Free VWAP indicator for NinjaTrader 8
VWAP is the volume-weighted average price of the session: the average price every contract has traded at since the open. Institutions benchmark their fills against it, which is why price so often reacts around it.
NinjaTrader only ships a VWAP with the paid Order Flow+ license. This one is free, calculates with 1-second precision (the same value on any timeframe) and adds what traders ask for most: bands, the previous day's VWAP and an anchored VWAP.
- 100% free
- Open source (MIT)
- Built by El Trader Financiado for the community
Version 1.0 beta · NinjaTrader 8 · .zip to import · also in the pack of all 8
Install one language only: if you switch between English and Spanish, delete the ElTraderFinanciado folder first (Documents\NinjaTrader 8\bin\Custom\Indicators).
What the indicator draws
- RTH (regular session) and ETH (full session) VWAP, in Chicago time.
- Up to 4 standard deviation or percentage bands with a soft fill. They stay hidden for the first 10 minutes, when they mean nothing yet.
- Optional weekly and monthly VWAP, plus the previous day's VWAP.
- Anchored VWAP (enable it in the settings): Alt + click any bar to measure from there.
- Alerts on VWAP crosses and closes outside band 1 (off by default).
What VWAP is and how it is calculated
VWAP stands for Volume Weighted Average Price. Each bar's typical price is multiplied by its volume, summed from the session start and divided by cumulative volume. Prices with heavy volume weigh more than thin ones.
Read the full guide: what it is, rule-based strategies and common mistakesHow to trade VWAP
A summary of the most common uses. Entry, stop and target rules are in the guide.
Daily bias
Which side of VWAP price trades on tells you who is in control of the session.
Pullback to VWAP in a trend
On trend days VWAP acts as dynamic support or resistance.
Mean reversion from bands 2 and 3
On range days the outer bands are exhaustion zones.
VWAP anchored to an event
Anchoring VWAP to a low, a high or a news bar measures the average price of everyone who got in there.
What the evidence says
VWAP is an execution benchmark: institutions use it to grade their average price, not as an entry signal. Price often reacts near VWAP, but no VWAP strategy wins on its own without risk management.
Key settings
| Setting | Default | What it does |
|---|---|---|
| Band anchor | Auto | Which VWAP the bands follow: RTH, ETH, week or month. |
| Band type | StdDev | Standard deviation or fixed percentage. |
| Band 1-4 multiplier | 1 · 2 · 3 · 4 | Distance of each band. |
| Show weekly / monthly VWAP | Off | For swing trading or the week's average price. |
| Hide bands for the first (min) | 10 | Avoids meaningless bands at the open. |
| Show anchored VWAP | Off | Enable it and anchor with Alt + click. |
How to install ETFVWAP in NinjaTrader 8
- 1
Download the .zip and don't unzip it.
- 2
In NinjaTrader 8, from the Control Center: Tools → Import → NinjaScript Add-On… and pick the .zip.
- 3
Accept and wait for it to compile. If you had an earlier version, allow it to overwrite.
- 4
On the chart: right-click → Indicators… → ElTraderFinanciado folder.
Frequently asked questions
Does it work with the free NinjaTrader license?
Yes. It needs neither Order Flow+ nor Tick Replay: it calculates from a 1-second series that NinjaTrader loads by itself.
Why doesn't my VWAP match TradingView?
Usually it's the start time. This RTH VWAP starts at 8:30 Chicago and the ETH one at 17:00. Check that TradingView uses the same session.
How do I remove the anchored VWAP?
Untick "Show anchored VWAP" in settings group 3. To move it, Alt + click another bar.
Trying it in a futures prop firm?
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These indicators describe what price has done; they don't predict what it will do and they are not investment advice. Only trade futures with money you can afford to lose.
