Indicator

Fathom VWAP

Keep price in perspective. VWAP and its bands show where the market sits against everything traded this session.

VWAP computed from the levels of closed bars, reset every session (daily) or rolling over periodValue bars (bars), surrounded by bands in standard deviations or in percent. One final point per closed bar, except the first bar of the week, where the computation starts.

Identifier: vwap-bands
Objects received: point
Calculation: Since the start of the week
Historical cost: 1 unit per trade

The same params work in real time, on historical data and in exports. Any you leave out take their default value.

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. A new value may require preparing a new calculation (status warming).

Parameter	Type	Default	Allowed values	Unit	Description
`envelopeMode`	choice	`standard-deviation`	`standard-deviation` · `price-percentage`	—	Bands in standard deviations or as a percentage of the VWAP.
`first`	integer	`1`	1 to 10	—	Band 1 multiplier.
`periodMode`	choice	`daily`	`daily` · `bars`	—	Session VWAP (`daily`) or rolling over `periodValue` bars (`bars`).
`periodValue`	integer	`1`	1 to 10,000	bars	Bars in the rolling window; 1 in `daily` mode.
`second`	integer	`2`	1 to 10	—	Band 2 multiplier.
`third`	integer	`3`	1 to 10	—	Band 3 multiplier.
`timeframe`	integer	`300`	15 · 60 · 300	—	Bar duration in seconds: 15, 60 or 300.

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 complete

Values at the close of the bar.

Format of the id: <barStartNs>. Each object is sent once, already complete (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` deviations.
`upper2`	number	ticks	sometimes	Band +2 (`second` multiplier).
`upper3`	number	ticks	sometimes	Band +3 (`third` multiplier).
`vwap`	number	ticks	sometimes	VWAP.

Calculation warm-up

The calculation starts over at the beginning of every week (Saturday 00:00 UTC). During the weekend close it keeps the state of the past week; objects still open are finalized on the first trade of the new week. If nobody is using your parameters yet, the server first recomputes the week since its start (status warming), then goes live (status live).

Historical data follows the same rules: a query over a past period returns exactly what the real-time stream published.

Example messages

Messages received with the subscription parameters above. Over WebSocket, each message also carries sub and cursor.

Final version

{
  "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": {
      "type": "string",
      "default": "standard-deviation",
      "enum": [
        "standard-deviation",
        "price-percentage"
      ],
      "description": "Bands in standard deviations or as a percentage of the VWAP."
    },
    "first": {
      "type": "integer",
      "default": 1,
      "minimum": 1,
      "maximum": 10,
      "description": "Band 1 multiplier."
    },
    "periodMode": {
      "type": "string",
      "default": "daily",
      "enum": [
        "daily",
        "bars"
      ],
      "description": "Session VWAP (`daily`) or rolling over `periodValue` bars (`bars`)."
    },
    "periodValue": {
      "type": "integer",
      "default": 1,
      "minimum": 1,
      "maximum": 10000,
      "description": "Bars in the rolling window; 1 in `daily` mode."
    },
    "second": {
      "type": "integer",
      "default": 2,
      "minimum": 1,
      "maximum": 10,
      "description": "Band 2 multiplier."
    },
    "third": {
      "type": "integer",
      "default": 3,
      "minimum": 1,
      "maximum": 10,
      "description": "Band 3 multiplier."
    },
    "timeframe": {
      "type": "integer",
      "default": 300,
      "enum": [
        15,
        60,
        300
      ],
      "description": "Bar duration in seconds: 15, 60 or 300."
    }
  }
}

Schema of the data field