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Rolling VWAP — VWAP & bands, on the price chart.
What Rolling VWAP measures
The value is the sum of typical price times volume over the window, divided by the total volume of that same window. It answers one question: across the last N bars, what was the average price paid, weighted by how much traded at each level. Until N bars are loaded, the indicator returns nothing rather than a partial average, because a shorter window would misstate the period the line claims to cover. A window whose bars carry no volume also returns nothing — a division by zero volume is not a price.
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 glissant sur N barres : Σ(tpᵢ·volᵢ) / Σvolᵢ, fenêtre [i−N+1, i]. Warm-up (< N barres) ou fenêtre à volume nul → null (un VWAP partiel mentirait sur sa période). Défaut N=20 — même valeur pilier que les moyennes mobiles du catalogue.
How to read it
- Price above the line means recent trade has occurred, on average, below the current quote over the last N bars; price below it means the opposite. The line is a reference level, not a direction.
- A flat rolling VWAP with price oscillating around it describes a window where buying and selling have paid similar average prices. A line that climbs bar after bar describes a window whose average transaction price is shifting upward.
- Because the window slides, the line can move even on a bar where price barely changes: a large bar leaving the back of the window carries its weight out with it.
- The gap between price and the line is expressed in the instrument's ticks, so it is only comparable against the same instrument's own history — not against another contract, and not against the same chart on a different bar interval.
- Gaps in the line mark bars where the window carried no volume, or the warm-up period. Treat them as missing data, not as a value of zero.
Parameters and defaults
Period sets the window length and defaults to 20 bars, the same anchor value used by the catalog's moving averages, and accepts 1 to 500. A short period sits close to price and offers little reference; a long period describes a broader average but reacts slowly when the traded range shifts. Color only affects rendering.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Period | number | 20 | 1 – 500 |
What it does not show
Rolling VWAP carries no notion of where the trading day started: it has no session anchor, so it cannot tell you whether the market is above or below the average price of the current session. It uses total volume per bar and says nothing about which side was the aggressor — that separation is what the footprint bid-by-ask view is for. On thin instruments or quiet overnight hours, a handful of bars can dominate the weighting and move the line sharply. The line also requires per-bar volume from your market data feed, which is billed by the data provider separately from the application.
Related indicators
- Session VWAP + σ bands — VWAP & bands
- Anchored VWAP (session open) — 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
- What is the difference between rolling VWAP and session VWAP?
- Session VWAP accumulates from the session open and resets at the next one, so its value depends on how far into the session you are. Rolling VWAP always covers the same number of bars, whatever the time of day, and never resets. The two lines answer different questions: one describes the current session, the other describes a fixed recent window.
- Why does the rolling VWAP line not appear at the start of my chart?
- The calculation returns no value until the full window of N bars is loaded. With the default period of 20, the first 19 bars produce nothing. This is deliberate: a partial window would be labelled as a 20-bar average while covering fewer bars.
- Which price does rolling VWAP use for each bar?
- Each bar contributes its typical price, the average of the high, the low and the close, weighted by the bar's total volume. The result is therefore a volume-weighted mean of bar typical prices over the window, not a weighted mean of closes.