Volume Weighted Average Price (VWAP) Professional

1. Summary (Introduction)

The Volume Weighted Average Price (VWAP) is a benchmark indicator used by traders, particularly in intraday analysis, to determine the average price a security has traded at throughout a period, based on both price and volume. It provides a much more accurate picture of the "true" average price by giving more weight to price levels with higher trading volume.

A key feature of the VWAP is that it is periodically reset, typically at the start of a new day, week, or month.

Our VWAP_Pro implementation is a unified, professional version that allows the calculation to be based on either standard or Heikin Ashi price data, and offers selectable reset periods.

2. Mathematical Foundations and Calculation Logic

The VWAP is the cumulative ratio of the volume-weighted price to the cumulative volume over a given period.

Required Components

Price Data: The High, Low, and Close of each bar. The Typical Price (H+L+C)/3 is standard.
Volume Data: The volume for each bar.

Calculation Steps (Algorithm)

Start of a New Period (e.g., new day): Reset the cumulative values to zero.
- Cumulative (TP x Volume) = 0
- Cumulative Volume = 0
For Each Bar within the Period:
- Calculate the Typical Price: \text{TP}_i = \frac{\text{High}_i + \text{Low}_i + \text{Close}_i}{3}
- Update the cumulative sums:
  - Cumulative (TP x Volume) += TP_i \times \text{Volume}_i
  - Cumulative Volume += \text{Volume}_i
Calculate the VWAP:
- \text{VWAP}_i = \frac{\text{Cumulative (TP * Volume)}}{\text{Cumulative Volume}}

3. MQL5 Implementation Details

Our MQL5 implementation follows a modern, object-oriented design to ensure stability, reusability, and a clean visual representation.

Modular Calculation Engine (VWAP_Calculator.mqh): The entire calculation logic is encapsulated within a reusable include file.
- CVWAPCalculator: The base class that performs the full VWAP calculation.
- CVWAPCalculator_HA: A child class that inherits all logic and only overrides the data preparation step to use the Typical Price derived from smoothed Heikin Ashi candles.
Robust Period Reset Logic: The calculator uses MqlDateTime structures to accurately detect the start of a new session, week, or month, ensuring the VWAP resets correctly under all conditions.
Clean Gapped-Line Drawing: To provide a clear visual separation between periods, the indicator uses a "double buffer" technique. It plots odd-numbered periods (1st day, 3rd day, etc.) and even-numbered periods (2nd day, 4th day, etc.) on two separate, overlapping plot buffers. This creates a distinct visual gap at each reset point without losing any data from the current, ongoing period.
Stability via Full Recalculation: We employ a "brute-force" full recalculation within OnCalculate for maximum stability.

4. Parameters

Reset Period (InpResetPeriod): The period at which the VWAP calculation resets. Options are Session (daily), Week, and Month.
Volume Type (InpVolumeType): Allows the user to select between Tick Volume and Real Volume.
Candle Source (InpCandleSource): Allows the user to select the candle type for the Typical Price calculation (Standard or Heikin Ashi).

5. Usage and Interpretation

Benchmark for "Fair Value": The VWAP is often considered the "true" average price for the period.
- Price > VWAP: The market is considered to be in a bullish state for that period.
- Price < VWAP: The market is considered to be in a bearish state for that period.
Dynamic Support and Resistance: The VWAP line itself acts as a powerful, dynamic level of support or resistance during the trading session.
Mean Reversion: A significant deviation of the price from the VWAP often leads to a reversion back towards it.
Execution Benchmark: Institutional traders often use the VWAP to gauge the quality of their trade executions. Buying below the VWAP or selling above it is considered a good execution.

4.1 KiB Raw Blame History