Levels and sessions
Session VWAP
Volume weighted average price anchored to your session, with deviation bands and the previous period's closing VWAP carried forward.
VWAP is the average price paid across the session, weighted by the volume that traded at each price. Institutions measure their own execution against it, which goes some way to explaining why price respects it as often as it does.
This version anchors to a session you define rather than to the exchange default, and it can also anchor weekly or monthly. Up to three deviation bands sit either side, set by standard deviation or by a fixed percentage, which gives a read on whether price is stretched or sitting in the middle of the day's business.
The closing VWAP of the previous period is carried forward as a flat line across the current one. Yesterday's fair value is frequently today's first reference, and having it on the chart saves reconstructing it by eye.
How to read it
- Holding above VWAP is a different context from failing below it, and the bands say how far the move has gone.
- In a strong trend price can ride a band all session, so treat the bands as a stretch measure rather than a signal.
- The carried forward line often matters most in the first hour, before the new session establishes its own average.
Questions
Why anchor it to my own session?
Futures and currencies trade nearly around the clock, so the exchange boundary is rarely the day you actually trade. Anchoring it yourself makes the average describe your session.
Does it repaint?
No. VWAP accumulates within the anchor period and never rewrites a closed bar.
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