Does VWAP work on tick charts? VWAP on tick and second charts
Does VWAP work on tick charts? Yes, with a catch. How VWAP on second charts and tick charts is calculated in SuperCharting, and what its volume really counts.
Does VWAP work on tick charts? Yes. VWAP is calculated from bars and their volume, and it does not care whether a bar covers a minute, ten seconds or a hundred ticks. VWAP on second charts works the same way. The catch is what "volume" means on those charts. In SuperCharting a second or tick bar is built from live price quotes, and its volume is the number of quotes in the bar, not the number of shares or contracts traded. So VWAP on a tick chart is a quote-weighted average, not a true volume-weighted one.
How VWAP is calculated from bars
From the starting bar onwards, the script keeps two running totals: the typical price of each bar (hlc3 by default) multiplied by that bar's volume, and the volume itself. VWAP is the first total divided by the second. At the start of each new day the totals go back to zero.
Nothing in that formula depends on bar length. Any series of bars with a volume number on each will do. That is why the same Volume-weighted average price indicator you use on a 5-minute chart can be added to a 10-second chart or a 100-tick chart without changing anything.
What volume means on second and tick charts
The data feeds behind SuperCharting supply history in minutes and longer. Second and tick charts are therefore built from the live quotes SuperCharting receives, as explained on the second and tick charts page. Every quote that changes the price adds 1 to the volume of the bar it falls into. Two things follow.
On a tick chart, every finished bar has the same volume
A 100-tick bar closes after 100 quotes, so each finished bar has a volume of exactly 100. When every bar carries the same weight, the weighting does nothing. The VWAP on a tick chart is then a plain average of the bars' typical prices since the start of the day. It still moves less than price and still works as a reference line, but it is not the volume-weighted price of anything.
On a seconds chart, busy seconds count more
A 10-second bar's volume is the number of quotes in it, so a burst of activity weighs more than a quiet stretch. Here is a made-up example on NSE:NIFTY1!, with three 10-second bars:
| Bar | Typical price | Quotes (volume) |
|---|---|---|
| 1 | 22,510 | 8 |
| 2 | 22,515 | 2 |
| 3 | 22,505 | 30 |
VWAP = (22,510 × 8 + 22,515 × 2 + 22,505 × 30) / 40 = 22,506.5. The simple average of the three prices is 22,510. The busy third bar pulls the line down. The weighting measures how active the market was, not how much size changed hands.
When it still works well, and when to be careful
- Liquid futures and stocks. A real VWAP from a 1-minute or 5-minute chart is built from traded volume. On a tick or second chart you get a quote-weighted cousin of it. The two lines usually stay close together, but they are not the same, so pick one as your reference and stick to it.
- Forex and gold. EURUSD and XAUUSD have no central exchange volume. The volume on their minute charts is typically tick volume, a count of price changes, so a tick-chart VWAP is not very different in kind from the minute-chart one.
- Indexes with no volume. A minute chart of an index such as NSE:NIFTY may carry no volume, and VWAP then stops with the message "No volume is provided by the data vendor." On a tick or second chart every bar has a quote count, so the VWAP will draw. Do not read it as a VWAP of the index. An index is not traded, and the line is only a quote-weighted average of its price. The continuous future NSE:NIFTY1! has real volume on minute charts.
- Short history. Quotes are kept for 7 days, at most 60,000 per symbol. A 100-tick chart can therefore hold at most 600 bars, and a 1000-tick chart 60. If a busy day produces more quotes than the tape holds, the session VWAP starts at the oldest quote kept, not at the open.
- Closed markets. No new quotes arrive outside market hours, so the chart and its VWAP stop at the last quote.
How to add VWAP to a second or tick chart in SuperCharting
- Open a busy symbol, for example NSE:BANKNIFTY1! or XAUUSD.
- Click the interval button next to the symbol and pick 10 seconds from the Seconds section, or 100 ticks from the Ticks section.
- Click Indicators, type "vwap" and click Volume-weighted average price.
- Open Settings from the legend gear. Leave Anchor Period on Session so the line restarts each day. Tick the second band if you want it.
- If the chart starts short, leave it open. Bars and the VWAP are extended as new quotes arrive.
A good habit: compare with a minute chart
Build a 2-chart layout with Symbol sync on, as described in multi-chart layouts. Put NSE:BANKNIFTY1! on 1 minute on the left and on 10 seconds on the right, both with VWAP. The minute chart shows the VWAP built from traded volume. The 10-second chart shows timing detail. When the two lines run close together, the second chart's line is safe to use as a reference for entries. When they drift apart, trust the minute chart's line.
Reading it
Traders use VWAP on fast charts for the same reasons as on slower ones: a pullback to the line in a trending session, or price stretching away from it towards the bands. On second charts the line is noisy early in the day, when only a few hundred quotes have arrived and one burst can move it a long way. These are common habits, not trade signals, and past behaviour around a VWAP does not guarantee future results. The VWAP indicator page covers the bands and the cross alert, and anchored VWAP vs session VWAP covers lines that start from a bar you choose.
Frequently asked questions
Does VWAP work on tick charts?
Yes, it draws and updates on tick charts. Its weights are quote counts rather than traded volume, so on a fixed-size tick chart it equals a plain average of the bars' typical prices.
Does VWAP work on second charts?
Yes. Add the VWAP indicator to a chart set to 1, 5, 10, 15, 30 or 45 seconds, or a custom seconds interval. Busier seconds weigh more.
Is the VWAP on a tick chart the same as the one on a 1-minute chart?
No. The minute chart uses the volume the feed reports for each minute. The tick chart uses the number of quotes. They are usually close but can differ, especially in the first hour of the session.
Why does my tick-chart VWAP not start at the open?
The tape keeps up to 60,000 quotes per symbol, and a symbol nobody watched earlier in the day has no earlier quotes. The line starts at the first quote available. A minute chart has the whole session.
Can I use an anchored VWAP on a tick chart?
Yes. The Anchored VWAP drawing works on any bars. If a bar has no volume it counts as 1, which on a tick chart makes little difference.