market Session Anchored indicator provides a volume-weighted average price calculation that automatically anchors to the start of four major global market sessions: Sydney, Tokyo, London, and New York.

Usage

This tool is used to identify price trends and value areas within specific market sessions. By anchoring the VWAP to the opening of major financial hubs, traders can observe how price develops relative to the volume-weighted average specifically for that session's liquidity.

The indicator includes the following features:

• Session Tracking: Automatically plots unique VWAP lines for Sydney, Tokyo, London, and New York sessions based on hardcoded UTC times.
• Standard Deviation Bands: Optional bands can be enabled to visualize price volatility and potential overextension relative to the session's VWAP.
• Custom Session: A user-defined anchor allows for the calculation of VWAP for specific time windows not covered by the major sessions.
• Alerts: Built-in alerts trigger when price crosses over or under any active session VWAP line.

Details

Unlike a standard daily VWAP which resets at the start of the trading day, this indicator resets its calculation at the start of each individual market session. This provides a more granular view of market participant behavior during specific periods of high liquidity.

The sessions are defined using Coordinated Universal Time (UTC):

• Sydney: 22:00 - 05:00 UTC
• Tokyo: 00:00 - 08:00 UTC
• London: 07:00 - 15:00 UTC
• New York: 13:00 - 21:00 UTC

Note: It is recommended to use this indicator on intraday timeframes (1-hour or lower), as market sessions typically span only a few hours.

Settings

Volume Weighted Average Price

• Source: Determines the price data used for the VWAP calculation (e.g., hlc3).
• Offset: Shifts the VWAP plots forward or backward on the chart.
• Band Multiplier: Enables Standard Deviation bands and sets the multiplier for their width.

Session

• Sydney / Tokyo / London / New York: Toggles the visibility and color for each major session's VWAP and bands.
• Custom: Enables a user-defined session anchor.
• UTC Start/End: Defines the start and end hours (0-23) for the custom session based on UTC time.

FAQ

How do I use the Custom Session setting?

To use a custom session, enable the "Custom" toggle and input the start and end hours in UTC. You must convert your local time zone to UTC to ensure the anchor aligns correctly with your desired timeframe.

Why does the indicator look different on higher timeframes?

The indicator is designed for intraday analysis. On timeframes higher than 1 hour, the session durations may be too short relative to the bar duration, leading to gaps or less meaningful data points.

How can I access VWAP Market Session Anchored?

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