Tick Weighted Average Price

syntaxgeek 已更新   
Tick Weighted Average Price

"TiWAP" is an indicator that tracks the NYSE TICK by default and plots weighted average price on the charted security based only off of extreme TICK movement. NASDAQ TICK is also supported and future updates may add others if they provide value, or if requested.

What makes this different?
Quite simply there isn't another indicator that plots weighted average price based on TICK movement as done here, this is showing the correlation between the entire markets volatile price movement and the charted security. It provides a sense of established fair value given the entire NYSE/NASDAQ, given the automated nature of the markets there's a strong correlation between highly liquid ETFs/Indexes and the whole market.

How to use
Using this is similar to volume or time weighted average price, there is the average price line that is only adjusted when TICK movement breaches configured thresholds via sensitivity. Standard deviation bands are calculated and can be enabled up to 3rd deviation as per standard configuration, the further deviations being broken can serve as valuable signals for reversals.

As price is affected by market volatility look to see the weighted price adjust to actual price and combine with other trading strategies to take advantage of the data. Rejections and bounces near standard deviations as well as the weighted average price line can provide excellent trade setups, or they could be utilized in advanced options strategies such as straddles, strangles, iron condors, etc.

Anchor points can be utilized to track how the market is adjusting broad value for the week, month, quarter, etc. The higher timeframe based anchor points will need higher periods for the chart or a max bars lookback error may occur.

Sensitivity should be adjusted as changes in TICK occur, this is commonly correlated with NYSE adjustments but the tooltip provides some guidance on value selection based on current conventional wisdom.

TICK tracks the entire market and as such whatever the entire market is doing will most likely apply to any individual security charted so give this a shot with anything you trade and let me know your results :)

Usage Conditions
Currently I'm finding the most success with this weighted average price on various intra-day timeframes, but anchored on weekly or higher and utilizing other timeframes may net some interesting swing trading opportunities.
  • Fixed "TWAP" to "TiWAP"
  • Added new option to project prev day std dev lines as static levels on current session (check out youtube video)
After some time of using TiWAP I've found that TradingView sometimes provides TICK data when there really isn't any eth data for TICK.

In order to keep original design and functionality intact for anyone already successfully using as is, I've added an option that's disabled by default that allows locking session anchored TiWAP calculations to start on the first bar of regular session. Overall from my reviews it doesn't change much later in the day, only around the opening first thirty minutes or so.

Adjusted tick price reading for TradingView to ensure it ignores "false data" of extended trading hours where market internals doesn't post data. This was causing some non-regular trading hours erroneous data to register and had a slight impact to the TiWAP prices, standard deviation bands and price target levels.

Also, there are now numerous pre-configured alerts for when price navigates through various regions of TiWAP and previous TiWAP price targets using cross over and cross under confirmations.

Please enjoy and comment should there be any issues experienced from these changes or any bugs found.
  1. Added quick color adjustments next to deviation multipliers
  2. Added option to color bars per tick trend same as TiWAP line would be colored.
  3. Some alerts needed disabled due to color additions (lame), will be rewriting all of it with new idea.

@tradeseekers (YouTube, Twitter)