Indicator

Fathom VWAP

Session or rolling VWAP, with three bands.

What the indicator shows

The central line is the VWAP: the session’s average price, weighted by the volume traded at each price.
The three pairs of bands, above and below, measure the distance from the VWAP, in standard deviations or as a percentage.

How to use it

Above the VWAP, price trades higher than the session’s average; below it, lower.
The outer bands locate the extremes, from which price tends to return toward the average.
In a trend, pullbacks to the VWAP or the first band often act as support or resistance.
bars gives a rolling VWAP over the last bars, independent of the start of the session.

How it is computed

daily: session VWAP, which starts over at every session open, at 6:00 pm New York time (full session, not only the RTH session); periodValue must then be 1. bars: rolling VWAP over the last periodValue finished bars.
The standard deviation is the volume-weighted standard deviation of prices, with a Bessel correction on volume: √(Σ v·(p − VWAP)² / (V − 1)), where V is the total volume; it is 0 while V is at most 2.
The bands sit first, second and third standard deviations from the VWAP (standard-deviation), or as many percent of the VWAP (price-percentage: 0.25 puts the band 0.25% from the VWAP, 50 points for a 20,000-point VWAP). These three values range from 0.01 to 10, with at most two decimals.

When it updates

One point per finished timeframe-second bar, sent once, final, when the bar closes; its id is the start of the bar. No value is published inside a bar.
A field is only absent when its value is undefined (zero cumulative volume): in practice, every field is present.
Weekly reset: at the Sunday reopen (6:00 pm New York time), the computation starts over, rolling window included; the week’s last bar gets its point on the first trade of the reopen.

Identifier: vwap-bands
Objects received: point
Historical cost: 1 compute unit per trade

The same params work in real time, on historical data and in exports. Parameters you omit take their default values.

Subscribe message

{
  "t": "subscribe",
  "sub": "vwap-bands",
  "instrument": "NQ.front",
  "indicator": "vwap-bands",
  "params": {
    "envelopeMode": "standard-deviation",
    "first": 1,
    "periodMode": "daily",
    "periodValue": 1,
    "second": 2,
    "third": 3,
    "timeframe": 300
  },
  "mode": "live",
  "from": "live"
}

Parameters

As soon as a parameter differs from its default, the subscription counts as a custom configuration. To change a parameter, open a new subscription.

Parameter	Type	Default	Allowed values	Unit	Description
`envelopeMode`	choice	`standard-deviation`	`standard-deviation` · `price-percentage`	—	Bands in standard deviations (`standard-deviation`) or as a percentage of the VWAP (`price-percentage`).
`first`	number	`1`	0.01 to 10	—	Distance of band 1 from the VWAP, from 0.01 to 10, with at most two decimals: in standard deviations (`1.5`), or in percent of the VWAP with `price-percentage` (`0.25` = 0.25%).
`periodMode`	choice	`daily`	`daily` · `bars`	—	Session VWAP (`daily`) or rolling over `periodValue` bars (`bars`).
`periodValue`	integer	`1`	1 to 10,000	bars	Number of bars in the rolling window with `bars`; must be 1 with `daily`.
`second`	number	`2`	0.01 to 10	—	Distance of band 2 from the VWAP, in the same unit, from 0.01 to 10, with at most two decimals.
`third`	number	`3`	0.01 to 10	—	Distance of band 3 from the VWAP, in the same unit, from 0.01 to 10, with at most two decimals.
`timeframe`	integer	`300`	`1` · `5` · `10` · `15` · `30` · `60` · `120` · `180` · `300` · `600` · `900` · `1800` · `3600`	—	Bar duration in seconds: from 1 second (`1`) to 1 hour (`3600`).

Objects received

Each object keeps the same id from one update to the next. Its data is in the data field. Prices are in ticks: multiply them by the instrument’s tick size (GET /v1/instruments) to get points.

`point` sent final

Values at the close of the bar.

id format: <barStartNs>. Each object is sent once, final (final: true).

