December 7, 2016 saw the SPY equity and @ES futures markets put in a strong uptrending day. When the day was done, the ESZ16 contract closed the RTH session 11 points higher than the RTH VWAP as can be seen in the following chart which has both VWAP and VWAP.Delta indicators inserted:
I wondered if that delta was unique or significant in any manner and whether it might serve as a guidance for what to expect in the following trading session. To do that I created a "down and dirty" indicator that listened for the VWAP value and printed the value when the time of the variable was 1515 (equity index futures closing time when the chart is in exchange timezone).
Click this link to download the text file for the indicator. The code includes some comments so that you can create the same or similar indicator for yourself. Start up the TradeStation development environment paste in the code as a new indicator, verify it and you should be ready to go.
Click here if you are not familiar with the TradeStation development environment.
The indicator prints the date, time, and vwap delta to the EasyLanguage Print Log (on your TS platform, click view->Easylanguage print log to open a window that displays the log).
Now to capture and analyze the data: