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rolling vwap issue?

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[2016-01-10 15:50:17] #1 [Go To First Post]
User22396 - Posts: 191
does the rolling vwap study exclude periods of no trading? i.e. holidays the output of the study around the xmas and new years holidays seems to be calculating incorrectly and including the dec25 and jan1 calendar days into the calculations. thanks Date Time Of Last Edit: 2016-01-10 15:50:46

[2016-01-10 16:23:52] #2 [Go To First Post]
User22396 - Posts: 191
note the jump in the pink line on the 27th of december pink line is built in vwap-rolling study blue line is ECIVwapChannel in user contributed studies


rolling vwap.png / V - Attached On 2016-01-10 16:22:13 UTC - Size: 30.78 KB - 447 views

[2016-01-10 21:10:56] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
the output of the study around the xmas and new years holidays seems to be calculating incorrectly and including the dec25 and jan1 calendar days into the calculations. Yes those days would be included in the calculation even if there was no trading/data. The code does skip Saturday and Sunday. But overall the logic of how this is implemented is not really the best. We will have a look at this. 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 Date Time Of Last Edit: 2016-01-10 21:11:17

[2016-02-26 13:36:22] #4 [Go To First Post]
User22396 - Posts: 191
I see in the post below you changed the rolling vwap methodology but now it is not a continuous rolling? not sure of the logic behind using that method, rolling to me would imply a continuous value like a moving average dropping old and adding new etc...can I get the code for the previous version so can still use? thanks Rolling VWAP

[2016-02-26 19:32:28] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Update to the latest version of Sierra Chart: https://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate And refer to the documentation here for how to do what you want: https://www.sierrachart.com/index.php?page=doc/doc_TechnicalStudiesReference.html#s352 Time Period Length: Sets the quantity to be used with Time Period Type. For example, for a period of 1 Day, set this to 1 and set Time Period Type to Days. For a rolling 24 hour period that is rolling bar by bar versus entire days, set this to 1440 and set Time Period Type to Minutes. 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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