BadBuddha's VWAP

VWAP Lite calculates and displays the Volume Weighted Average Price with automatic session resets, providing a clean reference line showing where the bulk of trading activity has occurred. The VWAP calculation weights each price by its associated volume, giving more influence to prices where significant trading occurred. This produces a dynamic average that reflects the true average price paid by all participants rather than just the arithmetic mean of prices.

The Lite version provides the core VWAP calculation with automatic session-based resets - the indicator detects session boundaries and restarts the calculation at the beginning of each trading session. This ensures the VWAP line always reflects the current session's activity without carrying over data from previous days. The indicator requires a minimum number of bars after each reset before plotting to ensure the calculation has enough data for validity.

Visual customization includes color selection for the VWAP line and adjustable line width (1-10 pixels). The default purple line provides clear visibility against most chart backgrounds. The indicator uses NinjaTrader's standard plot rendering for reliable display across all chart types and timeframes.

VWAP Lite is ideal for traders who want a simple, reliable VWAP reference without the complexity of standard deviation bands or multiple reset period options. For advanced features including deviation bands, shaded fills, and flexible reset periods (Daily, Weekly, Monthly), consider upgrading to VWAP PRO.

VWAP PRO calculates and displays the Volume Weighted Average Price along with configurable standard deviation bands, providing a comprehensive view of institutional fair value and statistical price extremes. The VWAP calculation weights each price by its associated volume, giving more influence to prices where significant trading occurred. This produces a dynamic average that reflects where the bulk of trading activity took place rather than just the arithmetic mean of prices.

The PRO version includes four sets of standard deviation bands at 0.5, 1.0, 1.5, and 2.0 standard deviations above and below the VWAP line. Each band set can be independently enabled or disabled, allowing you to display only the levels you find useful. The bands represent statistical measures of how far price has moved from the volume-weighted mean, with price trading beyond 2 standard deviations being relatively uncommon under normal market conditions.

Multiple reset period options control when the VWAP calculation starts fresh: Session (resets at session boundaries), Daily (resets at midnight or day boundaries), Weekly (resets at week boundaries), or Monthly (resets at month boundaries). This flexibility allows you to view intraday VWAP for day trading or longer-period VWAP for swing trading perspectives. After each reset, the indicator requires a minimum number of bars before plotting to ensure statistical validity.

Visual customization includes separate color controls for the VWAP line and the standard deviation bands, adjustable line widths, and optional shaded fills between the upper and lower bands with configurable opacity. The band fills use SharpDX path geometry rendering with proper resource caching to maintain smooth performance. The indicator uses NinjaTrader's vendor licensing system to validate PRO access.