Support Board
Date/Time: Tue, 26 Nov 2024 03:29:31 +0000
Volume by Price VWAP vs Volume Weighted Average Price
View Count: 546
| [2024-01-18 17:57:24] |
| User92573 - Posts: 530 |
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Dear Support Please can you help answer the following as obviously cannot use study/price overlay to isolate the 'Volume by Price VWAP'.
I've read as many threads as I can find from 2014 ALS to more recent but still a little confused and would be grateful for some clarification as to why there is a difference in values between these studies when all settings are seemingly the same and as described in the Sierra study descriptions the VWAP is not a complex calculation. I currently use the VWAP which is included in the 'Volume by Price' study however there is also the stand alone 'Volume Weighted Average Price' study that one would expect to be almost if not exactly the same.
Ignoring the band calculations, the 'Volume Weighted Average Price' study despite allowing for some additional settings does not seem to replicate the 'Volume by Price VWAP' and I cannot seem to equalize these studies as one would expect. So, which is the correct institutional (time independent) VWAP and how does one mirror the data output for 2 seemingly identical studies?
Attached image shows the 'Volume by Price VWAP' relative to 3 different timeframe bars which is somewhat confusing given the literature. Many thanks. Date Time Of Last Edit: 2024-01-18 19:36:04
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 Volume by Price VWAP.png / V - Attached On 2024-01-18 19:35:57 UTC - Size: 74.16 KB - 66 views |
| [2024-01-18 21:54:19] |
| John - SC Support - Posts: 36286 |
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On the "Volume Weighted Average Price" study, did you set the Input for "Use Underlying Data" to "Yes"? This would be required for what you are trying to do. Refer to the following: Volume Weighted Average Price (VWAP) with Standard Deviation Lines: Differences Between VWAP and Standard Deviation Lines On Different Timeframe Bars We just tested a Volume by Price study VWAP with the "Volume Weighted Average Price" and we get the exact same result. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-01-18 21:55:02
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| [2024-01-18 23:18:52] |
| User92573 - Posts: 530 |
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Yes, I followed the instruction as set-out in the relative Sierra documentation but possibly missed something else. I've tried going through all again but still cannot get a reasonable match between the "Volume by Price VWAP and Volume Weighted Average Price"
John, would there be any chance of obtaining the chartbook? I appreciate that may not be possible. Many thanks for checking. Date Time Of Last Edit: 2024-01-19 12:12:05
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| [2024-01-19 15:09:14] |
| John - SC Support - Posts: 36286 |
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Attached is a Study Collection with the two studies on it. Refer to the following for how to use this: Study Collections: Using a Study Collection Provided by Sierra Chart Support For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-01-19 15:09:40
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 VWAPComparison.StdyCollct - Attached On 2024-01-19 15:09:11 UTC - Size: 38.06 KB - 254 views |
| [2024-01-19 17:32:40] |
| User92573 - Posts: 530 |
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Amazing, that's excellent, I guessed it was probably 'Volume Graph Period Type' but just couldn't reconcile. That's so helpful and to be honest its a level of support no one using Sierra would be unhappy to pay for. I've used most many platforms since Signal Writer and Sierra is on a different level all together. Once again John, many thanks for a real solution. |
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