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VWAP Rolling not updating

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[2017-05-01 23:52:08] #1 [Go To First Post]
psavi73 - Posts: 39
The VWAP Rolling doesn't update its value at every new bar. http://www.sierrachart.com/image.php?Image=1493682015110.png Is there something wrong in my configuration? This is the configuration: Input Data: Last Base On Underlying Data: Yes Time Period Type: Days - Trading Days Time Period Lenght: 7 Number of Days to Calculate: 7 Exclude Weekends in Date Look Back: No Minimum Required Time Period as Percent for Skip Days: 25 Std. Deviation Band Calculation Method: VWAP Variance Band 1: 1 Band 2: 2 Band 3: 3 Band 4: 4 Could you please also explain the parameter "Minimum Required Time Period as Percent for Skip Days" as I wasn't able to find any explenation about it? Regards. Pierpaolo

[2017-05-02 04:41:28] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The study does work properly. If it is not working properly, then mathematically prove that to us. Although that is very difficult. We are declining support for your question. This is now documented: Minimum Required Time Period as Percent for Skip Days Check the updated documentation. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-02 07:29:37] #3 [Go To First Post]
psavi73 - Posts: 39
I'm not saying that the mathematical calculation is wrong. I'm just saying that the function doesn't update the values at every bar as it happens with the simple VWAP study (not rolling). So I kindly ask you to consider this as a fact and not as my opinion. Waiting for your kind reply. Date Time Of Last Edit: 2017-05-02 08:09:23

[2017-05-02 12:41:03] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We apologize. We misunderstood. We did not notice that you are not seeing the VWAP values on the recent bars. We do see the same issue during real-time during chart updating. We will resolve this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-05-02 12:41:16

[2017-05-02 16:49:08] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The problem is the Number of Days to Calculate input is too low. You need to make it twice the Length. Which is going to be 14. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-02 17:30:38] #6 [Go To First Post]
psavi73 - Posts: 39
With the previous parameters I have a real weekly rollover of the VWAP, as in the following picture: http://www.sierrachart.com/image.php?Image=149374591075.png While with "Number of Days to Calculate"=14, the result is not a weekly rollover, as you can see from the following picture: http://www.sierrachart.com/image.php?Image=14937459811.png

[2017-05-02 17:58:41] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This will be solved in the next release. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-03 10:53:11] #8 [Go To First Post]
psavi73 - Posts: 39
Release 1550 or the next one?

[2017-05-03 13:13:43] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The changes are in version 1551 which has been released now. Update following these instructions: Software Download: Fast Update Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-03 14:16:52] #10 [Go To First Post]
psavi73 - Posts: 39
The problem is still present: http://www.sierrachart.com/image.php?Image=1493821003781.png

[2017-05-03 15:24:10] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This makes no sense. The problem is not still present in version 1551. We verified that. What is the version number on the title bar of Sierra Chart? What are the Input settings for the study? What is Chart >> Chart Settings >> Days to Load set to? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-03 15:31:27] #12 [Go To First Post]
psavi73 - Posts: 39
- Version 1551 - Input parameters (the same of above): Input Data: Last Base On Underlying Data: Yes Time Period Type: Days - Trading Days Time Period Lenght: 7 Number of Days to Calculate: 7 Exclude Weekends in Date Look Back: No Minimum Required Time Period as Percent for Skip Days: 25 Std. Deviation Band Calculation Method: VWAP Variance Band 1: 1 Band 2: 2 Band 3: 3 Band 4: 4 - Days to Load = 30

[2017-05-03 16:19:30] #13 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is not possible: Time Period Lenght: 7 Number of Days to Calculate: 7 Number of Days to Calculate should be at 13 and that will be automatically set. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-03 16:25:23] #14 [Go To First Post]
psavi73 - Posts: 39
In that way this isn't a real weekly rollover of the VWAP. Please refer to my previous post #6

[2017-05-03 16:38:31] #15 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You are misunderstanding the purpose of that Input. What is it set to after applying the study to the chart? It could not be set to 7 after applying the study to the chart. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-03 16:54:37] #16 [Go To First Post]
psavi73 - Posts: 39
I need this type of rollover (weekly): http://www.sierrachart.com/image.php?Image=1493830226905.png Whith "Number of Days to Calculate" = 13, I obtain this: http://www.sierrachart.com/image.php?Image=1493830372351.png This isn't a weekly rollover. So how can a weekly rollover VWAP updating at every bar can be obtained?

[2017-05-03 17:16:52] #17 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is correct: http://www.sierrachart.com/image.php?Image=1493830372351.png For the type of appearance you are probably looking for, you will want to set the Time Period Type input to: Days - 24 Hour Period. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-05-03 17:17:09

[2017-05-03 19:18:41] #18 [Go To First Post]
psavi73 - Posts: 39
With "Time Period Type" = "Days - 24 Hour Period" the calculation is rolling bar by bar and I don't need this (it's also CPU intensive). If I set: Time Period Type: Days - Trading Days Time Period Lenght: 2 Number of Days to Calculate: 2 The rolling is done correctly (2 days) and the function updates at every bar. Starting from 3 days rolling, the update is not done correctly at every bar. Furthermore the aim of "Time Period Type: Days - Trading Days" is just rolling every "Time Period Lenght" and as suggested in the Study description the "Number of Days to Calculate": It is recommended to set this as small as is needed to minimize the calculation time since the study can take a significant amount of time to do calculations across many days of data. So I should be able to set "Time Period Lenght"="Number of Days to Calculate"= numebr of day I need to rolling.

