Volume Weighted Average Price VWAP

Indicator: VWAP Volume Weighted Average Price

Platform: MetaTrader 5
Type: Custom Indicator
Display: Chart Window (Overlay)

Functions:

• Calculates the Volume Weighted Average Price (VWAP) per trading day.

• Continuous VWAP calculation using the average of Open and Close prices and tick volume.

• Automatic reset of the VWAP calculation at the start of each new day.

• Limits data usage via the BufferSize parameter (number of candles stored in a circular buffer).

• Calculates the trend (slope) of the VWAP over a backward-looking interval up to BufferSize .

• Outputs two values via indicator buffers:

  • VWAP (displayed as a dotted dark green line)

  • VWAP Trend (numerical slope value per candle, not visualized by default)

Input Parameters:

• BufferSize (default: 100)
  Defines how many candles are stored and used for VWAP trend calculation.

Output Values:

1. VWAP

   • Formula: Sum of (price × volume) divided by sum of volume

   • Price = (Open + Close) / 2

   • Calculated independently for each trading day

   • Displayed as a line on the chart

2. VWAP Trend

   • Formula: (Current VWAP – Past VWAP) / Number of candles between

   • Indicates the slope (positive = rising, negative = falling)

   • Not shown in the chart by default, but accessible via buffer