ZynIQ VWAP Master

VWAP Master plots a volume-weighted average price (VWAP) from an anchor you choose, with standard-deviation bands at 1, 2 and 3 SD and a stretch reading that tells you how far price is from fair value. The anchor can be a session (by default the US cash session, so MNQ and ES reset at 09:30 New York), a day, week, month, quarter or year, a date and time you pick, or an automatic anchor at the last major swing or at the day’s highest-volume bar. Crosses, band reaches and returns to the VWAP all have alerts.

How it works

1. Anchor. The VWAP starts counting at the anchor and resets at the next one.
   • Auto (default): on intraday charts below 2 hours, Session for US futures, US stocks, US funds and depositary receipts (symbols traded in New York or Chicago), the exchange Day for everything else (crypto, forex, other markets); Week on intraday charts of 2 hours or more; Month on daily charts; Year on weekly and monthly charts.
   • Session: the first bar of each session in the session hours (default 09:30-16:00 New York). Outside the hours the VWAP is hidden by default, or can keep running until the next session.
   • Day (exchange), Week, Month, Quarter, Year: the symbol’s own calendar periods (for CME futures the day starts at the 18:00 New York Globex reopen).
   • Date and time: the first bar at or after the moment you pick (default 2 Jan 2026, 09:30 New York).
   • Last major swing: the most recent swing high or low that is the highest high (lowest low) of 50 bars before it and 10 bars after it. A swing is only known once those 10 bars have closed, so the VWAP re-anchors 10 bars after the swing; from then on it is the VWAP from the swing bar (the 10 bars in between are included). Swing highs are used when a high and a low confirm on the same bar.
   • Highest-volume bar of the day: the VWAP re-anchors whenever a bar has more volume than any earlier bar of the same trading day (the first bar of the day starts it). So the VWAP always runs from the busiest bar of the day so far.
2. VWAP = sum(price x volume) / sum(volume) since the anchor, with price = hlc3 by default.
3. Bands = VWAP plus or minus 1, 2 and 3 times the volume-weighted standard deviation of price since the anchor.
4. Stretch state (after the 5-bar warm-up): the close’s distance from the VWAP in standard deviations: Inside band 1, Above upper band 1 / Below lower band 1, Above upper band 2 / Below lower band 2, Beyond upper band 3 / Beyond lower band 3.
5. Events on closed bars within the same period: cross above or below (the close crosses the VWAP), band reached (the bar’s high first reaches an upper band, or its low a lower band), return to VWAP (the bar trades through the VWAP after a closed bar had reached band 1 or beyond, after the warm-up, since the last touch).
6. Daily and higher charts: if you pick an anchor of a day or less on a daily chart (or a week or less on weekly charts), it is moved up to Month (Year on weekly and above) and the HUD says so.
7. No volume data: every bar gets equal weight and the HUD says “no volume data: equal-weight average”. The Highest-volume bar anchor then simply starts at the beginning of each day.

What you see on the chart

• VWAP line: teal while the close is above it, fuchsia below. It breaks at each reset.
• Bands: upper bands teal, lower bands fuchsia, fading from band 1 to band 3, with faint shading between bands 1 and 2 and stronger shading between bands 2 and 3.
• Grey line: the previous period’s final VWAP (time-based anchors only); optional faint grey lines for its bands 1 and 2.
• “VWAP anchor” label on the anchor bar for the Date and time, Last major swing and Highest-volume bar anchors.
• Optional markers: a teal dot above the bar when an upper band 2 or 3 is reached, a fuchsia dot below for the lower bands, a cyan diamond when price returns to the VWAP. Off by default.
• Optional background tint while the close is at or beyond band 2: faint teal above, faint fuchsia below. Off by default.
• HUD (top right): Anchor (for example “Session 09:30-16:00 America/New_York (auto)”, or “From 2026-01-02 09:30” for Date and time; “(auto)” when Auto chose it), VWAP price to the tick (teal above, fuchsia below), Distance in SD and in price, State (one of the stretch states above, or “warming up (3/5 bars)”), Band 2 up / down prices, Previous VWAP, and a Note row for no-volume symbols (“no volume data: equal-weight average”) or a moved anchor (for example “Session needs a shorter chart: using Month”). Before the first anchor the VWAP row says “waiting for the first anchor” (or “waiting for the anchor time”), and when the session is closed it says “outside the session”.
• Watermark: “ZynIQ VWAP”, bottom right.

