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Anchored VWAP (session open) — VWAP & bands, on the price chart.
What Anchored VWAP (session open) measures
Price times volume and volume are summed from the first bar of the last loaded session onward, and the line is their ratio. The anchor is the session open the application applies everywhere — for CME futures the 17:00 CT open, so the 'day open' here is the electronic session open and not 00:00. Everything earlier than the anchor is left empty on purpose: the line represents the average price paid since the current session began, and extending it backwards would attribute volume to a period the anchor does not cover.
The formula, as implemented
This is not how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
VWAP ancré à l'OUVERTURE DU JOUR courant : cumul Σ(tp·vol)/Σvol depuis la PREMIÈRE barre de la DERNIÈRE session chargée (l'« open du jour » d'un future CME = l'ouverture de session 17:00 CT — canon du repo, pas minuit). Différence avec session-vwap-bands : UNE seule ancre (la session en cours), pas de bandes, et null sur tout l'historique antérieur — c'est l'anchored VWAP que le trader pose sur « aujourd'hui ».
How to read it
- Treat the line as the average entry price of everyone who has traded since this session opened. Price above it means that average sits below the current quote.
- The first excursions away from the line often come from very little cumulative volume. The longer the session runs, the more volume it takes to move the line one tick.
- A line that stays close to price for hours describes a session trading around a single accepted area. A line left behind by price describes a session that has moved away from where most of its volume changed hands.
- Compare where price sits relative to this line at the same point of successive sessions rather than across the whole chart: the anchor changes every session, so the absolute level is not comparable from one day to the next.
- There is no line at all to the left of the session open. That empty stretch marks the anchor; it is not a hole in the data.
Parameters and defaults
Only two controls exist: Color, and Smoothing, which defaults to 1 — meaning the raw line is drawn. Raising Smoothing up to 200 applies a post-calculation average that delays the line and is best left alone when you use the value as a reference price.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Smoothing | number | 1 | 1 – 200 |
What it does not show
Because there is exactly one anchor, the line has no history: it says nothing about the previous session, and it has no value anywhere before the current session open. It is built from total bar volume, so it does not distinguish buyer-initiated from seller-initiated trade. A session loaded partway through starts its accumulation from the first bar actually loaded in that session, which is not the same thing as the true session open — check that your history covers the open before you rely on the level. The volume it needs comes from your data provider and is billed separately from the application.
Related indicators
- Rolling VWAP — VWAP & bands
- Session VWAP + σ bands — VWAP & bands
- Anchored VWAP — VWAP & bands
- Fibonacci Pivots — VWAP & bands
- Woodie Pivots — VWAP & bands
- DeMark Pivots — VWAP & bands
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Frequently asked questions
- Where does the session-anchored VWAP start on a futures chart?
- It starts at the first bar of the current session as the application slices it, which for CME futures is the 17:00 CT open. It does not start at midnight and it does not start at the left edge of the chart. Bars before that anchor carry no value.
- Is anchored VWAP from the session open the same as session VWAP?
- They share the same accumulation, but this version plots one line for the current session only and draws no bands, while the session VWAP indicator restarts on every session in the history and adds standard deviation bands. Use this one when you want a single uncluttered reference for today, and the banded version when you want dispersion or want to inspect past sessions.
- Does this anchored VWAP reset overnight?
- It is re-anchored at each new session open, so the value you saw at the end of one session does not carry into the next. There is no manual reset to perform. If you need a line that survives across sessions, anchor it to a swing extreme instead.