VWAP and Volume

When to Use

• Deciding trend day vs rotation day.
• Grading a breakout's participation.
• Choosing pullback entry areas.
• Placing targets and judging room: the next high or low volume node.
• The value area strategies (value_area_reentry, value_area_breakout).

How It Works

In an autonomous cycle the bar briefing (bar_briefing, the harness-tools
skill) already holds this bar's values: m3 (EMAs, ADX, SuperTrend, Keltner,
ATR, VWAP, participation, the skip-rule counters in context, swings and
liquidity, lastBreak, sweeps, htfLevels, the nearest levels in points
and R), m15 and h1 (the higher frames). Use it, and compute only what it
doesn't hold.

1. VWAP from market-snapshot: vwapSession (anchored 18:00 ET, Globex) and
   vwapRth (anchored 09:30 ET).

   • Price above a rising RTH VWAP, with pullbacks holding it → buyers in
     control; buy pullbacks to VWAP.
   • Price crossing VWAP repeatedly → rotation day; fade extremes, small
     targets, or stand aside.
   • Distance from VWAP in ATRs: beyond ~2 × ATR(14) on the trigger timeframe
     is stretched; don't chase.

2. Relative volume. Compare the trigger bar's v with the average of the
   same time-of-day bars over recent sessions (or the opening-range bars). A
   breakout bar with ≥ 1.5× relative volume has participation; below 1×, treat
   it as suspect.

3. Volume profile. Don't estimate it by hand: market-snapshot's
   volumeProfile has three, computed from closed bars
   (scripts/lib/trading/volume-profile.js):

   • priorRth: the last complete RTH day. The reference for the day; fixed.
   • session: this Globex session from 18:00 ET, developing.
   • rolling: the last 360 bars (vpLookback).

   Each has poc (point of control: the most-traded price), vah/val
   (the value area: 70% of the volume around the POC), price (above,
   inside, or below value), fromPocAtr, and the nodes: hvn (high volume:
   acceptance, where moves stall and rotate) and lvn (low volume:
   rejection, where price moves fast), with the nearest above and below
   (hvnAbove, lvnBelow, ...). Strategies read the same levels as
   prior_poc prior_vah prior_val, session_*, vp_*(n), and the nodes.

   • Open outside the prior value area, then back inside for two closes →
     rotation to the far side is likely (the 80% rule, value_area_reentry).
   • Two closes outside value on above-average volume → value is moving
     (value_area_breakout); the next HVN is the likely stall, an LVN
     beyond the entry is open air.
   • Inside value with VWAP flat → rotation: fade VAH/VAL toward the POC,
     small targets.
   • A POC at one end of a wide value area means the day trended: a weak
     reference for the next day.
   • Levels are on a 100-row grid over the day's range, not on ticks: round
     to the tick before you use one as an order price.

   It is a bar-based approximation (each bar's volume spread evenly over its
   range), not a tick-level profile. Say so when you cite it.

4. Volume climax. A very large bar after an extended move, with a long wick,
   often marks exhaustion. Don't enter in its direction.

Examples

10:09 ET: MNQ opened 21462.50, below the prior day's VAL 21480.00
(volumeProfile.priorRth: POC 21522.00, VAH 21560.00). Two 3m closes back
inside, 21486.00 and 21490.25 → value_area_reentry long, target VAH
21560.00, 69.75 points away; the POC at 21522.00 is the halfway mark.

09:52 ET: 3m close above OR high, v = 2,140 vs OR average 1,180 (1.8×), price
0.6 ATR above rising RTH VWAP → participation confirmed for the orb strategy.

11:30 ET: 6 crosses of RTH VWAP in 90 min, ADX 14 → rotation; trend strategies
off until a range break.