eSignal 11 - VWAP Calculator
The Volume-Weighted Moving Average is the dollar volume (price X volume) divided the volume over a set period time on weighted basis.
It is used primarily on an intraday basis to determine the trend. It is also used by institutions as a benchmark to determine the liquidity of a market and also if they are getting "good" fills on their orders.
How to Display the VWAP Calculator
To display the VWAP Calculator, click on Tools on the main menu bar and select VWAP Calculator located at the bottom of the dropdown menu:
Calculating the VWAP Value
After launching the VWAP Calculator, enter the desired parameters:
Symbol: Enter a stock or futures symbol. The WVAP Calculator does not work for Indices, Forex, Spreads, Aliases (the symbols with ~ character, which are created in the Composite Symbol Manager), or Simulated Data symbols. Inputting an invalid symbol will result in a red border around the symbol field being displayed.
Time: Specifies the date and time range of data to be used for calculating the VWAP value. Cannot exceed 14 trading days.
Size range: Filters trades that do not the meet minimum and maximum trade size range. Can be set for zero for no trade size filtering.
After inputting the desired parameters, click the Calculate button and the result will appear in the VWAP Value = field.
Errors resulting invalid parameters will result in red border around the invalid entry. In this example I entered an invalid symbol (VWAP is not available for Forex), an invalid start time, and an invalid minimum size and maximum size.
Note: Only one VWAP Calculator can be launched at a time.