OPEN-SOURCE SCRIPT
VWAP Multi Prev and current + Midnight
Advanced Multi-Period VWAP + PVA & NY Midnight Open
This indicator is a professional-grade liquidity and volume-analysis tool designed for intraday and swing traders who rely on institutional benchmarks. It combines Current VWAPs, Previous Period Value Areas (PVA), and the NY Midnight Open into a single, high-precision overlay.
🚀 Key Features
1. High-Precision MTF Engine
Standard VWAP indicators often lose accuracy on higher timeframes (like the 1H or 4H). This script includes a High Precision Mode that uses lower timeframe data (1m, 5m, or 15m) via request.security to ensure that every calculation is mathematically exact, regardless of your chart’s resolution.
2. Triple-Timeframe Coverage
Track three critical institutional cycles simultaneously:
Daily: Includes a toggle for "Standard" (Midnight) or "Custom NY Session" (09:30 AM) anchors.
Weekly: Anchored to the start of the trading week.
Monthly: Anchored to the first day of the month.
3. Previous Value Area (PVA) "Shelves"
The indicator doesn't just plot current lines; it draws "shelves" for the Previous Period’s VWAP and its Standard Deviation Bands. These areas represent the "Fair Value" of the previous day/week/month and often act as powerful magnets or support/resistance zones.
Visuals: Customizable fills and border styles for clear distinction between periods.
4. NY Midnight Open
The NY Midnight (00:00 EST) open is widely regarded as the "Starting Point" for the daily candle. Trading above it suggests a bullish bias, while trading below suggests a bearish bias. This script automates this level, providing a clear reference point for intraday direction.
5. Customizable Standard Deviation Bands
Enable dynamic bands for Daily, Weekly, or Monthly periods to identify overextended price action (overbought/oversold) relative to volume.
🛠 How to Use
The "Magnet" Effect: Watch for price to return to the Previous Daily/Weekly VWAP (the center line of the "shelves") during mean-reversion setups.
Institutional Bias: If price is above the NY Midnight Open AND the Current Daily VWAP, look for long opportunities.
Volatility Confluence: Use the Standard Deviation Bands to find exhaustion points where volume-weighted price is stretched to its limit.
⚙️ Settings
Precision Settings: Choose the timeframe used for background calculations. (Default: 1m for Daily, 5m for Weekly).
Anchor Modes: Switch the Daily VWAP to start at the NY Pit Open (09:30) for a session-specific view.
Visual Styles: Choose between Lines, Steps, Circles, or Crosses to match your chart aesthetics.
This indicator is a professional-grade liquidity and volume-analysis tool designed for intraday and swing traders who rely on institutional benchmarks. It combines Current VWAPs, Previous Period Value Areas (PVA), and the NY Midnight Open into a single, high-precision overlay.
🚀 Key Features
1. High-Precision MTF Engine
Standard VWAP indicators often lose accuracy on higher timeframes (like the 1H or 4H). This script includes a High Precision Mode that uses lower timeframe data (1m, 5m, or 15m) via request.security to ensure that every calculation is mathematically exact, regardless of your chart’s resolution.
2. Triple-Timeframe Coverage
Track three critical institutional cycles simultaneously:
Daily: Includes a toggle for "Standard" (Midnight) or "Custom NY Session" (09:30 AM) anchors.
Weekly: Anchored to the start of the trading week.
Monthly: Anchored to the first day of the month.
3. Previous Value Area (PVA) "Shelves"
The indicator doesn't just plot current lines; it draws "shelves" for the Previous Period’s VWAP and its Standard Deviation Bands. These areas represent the "Fair Value" of the previous day/week/month and often act as powerful magnets or support/resistance zones.
Visuals: Customizable fills and border styles for clear distinction between periods.
4. NY Midnight Open
The NY Midnight (00:00 EST) open is widely regarded as the "Starting Point" for the daily candle. Trading above it suggests a bullish bias, while trading below suggests a bearish bias. This script automates this level, providing a clear reference point for intraday direction.
5. Customizable Standard Deviation Bands
Enable dynamic bands for Daily, Weekly, or Monthly periods to identify overextended price action (overbought/oversold) relative to volume.
🛠 How to Use
The "Magnet" Effect: Watch for price to return to the Previous Daily/Weekly VWAP (the center line of the "shelves") during mean-reversion setups.
Institutional Bias: If price is above the NY Midnight Open AND the Current Daily VWAP, look for long opportunities.
Volatility Confluence: Use the Standard Deviation Bands to find exhaustion points where volume-weighted price is stretched to its limit.
⚙️ Settings
Precision Settings: Choose the timeframe used for background calculations. (Default: 1m for Daily, 5m for Weekly).
Anchor Modes: Switch the Daily VWAP to start at the NY Pit Open (09:30) for a session-specific view.
Visual Styles: Choose between Lines, Steps, Circles, or Crosses to match your chart aesthetics.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.