BM AnchoredVWAP

CATEGORY: Indicator · For NinjaTrader 8 · Anchored VWAP with deviation bands

HOW IT WORKS: A VWAP that does not reset with each session; it accumulates data starting from a trader-selected point and answers the question: "At what average price did everyone who entered since that event actually get in?" The level serves as a cost reference for those who took a position during that specific timeframe. It includes up to three standard deviation bands, calculated using volume weighting (unlike a simple deviation of closing prices, which would yield bands inconsistent with this specific calculation). The reference price is configurable (defaulting to typical HLC/3, but also supporting close, midpoint HL/2, or weighted HLCC/4). It shares the same four anchoring modes as BMAnchoredVolumeProfile: manual (Ctrl+click), date and time, N bars back, or recent extreme.

TARGET AUDIENCE: Traders who use VWAP as a reference level but need to anchor it to a specific market point rather than just the session—for instance, to measure the average cost since a breakout or a significant high—without purchasing the NinjaTrader Order Flow+ license.

TECHNICAL REQUIREMENTS: NinjaTrader 8. Any instrument.

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