Context · 02/10Live · v2.1.0
VWAP. Institutional reference price.
Session and anchored VWAP with standard-deviation bands. The institutional reference price — where large participants transact. Includes multi-anchor support (session, weekly, event-anchored) and auto-clearing on session roll.
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§ Who it’s for
Built for traders who need a decision, not noise.
- Futures day traders using VWAP as a mean-reversion target
- Equity traders sizing into institutional fills near VWAP
- Systematic traders using VWAP + deviation bands as entry/exit levels
§ Features
What’s in the box.
- Session VWAP with automatic session-boundary reset
- Anchored VWAP from any bar (earnings, FOMC, session high)
- Standard-deviation bands (1σ, 2σ, 3σ) computed correctly from volume-weighted variance
- Multi-anchor overlay — up to 3 active anchored VWAPs simultaneously
- Replay-safe recalculation — no look-ahead bias on historical replay
- Strategy-consumable properties (VwapValue, DeviationAbove, DeviationBelow)
§ Parameters
Every setting, documented.
ParameterTypeDefaultRangeDescription
- SourceenumHLC3Close · HL2 · HLC3 · OHLC4Price input for the volume-weighted calculation.
- Show Deviationsbooltrue—Render 1σ, 2σ, 3σ bands above and below VWAP.
- Deviation Mult 1double1.00.5–3.0Inner deviation band multiplier.
- Deviation Mult 2double2.00.5–4.0Outer deviation band multiplier.
- Anchor ModeenumSessionSession · Weekly · CustomWhen to anchor (reset) the VWAP calculation.
- Show Labelbooltrue—Display current VWAP value at right edge.
§ Changelog
Every change, public.
- v2.1.02026-03-28
- Added weekly anchor mode.
- Label positioning now respects ChartScale margins.
- v2.0.02026-02-10
- Rewrote deviation-band math to use volume-weighted variance (was: naive stddev).
- Multi-anchor support — up to 3 VWAPs on one chart.