Community scripts › Built into Depth › VWAP bands & anchors
What it shows
Daily, session, weekly, monthly and rolling VWAPs, with ±1, 2 and 3 standard deviation bands.
How to read it
Each VWAP restarts at its anchor: 7:00 PM ET (00:00 UTC), each session start, Monday 7:00 PM ET (00:00 UTC), the first of the month, or a rolling window. The bands show how far price is from the average in standard deviations of the volume-weighted price. Calculated from 1-minute (daily, session), 5-minute (weekly) or 15-minute (monthly) candles. For a VWAP from any point, use the Anchored VWAP drawing tool.
How it's calculated
Each VWAP restarts at its anchor: 7:00 PM ET (00:00 UTC) (daily), each session start, Monday 7:00 PM ET (00:00 UTC) (weekly), the first of the month or a rolling window of hours. The bands sit 1, 2 or 3 standard deviations of the volume-weighted price away. Depth calculates them from 1-minute candles (daily and session), 5-minute (weekly) or 15-minute (monthly).
What it can't tell you
A weekly or monthly VWAP early in its period rests on few trades and moves a lot.
Settings in Depth
| Anchors | |
|---|---|
| Daily VWAP (from 7:00 PM ET (00:00 UTC)) | on |
| Session VWAP (resets at each session start) | off |
| Session starts (UTC, comma separated) | 00:00,07:00,13:30,21:00 |
| Weekly VWAP (from Monday 7:00 PM ET (00:00 UTC)) | on |
| Monthly VWAP | off |
| Rolling VWAP | off |
| Rolling window (hours) | 24 |
| Bands | |
| Standard deviation bands | ±1σ |
| Bands on | the daily VWAP |
FAQ
Which VWAPs are on by default?
The daily and the weekly VWAP, with ±1 standard deviation bands on the daily one.
What are the session starts?
00:00, 07:00, 13:30 and 4:00 PM ET (21:00 UTC) by default, and you can enter your own.
How do I anchor a VWAP to any candle?
Use the Anchored VWAP drawing tool in Depth.
More in Volume & VWAP
Traded volume at each price per day, session, week, a composite of the last hours or the visible range, with POC, value area and naked POCs.
Market profile: a letter for every 30 minutes price traded at each level, with POC, value area, initial balance and single prints.