Session Anchored OIWAP [Arjo]

The Session Anchored OIWAP [Arjo] (Open Interest Weighted Average Price) indicator shows you a weighted average price that uses Open Interest (OI) changes during different trading sessions. It divides the day into four clear sessions: Opening Hour, Morning Session, Mid-Day Session, and Closing Session.
For each session, it calculates a weighted average price using both market price and open interest data from futures. This line updates as the session progresses and resets when a new session starts.
You can also see optional deviation bands that you visually compare to how far the market price is moving away from the session’s weighted average. This indicator also helps you watch how Open Interest changes connect with price movements during specific market hours.
Concepts
This tool works on a few simple ideas:

Session anchoring
Each session starts fresh. The indicator resets and begins a new calculation when a new time block begins. This allows users to visually study each session independently.

Open-interest weighting
Instead of treating all price moves equally, price changes linked to higher open-interest activity have more influence on the OIWAP. This gives a weighted reflection of where the market has been trading during the session.

Averaging and smoothing
The OIWAP line blends many price data points into one smooth curve, making it easier to follow than raw price movement.

Volatility display with bands
The upper and lower bands are placed at ±0.5 standard deviation from the OIWAP line. These bands simply help you see when price stretches further away than usual from the session average.

Features

• Four Independent Session Calculations: Shows separate OIWAP lines for Opening Hour (default: 09:15-10:15), Morning (10:15-11:30), Mid-Day (11:30-14:00), and Closing (14:00-15:30) sessions
  
• Open Interest Weighting: Uses absolute OI change as the weight instead of traditional volume
  
• Customizable Session Times: You can change the time ranges for each session to match your market or what you need
  
• Optional Deviation Bands: You can turn ±0.5 standard deviation bands on or off around each OIWAP line
  
• Color-Coded Sessions: Each session has its own color so you can tell them apart easily
  
• Selective Display: You can turn individual sessions and bands on or off
  
• Data Availability Check: Shows you a notification when Open Interest data isn't available for your symbol
  
• Adjustable Position Timeframe: You can calculate OI changes on different timeframes (Chart, Daily, 15min, 30min, 60min, 120min)
  

How to use
Add this indicator to a chart of any symbol that has Open Interest data ( from futures or derivatives contracts). Once you add it, you'll see colored lines showing the OIWAP for each session you enable, along with optional deviation bands.
Adjusting Settings:

• Turn individual sessions on or off using the checkboxes in the "Sessions" section
  
• Change session colors to match your chart or what looks good to you
  
• Turn deviation bands on or off using the "Show Bands" option in the Display settings
  
• Change session time ranges in the "Session Times" section to match your market hours or what you want to analyze
  
• Change the Position Timeframe if you want to see OI changes calculated on a different time period
  

Visual Interpretation:

• Each OIWAP line shows you the OI-weighted average price for that session
  
• The deviation bands show you how much prices spread out, weighted by OI changes
  
• You can watch how price interacts with these levels to see where significant OI activity happened
  
• Different sessions may show different OIWAP levels, showing you how the OI-price relationship changes throughout the trading day
  

Note:

This indicator needs Open Interest data to work. If OI data isn't available for your symbol, you'll see a message in the center of your chart. This indicator works only with derivatives markets like futures and options in the Indian Market where OI data is publicly available.

Conclusion
The Session Anchored OIWAP [Arjo] indicator is designed to support structured market observation by combining price, open interest, and session anchoring into a clear visual format. It helps users study market behavior during different parts of the day without generating trading instructions or outcomes.
Disclaimer
This indicator is for educational and visual-analysis purposes only. It does not provide trading signals, financial advice, or guaranteed outcomes. You should perform your own research and consult a licensed financial professional when needed. All trading decisions are solely the responsibility of the user.
Happy Trading [Arjo]