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Date/Time: Thu, 19 Sep 2024 22:09:18 +0000

Post From: 2 Different VWAP VAH VAL Price levels Rithmic vs Sierra Data Feeds

[2014-03-16 13:10:06] Link To Thread - Link To Post [Go To First Post]
User23386 - Posts: 43
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.