Field	Type	Unit	Present	Description
`lower1`	number	ticks	sometimes	Band −1.
`lower2`	number	ticks	sometimes	Band −2.
`lower3`	number	ticks	sometimes	Band −3.
`upper1`	number	ticks	sometimes	Band +1: VWAP + `first` standard deviations (or `first`% of the VWAP with `price-percentage`: 0.25% of a 20,000-point VWAP is 50 points).
`upper2`	number	ticks	sometimes	Band +2 (`second` multiplier).
`upper3`	number	ticks	sometimes	Band +3 (`third` multiplier).
`vwap`	number	ticks	sometimes	VWAP; like the bands, absent when the value is undefined.

Example messages

Messages as the WebSocket sends them to the subscription above, taken from a real NQ session. Historical data returns the same objects, with the same cursor, without the sub field.

Final object

{
  "sub": "vwap-bands",
  "cursor": "20720.0.0",
  "t": "upsert",
  "id": "1790207700000000000",
  "final": true,
  "ts": "1790208000058746563",
  "data": {
    "vwap": 123131.51652638063,
    "upper1": 123195.01381482669,
    "lower1": 123068.01923793457,
    "upper2": 123258.51110327273,
    "lower2": 123004.52194948852,
    "upper3": 123322.00839171879,
    "lower3": 122941.02466104247
  }
}

JSON schemas

To validate or type your data: the JSON schemas of the parameters and of data, also available from GET /v1/indicators. The SDK can generate types from them.

Parameters schema

JSON

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "$id": "https://fathomcharts.com/schemas/vwap-bands/params.json",
  "type": "object",
  "additionalProperties": false,
  "properties": {
    "envelopeMode": {
      "description": "Bands in standard deviations (`standard-deviation`) or as a percentage of the VWAP (`price-percentage`).",
      "type": "string",
      "default": "standard-deviation",
      "enum": [
        "standard-deviation",
        "price-percentage"
      ]
    },
    "first": {
      "description": "Distance of band 1 from the VWAP, from 0.01 to 10, with at most two decimals: in standard deviations (`1.5`), or in percent of the VWAP with `price-percentage` (`0.25` = 0.25%).",
      "type": "number",
      "default": 1,
      "minimum": 0.01,
      "maximum": 10,
      "multipleOf": 0.01
    },
    "periodMode": {
      "description": "Session VWAP (`daily`) or rolling over `periodValue` bars (`bars`).",
      "type": "string",
      "default": "daily",
      "enum": [
        "daily",
        "bars"
      ]
    },
    "periodValue": {
      "description": "Number of bars in the rolling window with `bars`; must be 1 with `daily`.",
      "type": "integer",
      "default": 1,
      "minimum": 1,
      "maximum": 10000
    },
    "second": {
      "description": "Distance of band 2 from the VWAP, in the same unit, from 0.01 to 10, with at most two decimals.",
      "type": "number",
      "default": 2,
      "minimum": 0.01,
      "maximum": 10,
      "multipleOf": 0.01
    },
    "third": {
      "description": "Distance of band 3 from the VWAP, in the same unit, from 0.01 to 10, with at most two decimals.",
      "type": "number",
      "default": 3,
      "minimum": 0.01,
      "maximum": 10,
      "multipleOf": 0.01
    },
    "timeframe": {
      "description": "Bar duration in seconds: from 1 second (`1`) to 1 hour (`3600`).",
      "type": "integer",
      "default": 300,
      "enum": [
        1,
        5,
        10,
        15,
        30,
        60,
        120,
        180,
        300,
        600,
        900,
        1800,
        3600
      ]
    }
  },
  "allOf": [
    {
      "description": "`periodValue` must be 1 in `daily` mode.",
      "if": {
        "properties": {
          "periodMode": {
            "const": "daily"
          }
        }
      },
      "then": {
        "properties": {
          "periodValue": {
            "const": 1
          }
        }
      }
    }
  ]
}

data field schema