Support Board
Date/Time: Wed, 27 Nov 2024 06:50:46 +0000
Post From: VWAP Difference
| [2014-07-30 15:21:29] |
| Al SC Developer - Posts: 434 |
|
The VWAP is a fairly simple calculation, but is very dependent on the data that it is calculated over. When you use the underlying data, you are effectively using the data that makes up the bars. This can still not be perfectly accurate though if you do not have tick data, because there will be slight variations (i.e. 1-sec bar can only estimate the actual ticks that make up the underlying bar which can result in slight skews). When you compare VWAPs on different time frames, the values should be very close if you are using underlying data. If you are not using underlying data, then the values will be different. The standard deviations from different time frames will normally be different. This is because the standard deviation is calculated over the bar values of the VWAP, and you have vastly different values (i.e. you only have every fifth value on a 5-min chart vs a 1-min chart). |