TMS-VWAP

A volume-based reference indicator designed to visualize fair value across multiple time horizons. It is neither a traditional trend follower nor an oscillator, but an anchor tool that calculates Volume-Weighted Average Price (VWAP) across up to 5 distinct periods simultaneously on a single chart.

Key Features

• 5-in-1 Multi-Horizon Architecture: Displays Daily, Weekly, Monthly, London Session, and New York Session VWAPs simultaneously, eliminating the need to stack multiple single-period indicators.

• Fixed Historical Reference Levels: Freezes the final value of completed periods into horizontal benchmark lines (e.g., pdVWAP, pLN VWAP, pNY VWAP) that project across subsequent sessions as potential reaction zones.

• Clean Session Termination: Session-based VWAPs (London/NY) plot exclusively within their designated trading windows without generating vertical connecting lines.

• Dual Standard Deviation Bands: Up to 2 configurable standard deviation multipliers per VWAP line with transparent background fills between outer bands.

• Flexible Calculation Inputs: Price source selection (Typical, Median, Average, Close) and weighting choices (Volume or Tick Count).

• Zero Execution Signals: Pure visualization and benchmark tool with no trade signals or execution routing.

How It Works

1. Real-Time VWAP Calculation: For each active period, the indicator accumulates volume and price data starting at the defined reset time:

   $$\text{VWAP} = \frac{\sum (\text{Price} \times \text{Volume})}{\sum \text{Volume}}$$

2. Standard Deviation Bands: Measures dispersion away from fair value:

   $$\text{Upper/Lower Band} = \text{VWAP} \pm (k \cdot \sigma)$$

3. Historical Level Freezing: Upon period closure, the final VWAP value locks in place and projects horizontally through the next period, offering a fixed structural anchor until the next cycle completes.

Settings

• Global Parameters: UTC offset adjustment, price source (Typical/Median/Average/Close), weighting model (Volume/Ticks), and label font/position styling.

• Per-VWAP Customization (5 Independent Blocks): On/off toggle, custom label text, line style/color/thickness, reset timing or session start/end hours.

• Bands & Fill Controls: Multiplier inputs and individual color/opacity controls for Band 1 and Band 2, plus background fill toggles between outer bounds.

• Historical Line Styling: Separate line color, thickness, dash style, and label toggle for previous-period levels (pdVWAP, pwVWAP, pmVWAP, pLN, pNY).

Use Cases

• Intraday Value Anchor: Day traders reference the current Daily VWAP as fair value while monitoring tests of pdVWAP (previous day's VWAP) as potential support or resistance.

• Cross-Session Benchmarking: Session traders track London and New York VWAPs independently to identify where institutional order flow built value during specific global trading hours.

• Multi-Timeframe Context: Swing traders overlay Weekly and Monthly VWAPs to gauge macro structural context and evaluate whether price is trading at a premium or discount relative to longer-term volume distribution.