Support Board
Date/Time: Wed, 27 Nov 2024 06:49:59 +0000
Post From: VWAP Difference
| [2014-07-28 10:32:27] |
| User82828 - Posts: 44 |
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I think we have to clarify and discuss the VWAP-Price Difference on a general level: VWAP is an important institional observed parameter which is recalcualted with every new trade over the entire day. The calculation of VWAP works in this way: For each trade, the Price is multiplicated with the number of contracts and this results will be added and added over the day for every new trade. Simultaneously this multiplied and added values are divided by the sum of all traded contracts, which finally results in the exact calulation of ONE VWAP-value. This proofs that VWAP ist therefore the average Price of all traded contracts and does not depend on any timeframe or any lenght of a bar chart, etc... Taking into acount this cirumstances, this also proofs, that there can only be ONE true VWAP-Value at any time of the day. If I have at the same time different VWAP values (as we now have in SC), this definitely means a wrong and/or inaccurate calulation. So my strong recommendation would be, that the VWAP calculation is completely overworked within SierraChart, resulting in a calculation of the one and correct VWAP value, independent of the used timeframe or calualtion method, one is using. Please correct me, if I am wrong. I forgot to mention, that 100% correct, accurate and complete tick data are required for such a VWAP calualtion. Therefore I use the iqfeed datafeed where all tick data come directly from the exchange e.g for DOW, S&P or DAX, etc. I would appreciate a comment from SC support to this posting. Date Time Of Last Edit: 2014-08-02 08:03:42
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