Support Board
Date/Time: Sun, 22 Dec 2024 09:06:52 +0000
Post From: VWAP differences between DAILY and all Intraday settings.
| [2015-03-09 18:30:09] |
| User32628 - Posts: 15 |
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What are the basis for which the Historical Daily VWAP calculations are done with for futures? I can not replicate these values with any of the intraday settings at all. I have made sure that the settings are consistent (checked to use underlying data, set the trading hours to match). All different intraday settings correctly give the same VWAP (as they should based on underlying data), but none of them match the VWAP that is given on a chart set to historical (daily) setting. I have checked this for multiple different commodity spreads (CL and HE) as well as multiple different contracts over different years and have the same issue. I have also checked and am able to match the historical daily volume to my various intraday volumes, so that is not the problem, something else is. Is it that the VWAPs for historical are obtained from a 3rd party and not actually calculated or obtained directly, i.e. similar to (but not the same) as the settlement price being used for the historical close?
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