# 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 ## Subscribe The same `params` work in [real time](https://fathomcharts.com/docs/websocket.md), on [historical data](https://fathomcharts.com/docs/history.md) and in exports. Parameters you omit take their default values. **Subscribe message** ```json { "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](https://fathomcharts.com/docs/limits.md#how-limits-are-counted). 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: ``. 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](https://fathomcharts.com/docs/history.md) returns the same objects, with the same `cursor`, without the `sub` field. **Final object** ```json { "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](https://fathomcharts.com/docs/sdk.md#indicator-types). **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** ```json { "$schema": "https://json-schema.org/draft/2020-12/schema", "$id": "https://fathomcharts.com/schemas/vwap-bands/data.json", "title": "point", "type": "object", "additionalProperties": false, "properties": { "lower1": { "description": "Band −1.", "type": "number" }, "lower2": { "description": "Band −2.", "type": "number" }, "lower3": { "description": "Band −3.", "type": "number" }, "upper1": { "description": "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).", "type": "number" }, "upper2": { "description": "Band +2 (`second` multiplier).", "type": "number" }, "upper3": { "description": "Band +3 (`third` multiplier).", "type": "number" }, "vwap": { "description": "VWAP; like the bands, absent when the value is undefined.", "type": "number" } }, "required": [] } ```