Support Board
Date/Time: Wed, 27 Nov 2024 10:32:57 +0000
[User Discussion] - TWAP
View Count: 4143
| [2014-06-30 05:12:55] |
| Dom7364 - Posts: 257 |
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Hi Sierra, I have no doubt this has been asked before, but is there a way to add a TWAP study somehow? This is a very basic and obvious reference to most professional, and therefore algos along with VWAP). I currently display it on my other platform which I am intending to stop subscribing to, and replace fully with Sierra which has become my favourite tool, and to me, does everything that is needed in a very cost effective way. TWAP is however crucially missing. Sorry for the ranting, but I wanted to take the opportunity to say that SC does a great job overall, and so does support/developers/etc. TWAP? Cheers! |
| [2014-06-30 05:26:05] |
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TWAP means time-weighted average price . So therefore, we would think that just using Moving Average - Weighted would accomplish the same thing: http://www.sierrachart.com/index.php?page=doc/doc_TechnicalStudiesReference.html#s28 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: 2014-06-30 05:26:25
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| [2014-06-30 05:45:36] |
| Dom7364 - Posts: 257 |
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You are right, if looking at a time fixed chart, where all bars have the same duration, twap and a moving average will return the same thing as a time weight of 1 will be given to each bar. On a tick, range or volume chart, bars do not have the same duration, and therefore time weighting will produce different results. Hence, back to my initial question.. Happy to DIY somehow, but really not much of a coder so any help would be greatly appreciated. Many thanks |
| [2014-06-30 05:57:49] |
| Kiwi - Posts: 375 |
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The obvious question becomes "what period does a TWAP have?" If you knew the answer then you just make a time chart of that period, put your weighted ma on that chart with an appropriate period, and use the study/price overlay to copy it onto your non-timelinear charts. Actually I don't know if the TWAP is what we think it is ... can the OP provide a really clear definition of the TWAP that they currently trade? http://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&ved=0CB4QFjAA&url=http%3A%2F%2Fen.wikipedia.org%2Fwiki%2FTime-weighted_average_price&ei=dvywU4CnFIuWkwXJvIDQAw&usg=AFQjCNEAjGkXaD0_UMtjZYbCjznNpyvTYQ&sig2=HVTpk4BRSI2k3li3Kmu44w&bvm=bv.69837884,d.dGI&cad=rjt Date Time Of Last Edit: 2014-06-30 06:02:08
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| [2014-06-30 06:19:11] |
| Dom7364 - Posts: 257 |
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Yes, it would need to have the option to choose/select the weight to give to a give and undefined time period, as if you are looking at a range chart, you know and can choose it to be 4, 5, or whatever range, but you don't know how long it is going to last (duration). There would therefore need to be an option to define how much weight is given to a user defined time period.
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| [2014-08-17 14:41:44] |
| PTG - Posts: 57 |
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TWAP tool for Tradestaion: http://www.tradestation.com/education/labs/analysis-concepts/time-weighted-average-price Includes .eld files |
| [2014-08-17 21:30:41] |
| crazybears - Posts: 314 |
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Calculations and Displays
The custom indicator presented in this paper captures the security’s price every second to create a custom data series. An average price using this data series is then computed every other second for a better representation of the market price up until that point. At the end of a bar, the last computed average price is displayed on the chart and is used in the TWAP calculation. The displayed TWAP is the average of the averages of those prices, just like the traditional TWAP calculation. However, the resolution is much finer due to the process of sampling prices every second versus using only four prices per bar (open/high/low/close). (Note that it initially takes two bars of data to see the TWAP in the chart.) TWAP bands, based on a number of standard deviations away from the TWAP, may be added to the display of the TWAP. The standard-deviation calculation takes place every other second, just like the average calculation mentioned above. In summary, there are three different sets of plots in the chart: the average of the security’s price per bar calculated every other second the TWAP, which is the cumulative average of the first plot the TWAP bands, which are the different standard deviations around the TWAP. can be done using 1 sec charts ,make calcs and use study/price overlay to plot result on whatever charts It is important to note that the TWAP indicator is a real-time indicator only; it cannot run on historical data. The indicator will only start plotting values from the time it is inserted into a TradeStation chart. Also, if the chart is refreshed, the indicator values displayed in the chart will be erased and the indicator will restart plotting values from the time the chart is refreshed.
TS limitation :-D |
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