VWAP

What it computes

The volume-weighted mean of typical price. On intraday candles it restarts with each session; on daily and longer candles it runs from the first loaded bar.

It describes bars that have already printed. QuantZ does not claim this indicator has predictive value, and it is not a recommendation to do anything.

Inputs and lookback

No parameters. The construction is fixed.

Reads the high, low, close and volume of each loaded bar. With the default settings the first value is on bar 1; earlier bars are left empty rather than padded.

What it assumes about the series

• Bars arrive oldest to newest at one interval, each with a finite open, high, low and close. The input is the chart’s loaded series, whatever its length.
• The function is given bars, not sessions: it does not know the timeframe, where a session opens, or that a gap in the tape is a gap.
• Warm-up bars are omitted rather than padded. The first value appears once the arithmetic has enough history, and nothing is drawn before it.
• While the newest bar is still forming, its value uses the live close and moves until the bar closes.
• Each bar carries a volume field. A feed that reports no volume produces no line at all rather than an invented one.
• On intraday candles a session is the bar’s UTC calendar day — for US stocks their New York trading date, for crypto and FX the vendor’s UTC day — and the line restarts at its first bar. On daily and longer candles there is no session to restart at, so it runs from the first loaded bar: loading more history moves it, and the Analysis tab names that first date.

Whether a drawn value can change

forming-bar · Moves only on the forming bar. The newest bar’s value moves with its live close until that bar closes. Appending later bars leaves closed-bar values unchanged. Loading older history or correcting input bars can change them; each entry states its history assumptions.

This class is read from the registry entry and checked by a test against the function itself: for a class that says closed bars are final, appending a bar must leave every earlier point unchanged, and for a class that says they are not, it must not.

Outside its inputs

• Nothing outside the loaded bars: no longer history than the chart has loaded, and no other interval.
• Nothing inside a bar: no individual trades, no order book, no bid or ask.
• No other symbol, no benchmark, no news, no fundamentals, no earnings dates.
• Volume is the bar’s total. Which side of the book it traded on is not in the data.