TEVO VWAP: VWAP and standard deviation bands for NinjaTrader 8

What the indicator does

1. Calculation. VWAP = sum (price × volume) ÷ sum of volume since the reset. With Tick Replay every trade counts at its price; without it each bar counts at its typical price (H + L + C) ÷ 3.
2. Period. Session (default), week, month, or a VWAP anchored at a chosen time (never reset). New York RTH hours (09:30-16:00) by default, or ETH (the full electronic session, overnight included).
3. Bands. Volume-weighted standard deviation of prices since the reset, at ×1, ×2 and ×3 (three bands on by default), with fill between bands; optional Percent mode (fixed % of the VWAP).
4. Display. Thick VWAP line, price labels, session start marker, previous sessions kept, header and legend; optional dashboard.
5. Alerts. Optional: price crossing the VWAP, price reaching band 2.

Data and markets

• Index futures (ES, NQ…), stocks and any market with meaningful volume. On forex, volume depends on the provider (often tick count), so the VWAP is less representative.
• Intraday timeframes for the session VWAP; week, month and anchored for broader context.
• Calculated on every tick in real time.

Requirements: what is free and what may cost money

• NinjaTrader 8, a desktop platform for Windows. The indicator is free; NinjaTrader is third-party software with its own terms, and it may cost money depending on how you use it (licence, live trading).
• Market data. Prices, volume and market depth come from your connection (broker or data provider). Depending on the exchange and the subscription, this data may be billed: check your provider’s terms.
• Exact history with Tick Replay. Enable “Show Tick Replay” in Tools › Options › Market Data, then tick Tick Replay in the chart’s Data Series window. Your provider must supply tick history with the bid and ask; the chart then loads more slowly.
• Without Tick Replay. The chart bars rebuild the history (typical price), then every live trade is added. Volume source = TickSeries gives an exact history without Tick Replay, at the cost of heavier loading.

Reading example (educational)

After the open, price stretches to the +2 σ band, then comes back to the VWAP, which holds as support on the first return. The bands describe how far price has moved from its weighted average during the session; they do not predict a return.

Settings

Each setting is named exactly as NinjaTrader shows it, with its default value read directly from the source code (.cs).

1. VWAP

2. Bands

3. Volume Data

4. Display

5. Alerts

6. Trading Evolution

7 colours you can customise in NinjaTrader's Colours tab.

Installation in NinjaTrader 8

1. Download the free pack (ZIP file) that contains the indicator from the Free indicators section of the home page.
2. In NinjaTrader 8, open Tools › Import › NinjaScript Add-On, choose the ZIP file, then restart NinjaTrader.
3. Activate your free license: Control Center › New › Trading Evolution License, then save your key.
4. On a chart, open the indicator list (right-click › Indicators) and add “TEVO VWAP”.

Common problems and fixes

• The VWAP does not start at the expected open. Check SessionHours (RTH or ETH) and the RTH times; on a chart not set to New York time, adjust the time reference.
• The anchored VWAP does not show. Set ResetPeriod = Anchored and an anchor time inside the loaded data.
• The indicator is not in the list. Check that the pack import (Tools › Import › NinjaScript Add-On) finished without an error, then restart NinjaTrader. NinjaTrader compiles every script together: an error in another installed script can block the import, so fix or remove that script. If the tool shows a license message, save your free key in Control Center › New › Trading Evolution License.
• “Already contains a definition” error. An older copy of the same indicator exists under another file name: delete it, then compile again.

Limitations

• Without Tick Replay, history uses the bars’ typical price: close to, but not identical with, the trade-by-trade calculation.
• The bands measure past dispersion; they are not targets.
• On a market with unreliable volume (some forex sources), the VWAP loses its meaning.
• No level is guaranteed: futures trading involves a risk of losing capital.

Frequently asked questions

Related concepts and tools

• Volume profile explainedPOC, value area, VAH and VAL: where the market did business.
• TEVO Cumulative DeltaCumulative delta of aggressive buying and selling.
• Order flow guideDOM, Time & Sales, footprint, delta and volume profile: what each tool measures.
• All 15 free NinjaTrader indicatorsThe ICT and order flow tools, each with its documentation.

Other free NinjaTrader 8 indicators

• ICT 2022 Mentorship Model
• Market Maker Models (MMBM / MMSM)
• ICT Silver Bullet
• ICT SMT Divergence
• ICT Judas Swing
• ICT Killzones & Daily Profiles
• ICT Power of 3 (AMD)
• ICT OTE (Optimal Trade Entry)
• ICT Turtle Soup
• ICT Unicorn Model
• TEVO DOM
• TEVO Footprint
• TEVO Big Trades
• TEVO Cumulative Delta

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