LEVEL 3 · Market Structure & Order Flow · LESSON 10
VWAP: Volume-Weighted Average Price
Understand Session VWAP and standard-deviation bands as chart references.
LEARNING OBJECTIVE
Explain Session VWAP and identify VWAP plus ±1σ and ±2σ.
BEFORE YOU START
Understand chart intervals, Sessions, and volume. Order Flow VWAP is an Order Flow+ tool; availability and interface details depend on the installed version and software access.
IN ONE SENTENCE
VWAP means Volume-Weighted Average Price. It is an average-price reference that gives each price contribution weight according to traded volume over the selected data and time window.
Basic concepts
Session VWAPExplainClose
VWAP accumulated for the chart's current session. The chart's trading-hours template affects where that calculation resets.
Standard deviation (σ)ExplainClose
A statistical way to describe dispersion. The +1σ, −1σ, +2σ, and −2σ bands are plotted relative to VWAP.
Software walkthrough
Menu placement may vary by platform version. Use the current official guide when a label differs.
- 01
Step 01
In the chart Indicators settings, find and add Order Flow VWAP. It is an Order Flow+ tool; first verify that it is available in your installed environment.
Check: Confirm Session start, time zone, and legend.
- 02
Step 02
Open its properties, set Reset Interval to Session, review Trading hours, and compare them with the chart Data Series Trading Hours template.
Check: Confirm Session start, time zone, and legend.
- 03
Step 03
Display the VWAP line first. Confirm where the Session starts accumulating, then enable the +1σ/−1σ and +2σ/−2σ bands if needed.
Check: Confirm Session start, time zone, and legend.
- 04
Step 04
Record the Resolution and deviation multipliers. The documented Resolution value Tick runs on a 1-tick series, uses more resources, and is unavailable with Week or Month reset intervals in the current guide.
Check: Confirm Session start, time zone, and legend.
- 05
Step 05
Describe price relative to the five reference lines in neutral terms. Do not treat them as directional signals.
Check: Confirm Session start, time zone, and legend.
Concept diagram
Study scenario
Describe price relative to VWAP on a static chart without forecasting.
Calculations and plotted values can differ with the indicator configuration and data source.
Common mistakes
Issue: Unexpected VWAP reset.
Check the input, version, session, data, or setting that controls this behavior.
Issue: Different data or method changes band width.
Check the input, version, session, data, or setting that controls this behavior.
Targeted troubleshooting
- 01
VWAP resets at an unexpected time: check the indicator Reset Interval and Trading Hours, then compare them with the chart Data Series session.
- 02
Deviation bands differ from an example: confirm Resolution, deviation multipliers, and input data. Resolution = Tick uses a 1-tick series and more resources; the current Help Guide does not offer it with Week or Month reset intervals.
- 03
Order Flow VWAP is not in the indicator list: verify whether the installed version and local software access include it; do not substitute an unverified third-party label.
Lesson summary
- 01
VWAP is volume weighted.
- 02
Session affects reset.
- 03
Deviation bands are not signals.
PRACTICE EXERCISE
Label five lines and note the Session start.
Use static, historical, or browser-local sample data only.
PRACTICE FEEDBACK
Which inputs most directly define a Session VWAP reset?
A self-check helps you review this lesson. It does not certify skill or affect your completion record.
FAQ
Does Session VWAP reset at one universal local clock time?
Its reset follows the indicator's Session Reset Interval and selected Trading Hours definition. Do not infer the boundary from the computer clock alone.
What does price above VWAP mean?
It describes price relative to the selected VWAP reference. It is not a buy or sell signal and does not determine future direction.
OFFICIAL REFERENCES
Checked against public documentation
This lesson paraphrases official material. Check the installed version for current interface details.
Education note
Software and market education only. No direction signals, live order instructions, or performance claims.
Trademark and independence
NinjaTrader® is a registered trademark of NinjaTrader Group, LLC. No NinjaTrader company has any affiliation with the owner, developer, or provider of the products or services described herein, or any interest, ownership or otherwise, in any such product or service, or endorses, recommends or approves any such product or service.