Support Board
Date/Time: Mon, 23 Dec 2024 00:19:38 +0000
Post From: VWAP incorrect on when including evening session
| [2015-08-21 07:11:53] |
| FedeM - Posts: 13 |
|
In order to be able to remove or add premarket+afterhours to my charts quickly by pressing CTRL+G, my trading hours are configured this way: Session times 09:30-15:59:59 Evening session 16:00-09:29:59 Now the problem is that VWAP isn't calculated correctly with this setup (when evening session is displayed), since it should only include data from 4am that same day, but it incorrectly considers the prior day's afterhours to be in the same session as the premarket. Is there any way of correcting this VWAP calculation? Do you have intention of adding a separate configuration of premarket hours? In my opinion this is absolutely necessary. Thank you. |