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VWAP Distance (ticks) — Structure & sessions, in its own panel below the chart.
What VWAP Distance (ticks) measures
The value is (close − session VWAP) divided by the instrument's tick size. The VWAP is accumulated from the 17:00 CT session open using typical price, (high + low + close) / 3, weighted by volume, and resets at each open — the same definition as the VWAP line drawn on the price chart, so the pane and the overlay stay consistent. The sign is preserved, positive meaning the close is above VWAP, and the series crosses zero exactly when price crosses VWAP. Ticks rather than points is the deliberate choice: eight ticks means a comparable distance on ES and on CL, whereas two points does not. When the chart has no tick size the series returns nothing rather than a number that would look plausible and be wrong, and the same applies before the session's first volume, when no VWAP exists yet.
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:
Distance du close au VWAP de séance, en TICKS : value = (close − VWAP_séance) / tick VWAP = Σ(tp·vol)/Σvol depuis l'ouverture CME 17:00 CT, prix typique (H+L+C)/3 — la MÊME définition que le VWAP dessiné par `session-vwap-bands` (vwap.ts), reset à chaque ouverture (`sessionVwap`). POURQUOI en TICKS et pas en points : c'est l'unité dans laquelle un trader pense son risque, et la seule qui rende la série comparable entre instruments (2 points sur ES et sur CL ne veulent pas dire la même chose ; 8 ticks, si). Signe conservé : positif = close au-dessus du VWAP. La série croise zéro exactement quand le prix traverse le VWAP — c'est l'oscillateur naturel de la séance, sans lissage ni paramètre. `ctx.tickSize` null → null sur toute la série : convertir en ticks sans grille produirait un nombre faux et crédible, le pire des deux. Avant le premier volume de la séance (pas de VWAP) → null.
How to read it
- Read the value against the stop distance you normally use on that instrument: it is expressed in the same unit.
- Zero crossings are VWAP crossings; how often they occur separates a session rotating around its average price from one trading away from it.
- Readings that stall while price makes new highs mean price is stretching less and less above the session average, because VWAP is rising with it.
- An extreme reading describes a session that is stretched relative to its own average price; it does not indicate that a return is due.
- Read it beside Session Range Position: price can be far above VWAP while sitting mid-range if the session opened near its low.
Parameters and defaults
Smoothing defaults to 1, which plots the raw distance. Higher values (up to 200) average the series over that many bars, which softens the zero crossings and makes the reported distance lag the actual one — a real cost on a series whose main reading is where it crosses zero. The colour (#ab47bc) is cosmetic.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Smoothing | number | 1 | 1 – 200 |
What it does not show
The VWAP is built only from the session bars present in the chart: if the history starts after the session open, the accumulation begins late and every value in the series is shifted. The indicator reports where the close sits, never which side is aggressing to put it there. VWAP also becomes progressively less responsive as session volume accumulates, so the same price move produces a smaller change in distance late in the session than shortly after the open. Finally, ticks make instruments comparable in unit but not in typical daily amplitude: the same reading is not equally unusual on every contract.
Related indicators
- Prior Week High/Low — Structure & sessions
- Engulfing — Structure & sessions
- Pin Bar — Structure & sessions
- Inside Bar — Structure & sessions
- Outside Bar — Structure & sessions
- Doji — Structure & sessions
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Frequently asked questions
- What does VWAP distance in ticks tell you?
- It tells you how far the last close is from the session's volume-weighted average price, counted in the instrument's smallest price increment. A positive value means the close is above VWAP and a negative one below, and the size of the number is directly comparable to a stop or target expressed in ticks.
- Why is my VWAP distance indicator showing nothing?
- Two conditions suppress the whole series. If the chart has no tick size available, no conversion is possible and the indicator returns nothing rather than a wrong number. And before the session's first traded volume there is no VWAP to measure against, so the early part of a session can be empty.
- When does session VWAP reset?
- At each session open, anchored to 17:00 CT on the CME calendar. The accumulation of price times volume starts again from zero at that moment, which is why the distance series often makes a visible discontinuity at the session boundary.