Support Board
Date/Time: Tue, 26 Nov 2024 17:37:06 +0000
Post From: calculation of vwap
| [2023-11-05 00:15:06] |
| User701028 - Posts: 6 |
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Hello, from what i understand the VWAP formula on sierrachart does not take the entire information of the volume at price but only the close or the open or the OHLC etc.. So after looking at the documentation i saw that if i use a tick by tick chart it will use the entire volume information and be as accurate as possible and its very good, But i would like to have the entire data of volume in the calculation of vwap without using a tick by tick chart is that possible? If i use the calculation of vwap on the studie volume by price does it take all the information in terms of volume for the calculation, and if yes i think i cant display standard deviation of vwap on VBP it so its still not what i need. I wish i could calculated vwap and his standard deviations based on all the prices of my chart ponderated by the volume of each line. ill use an exemple to explain what i mean : Imagine i have 1 candle, the first one has the following values in it : price = 1000 --> 100 volume // price = 1001 --> 50 volume // price = 1002 --> 30 volume // price = 1003 --> 200 volume So the math should be (1000x100) + (1001x50) + (1002x30) + (1003x200) / 380 = vwap. ( so i want it to calculate based on all the values of price and volume in the period ) So what i need is basicly the vwap + the standard deviation of it, based on the entire VBP of the period i want to analyse without having to use a tick by tick chart. I hope you get what i mean.. English is not my native langage if you need more explaination or if its not clear i can try to explain better just tell me if needed. Do you guys have a solution to my problem? |