Two dimensional transition metal di-chalcogenides (TMDCs) are promising candidates for ultra-low intensity photodetection. However, the performance of these photodetectors is usually limited by ambience induced rapid performance degradation and long lived charge trapping induced slow response with a large persistent photocurrent when the light source is switched off. Here we demonstrate an indium tin oxide (ITO)/WSe2/SnSe2 based vertical double heterojunction photoconductive device where the photo-excited hole is confined in the double barrier quantum well, whereas the photo-excited electron can be transferred to either the ITO or the SnSe2 layer in a controlled manner. The intrinsically short transit time of the photoelectrons in the vertical double heterojunction helps us to achieve high responsivity in excess of 1100 A/W and fast transient response time on the order of 10μs. A large built-in field in the WSe2 sandwich layer results in photodetection at zero external bias allowing a self-powered operation mode. The encapsulation from top and bottom protects the photo-active WSe2 layer from ambience induced detrimental effects and substrate induced trapping effects helping us to achieve repeatable characteristics over many cycles.