Settings

Alerts

Create the alert with Once per bar close.

Any alert() function call sends one message per event with the VWAP, the band level reached and the close, to the tick. For band reaches it reports the outermost band reached on that bar, per side.

Set it up for your market

How to use it

• The VWAP is where the average participant since the anchor is in profit or loss. Above it buyers are in control, below it sellers.
• In a trend, pullbacks to the VWAP or band 1 that hold are the classic continuation spots; a close back through the VWAP warns the trend is weakening.
• In a range, band 2 and band 3 are stretch zones where chasing is risky and returns to the VWAP are common.
• Anchor to an event (an earnings gap, a major high) with Date and time to see who is in profit since then.
• Common mistakes: treating band 3 as an automatic reversal in a strong trend; using a Day anchor on a daily chart (v3 moves it for you); judging the bands in the first few bars of a session (wait for the warm-up).
• Pairs with Session Master, Volume Profile Master (value from volume at price) and Volume Surge (is volume behind the move away from the VWAP?).

Good to know

• Events and alerts are decided on closed bars. The VWAP and bands on the live bar move with it, as any VWAP does.
• Last major swing: the anchor is chosen 10 bars after the swing (the confirmation delay); the line then jumps to the VWAP from the swing.
• Highest-volume bar of the day can re-anchor several times early in a session; the warm-up restarts each time.
• The session anchor needs bars that start inside the hours; very large intraday timeframes may start late.
• Hidden outside the session means nothing is drawn overnight on futures charts by default.
• Uses one indicator slot and a handful of plots; labels are limited to the anchor label.

Version 3 changes

• Real anchoring. v2 was sold as “anchored VWAP with automatic anchoring” but only reset daily or weekly. v3 has ten anchors: Auto, Session (with hours and time zone), Day (exchange), Week, Month, Quarter, Year, Date and time, Last major swing and Highest-volume bar of the day.
• Futures reset at the cash open. v2 reset at the exchange’s day change, which on CME futures is the 18:00 Globex reopen. By default v3 anchors US futures and US stocks to the 09:30-16:00 New York session; the Globex day is still available as “Day (exchange)”.
• Daily and higher charts work. v2 reset every bar on daily charts (a VWAP of one bar). Auto now uses Month on daily charts and Year on weekly and monthly charts, and an anchor that would reset every bar is moved up automatically with a note in the HUD.
• Correct band colours: upper bands teal, lower bands fuchsia (v2 drew the lower bands in the upper colour).
• Warm-up: states, band alerts and markers start 5 bars after the anchor, so the very narrow bands of the first bars no longer flip the state back and forth.
• New alerts: cross above and below the VWAP (v2 had none), reach band 1, 2 and 3 above and below, and return to the VWAP after a stretch, each with a detailed alert() message including the levels.
• Previous period’s VWAP (and optionally its bands) extended through the current period.
• Symbols without volume: v2 showed a VWAP equal to the price with zero-width bands. v3 falls back to an equal-weight average (a time-weighted average price) with real bands and says so in the HUD.
• Numerical precision: prices are accumulated relative to the anchor price, so the bands stay accurate on long anchors and high-priced symbols.
• The Scalping / Intraday / Swing profiles are replaced by the anchor choice and adjustable band multipliers (the profiles only changed band multipliers and the reset). HUD position and size, colour theme and tooltips on every setting.