Okay, I never noticed this before. Or maybe I did, and dismissed it out of hand because it didn't look like a proper VWAP indicator when I tried putting it on a chart. Maybe it just magically appeared in an update. But yes Virginia, there really is a VWAP in TWS. In a chart window, pull down the Edit menu, then the Studies submenu. In the left column click to open the Volume Studies group. There are two indicators of interest. One is called Intraday Volume Weighted Average Price. The other is simply called Moving Volume Weighted Average Price. Not sure exactly how they are calculated but the main difference between the two is the Intraday Volume Weighted Average Price time frame is measured in days, and the Moving Volume Weighted Average Price is in bars. So I believe the Moving Volume Weighted Average Price is probably more relevant to day traders. Anyway when you add the study to the Applied Studies column on the right, you will see that there are also upper and lower bands, like Bollinger Bands, and they are offset up or down by a distance expressed in Standard Deviations. I thought that was pretty cluttery and I thought, maybe if I adjust that to zero, it would all be just one line instead of three. It works. However, you will also want to change the colors of the three lines to all be the color that you want. Even though it appears to be only one line when distance is zero standard deviations, TWS still regards it as three separate lines, so the color of the three lines is sorta blended. Another setting to adjust is the averaging period, measured in bars. The default is 200... a bit large. I tried 9 and it looks okayish. You can then give your cusomized VWAP indicator a name and hit Okay. You can have multiple instances of this indicator on your chart at once, with different periods. Indicator geeks will love that. And now I have to decide where exactly I want to set the averaging period. I tried everything from 100 to 3. Still not sure where I want it. I have mine on 9 now. I am actually finding Bollinger Bands to be more useful, TBH. Anyway, so I answered my own question about precisely how to display VWAP on a chart in TWS. Hope this helps others who had the same issue.
I have used this VWAP for a while now and if it works well, the only issue i have is that i like to keep the upper and lower bands as they are useful indicators when it comes to intraday trading, but they constantly distort the chart and i need to zoom out and in and change day and back in order to get back to a normal looking chart, any solution for this??
Did you ever figure this out? I use VWAP on TWS without the bands. I think I did it by hiding them via the Chart Legend which can be Shown/Hidden by right clicking the chart
I think I did but I don't use that. I have a few favorite indicators I use on my TradingView charts but on TWS I am just using the default settings with Bollinger Bands and sometimes I bring up the volume bars but they don't stay up all the time.
In case you don't know, you can add the 2nd standard deviation band of VWAP by adding another VWAP to the chart and then setting its parameters to 2.0
funny you should mention that. I was just playing around with double bollingers like that, on Trading View.
I have been using the VWAP and The upper/lower band for a while, liked them for daytrading, but IB had just released an update that turned those bands into parallel lines to VWAP which makes the kind of useless, typical IB, so VWAP is fine but not the standard deviation bands
Yes, I can confirm that they changed something since the update in June for stable and latest versions. First of all u have to activate the standard deviation again in every chart, although before the update it was activated already. But additionally, it seems like the deviation calculation is wrong since the update, while VWAP is still correct. I've calculated it in Excel and if you use deviation 1.0 in TWS its not 1.0, it´s higher. From my calculations, you need to change it to a different number x.x in TWS to get the correct VWAP deviation of 1.0 (as e.g. calculated in my Excel sheet). I have UpperVWAP, VWAP, LowerVWAP figures in my Excel before and after the TWS update in June. Before the update the numbers matched the chart, since the update, Chart VWAP deviation is not correct. Anyone else checked this? Devs??