[2017-05-03 19:43:48] #19 [Go To First Post]
psavi73 - Posts: 39
I found that the VWAP rolling function updates the values at every bar, but at around 1520 instead of 2380 as you can see in the pic (this is obviuosly an error): http://www.sierrachart.com/image.php?Image=1493840617631.png

[2017-05-03 20:33:56] #20 [Go To First Post]
psavi73 - Posts: 39
Chart updated after the close: http://www.sierrachart.com/image.php?Image=1493843606179.png Date Time Of Last Edit: 2017-05-03 20:34:11

[2017-05-04 00:50:42] #21 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We do not observe any problem with the Volume Weighted Average Price-Rolling study in 1551. We are not able to reproduce what you are seeing. Although with some further testing, we did see one minor issue which might be the cause of what you are seeing. It relates to setting the Number of Days to Calculate too low. We have this fixed and this will be out in 1552. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-05-04 00:55:41

[2017-05-04 09:01:39] #22 [Go To First Post]
psavi73 - Posts: 39
Before proceeding with this issue, I'd like to make a digression on rollover studies in general: it calculates a function (VWAP in this case) over a fixed period that it shifts during the time. As it has been implemented by Sierra Chart, this can be done in several ways (dayly, 24 h, minutes, bars), but the sense of the function is that it shifts the whole fixed period every day/hour/minute/bar. So when you have established the period, you need just this input in the function, i.e other inputs (like "Number of Days to Calculate") are not meaningfull and misleading. In fact if I need a time period of 3 days and I set "Time Period Lenght"=3 and "Number of Days to Calculate"=13, the plotted function is: http://www.sierrachart.com/image.php?Image=1493888478200.png In this case the "rollover" is applied at the begining of the time period and not at the end as it should be in a rollover function, so it makes no sense. All the above to say that the "Number of Days to Calculate" input should be eliminated because in a real rollover function this input should equal to "Time Period Lenght" (i.e. "Time Period Lenght"="Number of Days to Calculate"), so it's not necessary and furthermore if you set it with a value different from "Time Period Lenght" the plotted function it's not a rollover function.

[2017-05-04 11:13:15] #23 [Go To First Post]
psavi73 - Posts: 39
As regards the problem of updating the values of the rolling VWAP far from where they should be, I've made some tests with a 1 minute bar period and the following input data for the function: Input Data: Last Base On Underlying Data: Yes Time Period Type: Days - Trading Days Time Period Lenght=Number of Days to Calculate= from 1 to 7 Exclude Weekends in Date Look Back: No Minimum Required Time Period as Percent for Skip Days: 25 Standard Deviation Bands are ignored, i.e. only VWAP is plotted. Chart1- Time Period Lenght=Number of Days to Calculate= 1 http://www.sierrachart.com/image.php?Image=1493896202623.png Rolling VWAP is correctly plotted (every point is where it should be). Chart2- Time Period Lenght=Number of Days to Calculate= 2 http://www.sierrachart.com/image.php?Image=1493896226993.png Rolling VWAP is correctly plotted (every point, i.e. minute, is present). Chart3- Time Period Lenght=Number of Days to Calculate= 3 http://www.sierrachart.com/image.php?Image=1493896252237.png Rolling VWAP is correctly plotted (every point is where it should be). Chart4- Time Period Lenght=Number of Days to Calculate= 4 http://www.sierrachart.com/image.php?Image=1493896275456.png Rolling VWAP is correctly plotted (every point is where it should be). Chart5- Time Period Lenght=Number of Days to Calculate= 5 http://www.sierrachart.com/image.php?Image=1493896302690.png The points are plotted far from where they should be. Chart6- Time Period Lenght=Number of Days to Calculate= 6 http://www.sierrachart.com/image.php?Image=1493896330398.png The points are plotted far from where they should be. Chart7- Time Period Lenght=Number of Days to Calculate= 7 http://www.sierrachart.com/image.php?Image=1493896357243.png The points are plotted far from where they should be. From theese results (failures starts when the time period is => 5 days) I can suppose that the problem is due to weekends (the results are the same also with "Exclude Weekends in Date Look Back"= Yes).

[2017-05-04 16:52:40] #24 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
In this case the "rollover" is applied at the begining of the time period and not at the end as it should be in a rollover function, so it makes no sense. All the above to say that the "Number of Days to Calculate" input should be eliminated because in a real rollover function this input should equal to "Time Period Lenght" (i.e. "Time Period Lenght"="Number of Days to Calculate"), so it's not necessary and furthermore if you set it with a value different from "Time Period Lenght" the plotted function it's not a rollover function. You have a misunderstanding. Refer to the documentation for these Inputs here: http://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=352#Volume_Weighted_Average_Price_-_VWAP_-_Rolling_with_Standard_Deviation_Lines As we indicated in post #21, there was an issue that we have resolved in 1552. Update to the latest Prerelease following the instructions here: http://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate There was no need for all that you posted in post #23. You should have waited for the update. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-05-04 17:16:16] #25 [Go To First Post]
psavi73 - Posts: 39
I'm sorry, but I think I'm not misunderstandin anything. I've read carefully the documentation and I know really well what is a rollover function. I've just installed version 1552, and now the "Number of days to calculate" has to be => 13 when "Time period lenght"=7, so now we are not able to have a weekly/7 days rollover of the VWAP; this makes no sense. Now the plotted function in not a weekly rollover but a function without any sense. http://www.sierrachart.com/image.php?Image=1493918162559.png What is this function in your opinion? How can we have a weekly rollover?

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