TWAP........Time Weighted Average Price

Desktop SDK - Indicators
1

Is TWAP, Time Weighted Average Price avilable for Ninjatrader8?

image
image824Ă—391 42.3 KB

2

Isn’t that just an SMA? It’s the sum of prices at time t for each N, divided by N.

SMA
SMA396Ă—224 5.25 KB

3

I did a little digging and apparently, for time based charts, SMA and TWAP are effectively the same. The formula posted above for TWAP is the simplified version you get when there is a fixed interval (ie time based charts). Which is why that formula matches the SMA math. Where TWAP gets interesting is on non-time based charts (eg tick, range, etc). The full TWAP formula is:

TWAP
TWAP630Ă—305 14.9 KB

And unfortunately, NT does not have a TWAP implementation. You’ll have to try the marketplace, a 3rd party vendor, or just have an AI make you one.

4

I offer an anchored TWAP if interested. Go to the link in my bio > Products > Indicators. The same indicator has a ton more functionality and one of the most complete and feature rich VWAPs you can find on the market. There’s a 15 day free trial.

2 Likes
5

I did get from AI. How do I post a .cs file here?

6

Saw VWAP on your Web site. Could not find a TWAP.

7

VWAP and TWAP are all in the same VWAP indicator.