Indicators: VWAP series (rolling, session bands, anchored)
The VWAP & bands group of the Indicators panel: Rolling VWAP, Session VWAP with σ bands, Anchored VWAP (session open), the configurable Anchored VWAP with ten anchors and three bands, and the VWAPs anchored to a swing high or low. All use the typical price (H+L+C)/3 weighted by bar volume unless a different source is selected.
Senzoukria · Documentation · Updated September 2026
Where to find it
- Where
- Chart toolbar → Indicators → group VWAP & bands
- Price sample
- Typical price (H+L+C)/3 by default; Anchored VWAP also offers Close, HL2, OHLC4
- Session anchor
- Source session open: CME 17:00 CT, crypto 00:00 UTC — never midnight for futures
What it does
A VWAP is Σ(price × volume) / Σ(volume) accumulated from an anchor. The family differs only in the anchor and the bands. Rolling VWAP uses a sliding window of N bars. Session VWAP + σ bands resets at every session open and adds ±k₁σ and ±k₂σ bands, with σ computed by a volume-weighted Welford accumulator (the naive Σvp²/Σv − VWAP² identity is avoided because it cancels catastrophically on futures prices). Anchored VWAP (session open) is the pocket version: one anchor, the current session, one colour, no bands.
The configurable Anchored VWAP carries the anchors that reference platforms expose: session open, UTC day, last 3 or 7 days, week (Monday UTC), month, highest high or lowest low of N bars, N bars ago, and a relative range from N to M bars ago whose final value can be extended flat to the right (the fixed-range VWAP). Bands are either volume-weighted standard deviations or a percentage of the VWAP, three of them, each with its own multiplier and colour.
Bars without volume contribute nothing: they enter neither the mean nor σ, and before the first volume of a period the value is null. The renderer cuts the polyline when the anchor period changes so no vertical cliff is drawn between two periods.
Settings
| Setting | Default | What it changes |
|---|---|---|
| Rolling VWAP — Period | 20 (1–500) | Sliding window; null until N bars with volume |
| Session VWAP + σ bands — σ multiplier 1 / 2 | 1 / 2 (0.1–10) | Width of the two band pairs around the session VWAP |
| Anchored VWAP (session open) — Color | orange | Single line from the first bar of the last loaded session |
| Anchored VWAP — Anchor | Session open | Session, Day (UTC), Last 3 days, Last 7 days, Week, Month, Highest high, Lowest low, N bars ago, Relative range |
| Anchored VWAP — N bars / M bars ago | 100 / 0 (1–5000 / 0–5000) | Lookback for highest/lowest/bars anchors and range start; M is the range end (0 = last bar) |
| Anchored VWAP — Extend the range value to the right | on | Holds the final range VWAP flat after M |
| Anchored VWAP — Price | Typical (H+L+C)/3 | Close, HL2 or OHLC4 as alternatives |
| Anchored VWAP — Bands | Standard deviation (volume-weighted) | Or Percent of VWAP |
| Anchored VWAP — Band 1 / 2 / 3 | on / on / off, k = 1 / 2 / 3 (0.05–20) | Each band has its own toggle, multiplier and colour |
| Anchored VWAP — Fill bands / Fill opacity / Line width | on / 0.06 / 2 | Band fill between the outer lines; line width 1–5 px |
| Anchored VWAP (swing high / low) — Lookback | 200 (2–5000) | Anchor at the extreme of the last N bars; last occurrence on ties |
How to use it
Open the Indicators panel and search for VWAP. The built-in chart template Volume profile + VWAP bands turns on Session VWAP + σ bands with the session volume profile; the Crypto swing (4h) template uses Anchored VWAP with the Week anchor and the third band enabled. The chart's own VWAP overlay, listed under Overlays in the same panel with its anchors from 15 minutes to 7 days and its own mean-reversion bands, is a separate indicator and does not share these parameters.
For a fixed-range VWAP, choose the Relative range anchor, set N to the start and M to the end in bars ago, and keep Extend on: the level then stays flat to the right edge instead of drifting.
Limits and pitfalls
- Highest, lowest, bars and range anchors need the full N bars loaded; with fewer bars the indicator draws nothing rather than using a shorter window.
- Session anchors follow the source convention, so a crypto chart resets at 00:00 UTC and a CME chart at 17:00 Chicago.
- σ bands on a percent basis are not comparable to σ bands: switching Bands changes the meaning of the multipliers.
- Volume comes from the source; a feed that reports no volume produces no VWAP.
Related pages
- Anchored VWAP
- Session VWAP + σ bands
- Rolling VWAP
- VWAP explained
- Channels, Ichimoku, Fibonacci and pivots
This page in other languages
Frequently asked questions
- What is the difference between Anchored VWAP (session open) and Session VWAP + σ bands?
- The session-open version has one anchor (the current session), no bands and is null over earlier history. The session bands version resets at every session open across the whole history and draws two σ band pairs.
- Do the anchored VWAPs reset at the session?
- Only the session anchor does. Highest, lowest, bars, range, day, week and month anchors cross sessions by design.
- Which price is used for σ?
- The same sample as the mean: typical price by default, or the source selected in Anchored VWAP. σ is volume-weighted and recentred on the VWAP line.