Support Board
Date/Time: Sun, 22 Dec 2024 03:15:56 +0000
VWAP differences between DAILY and all Intraday settings.
View Count: 2531
| [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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| [2015-03-09 22:16:10] |
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You will not get a match. The last trade price and the volume of the bar is used with historical Daily charts for this study.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-04-03 20:11:38] |
| User13668 - Posts: 294 |
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SC: ok, just so I am clear as well. When the VWAP study is applied to an Historical (say daily) chart the study setting 'use underlying data' has no effect. Therefore based on your explanation in post #2 a VWAP calculation performed on an Historical daily chart (as opposed to an Intraday daily chart) will be, in all likelihood, wrong. PS: when you get a chance, maybe you should make this clear in the documentation. Date Time Of Last Edit: 2015-04-03 20:12:23
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| [2015-04-06 03:53:15] |
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We will update the documentation and make this clear.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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