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Direct MessagesDate/Time: Thu, 19 Sep 2024 22:03:56 +0000
[User Discussion] - 2 Different VWAP VAH VAL Price levels Rithmic vs Sierra Data Feeds
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| [2014-03-15 14:42:21] |
| User23386 - Posts: 43 |
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Why is it that I have 2 different VWAP VAH VAL price levels using the same 30 minute bar period running 2 separate copies of sierra, one using the Rithmic data feed and the 2nd using the sierra data feed? The VWAP, VAH and VAL price levels for today's session and the prior days session are not exactly the same on each chart using the 2 different data feeds. The high and the low of the first and last bar of the prior days session are not equal either. Now I know Thursday was rollover day on the ES but these variations in price levels are going to effect the weekly and monthly VWAP levels as well so as a trader you have to ask yourself which data feed is correct?? http://www.sierrachart.com/image.php?l=1394893835294.png Rithmic Data Feed http://www.sierrachart.com/image.php?l=1394893863196.png Sierra Data Feed |
| [2014-03-15 20:43:53] |
| SgtJ - Posts: 154 |
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Look into your chart end times. One has 12 bars, the other 13.
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| [2014-03-16 13:10:06] |
| User23386 - Posts: 43 |
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The start and end times are identical 9.30am-16.15pm. The difference in the numbers of bars from fridays session is just the way I took the screencaps of each chart and the size of the lock fill space. The prior days sessions VWAPs VAH VAL from the 13th which is rollover day are completely different on each chart and both have 13 bars for the session so it has nothing to do with the end times. The first and last bar which I have circled on each chart from rollover day (13th) are not the same. There is a diffence of 1 tick from the High and Low from the Rithmic feed versus the Sierra feed so this has to do with how each data provider is back adjusting their own data during rollover period which will effect indicator levels going forward.
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| [2014-03-18 17:40:25] |
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Refer to the documentation for this here: https://www.sierrachart.com/index.php?l=doc/helpdetails43.html https://www.sierrachart.com/index.php?l=doc/doc_TPOVolProfileCharts.html#IncorrectValues We know the Sierra Chart data feed is accurate. So that is the one you should consider accurate. Also , a 1 tick difference in chart bars is not from the back adjusting of the data. We cannot provide further help on this as it is not within the scope of our support to help with small one tick issues like 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: 2014-03-18 17:41:49
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