VWAP for NQ FUTURE

ropika33 · Sun, 26 Nov 2023 01:05:45 +0000

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!

This topic has 1 reply, 2 voices, and was last updated 4 months ago by Jean FX.

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11/26/2023 at 2:05 AM #224301

ropika33

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!

ropika33
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12/20/2023 at 3:20 PM #225530

Jean FX

Could you give us your current functional vwap code and its market configuration for CME and we can see about adapting this ?

Jean FX
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