Hello,
I’m posting this message to ask for help. I’m looking to create an indicator returning me the daily VWAP value dedicated to NASDAQ Future (NQ), starting at the specific opening time of this Future ( 5:00 p.m. – 6:00 p.m. ET (4:00 p.m. – 5:00 p.m. CT)).
It means Opening time: 5pm on Monday / Closing time (23 hours later): 4pm on Tuesday.
I have searched and found the sources for intraday VWAP for classic stock (intraday), which works perfectly, but I have failed to adapt it to the opening time of this Future.
Thank you in advance for your help!
Could you give us your current functional vwap code and its market configuration for CME and we can see about adapting this ?