OPEN-SOURCE SCRIPT
Futures Volume VWAP + Bands - CFD Charts
A session/week/month-anchored VWAP with 1/2/3-sigma bands — with a twist for
CFD traders: the VWAP weighting can use REAL futures exchange volume instead
of broker tick volume.
What makes it original: this is not another VWAP variant — the weighting
source is the auto-detected futures contract while the price stays the CFD's,
bars without futures data are excluded instead of silently falling back to
tick volume, and the daily anchor can follow the futures trading day so the
VWAP matches across CFD and native futures charts.
How it works:
- Price source is this chart's CFD price (hlc3 by default); the weight is the
volume of the auto-detected futures contract (request.security). Because
only the WEIGHT comes from the future, the basis offset between CFD and
futures prices is handled naturally.
- Bands are computed from the volume-weighted variance around the VWAP.
- Optional "Daily anchor = futures trading day" resets the calculation at the
futures day change instead of CFD broker midnight, so the VWAP matches
across CFD and native futures charts.
- Bars without futures data do not enter the sums; a status label always
shows which volume source is active.
How to use it: the standard VWAP playbook applies — price above a rising VWAP
supports longs, reversion trades target the VWAP, and the 2/3-sigma bands mark
statistically stretched zones where momentum entries have poor expectancy. The
difference is that these levels are weighted by real market participation, so
they match what futures traders see instead of broker tick noise. Check the
status label once after loading to confirm the futures feed is active.
CFD traders: the VWAP weighting can use REAL futures exchange volume instead
of broker tick volume.
What makes it original: this is not another VWAP variant — the weighting
source is the auto-detected futures contract while the price stays the CFD's,
bars without futures data are excluded instead of silently falling back to
tick volume, and the daily anchor can follow the futures trading day so the
VWAP matches across CFD and native futures charts.
How it works:
- Price source is this chart's CFD price (hlc3 by default); the weight is the
volume of the auto-detected futures contract (request.security). Because
only the WEIGHT comes from the future, the basis offset between CFD and
futures prices is handled naturally.
- Bands are computed from the volume-weighted variance around the VWAP.
- Optional "Daily anchor = futures trading day" resets the calculation at the
futures day change instead of CFD broker midnight, so the VWAP matches
across CFD and native futures charts.
- Bars without futures data do not enter the sums; a status label always
shows which volume source is active.
How to use it: the standard VWAP playbook applies — price above a rising VWAP
supports longs, reversion trades target the VWAP, and the 2/3-sigma bands mark
statistically stretched zones where momentum entries have poor expectancy. The
difference is that these levels are weighted by real market participation, so
they match what futures traders see instead of broker tick noise. Check the
status label once after loading to confirm the futures feed is active.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.