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Note – there is an updated version for SQX Build 140 and above.
In finance, volume-weighted average price (VWAP) is the ratio of the value of a security or financial asset traded to the total volume of transactions during a trading session. It is a measure of the average trading price for the period.
Typically, the indicator is computed for a period of one day, but it can be measured between any two points in time.
This implementation uses open, high , low and close prices.
Import snippets to SQX: https://strategyquant.com/doc/programming-sq/import-export-custom-indicators-and-other-snippets/
Implemented for: MT4, MT5, TS, MC.
Hi, great but is missing the attachment. Cheers
Hello,
we apologize, the attachment has been added.
Please let me know how to use the Snipped VWAP , as as standard indicator and signal in SQX. I have already imported the snipped in the code editor but it dos not show up in SQX.
Thank you
Once you import the snippet you also need to recompile the files and restart SQX. Then you can find the VWAP under both – signals and indicators blocks
Hi, the archive SqVWMA.mq5 is missing, could you send it? Thanks!
Hello, the MQ5 file is included in the attached archive. Let us know if any issues
Hello, to run the strategy in MT5 is required the file SqVWAP.mq5 OR SqVWMA.mq5, it depends on the building blocks of the strategy. The attachment has only the SqVWAP.mq5 file, só is missing the other. Thanks!
Hi Reanto i found the bug. It is now fixed. Pls download and reimport SQExtension_VWAP_9112021 in RAR file again.
I also need SqVWMA.mq5 because there is an error when attaching it to MT5.
2025.03.20 10:11:01.689 Core 01 program file IndicatorsSqVWMA.ex5 read error
It looks like you provided the wrong indicator link because the missing file is SqVWMA.ex5, not SqVWAP.ex5.
Please provide the correct download link for the indicator.
Super !!!!!!!!! very good idea !!! thank you 🙂
This is truly Excellent !!!!!!!!!!!!!!!!!!!!!!!!!!!
Hi all, has anyone got this working on Tradestation? I am using ES on an hourly chart and if I display the SQ_VWAP indicator as study OR via a strategy the following error is showing up:
“Attempted to divide by zero (0). You should always check before dividing to be sure divisor is not zero. Incorrect example: Value = (C – O) / (H – L) Correct Example: Value1 = IFF(H – L <> 0, (C – O) / (H – L), 1 )”
I would appreciate a fix if possible. Thanks
Pls send me this bug at hudec@Kevin.com
This is just a simple moving average, not a VWAP, such as the useful one in Trading View.
Thats not true. If you look in the code, it does caluclate using volume, which is the formula for VWAP. It follows the formula found here: https://school.stockcharts.com/doku.php?id=technical_indicators:vwap_intraday
Ok, first don’t hate me for posting this, I am truly trying to understand vwap, as I thought it was quite simple and is a little more complicated than I once thought… This is copied from the link above: “Like moving averages, VWAP lags price because it is an average based on past data. The more data there is, the greater the lag. A stock has been trading for some 331 minutes by 3:00 PM. As a cumulative “average”, this indicator is akin to a 330 period moving average.” So, as I understand (hopefully and unlikely some days) the vwap… Read more »
I get no trades when I attached this indicator in SQ AlgoWizard. I tired both “Close Above VWAP” and When I choose VWAP and manually make it < Close.
Please send me your AW project file saved to support@Kevin.com, I will check it
Ok, first don’t hate me for posting this, I am truly trying to understand vwap, as I thought it was quite simple and is a little more complicated than I once thought… This is copied from the link above: “Like moving averages, VWAP lags price because it is an average based on past data. The more data there is, the greater the lag. A stock has been trading for some 331 minutes by 3:00 PM. As a cumulative “average”, this indicator is akin to a 330 period moving average.” So, as I understand (hopefully and unlikely some days) the vwap… Read more »
Hello,
Any Chance we can get the ANCHORED_VWAP version for SQX ?
Hi It will be added in
02/2025
Any update on adding Anchored VWAP / Daily-Reset VWAP to SQX?
Please-please add that useful function to your platform when you have a chance. Would really appreciate that!
I have already tried, but I still get the following error:
2025.03.20 10:11:01.689 Core 01 program file Indicators\SqVWMA.ex5 read error
It looks like you provided the wrong indicator link because the missing file is SqVWMA.ex5, not SqVWAP.ex5.
Please provide the correct download link for the indicator.
Thank you Tomas, It’s solved.
These are the suggestions given by the SQX development team.
“as the dev team suggest the problem is missing the SqVWMA as the indi file. You can simple copy + rename SqVWAP into SqVWMA.mq5 and compile. It should resolve the issue”